Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions

As GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese main stock market indexes, considering ARMA-GARCH models driven by Normal, Student’s t and stable Paretian distributed innovations. We find that a GARCH model with stable Paretian innovations fits returns clearly better than the more popular Normal distribution and slightly better than the Student’s t distribution. However, the Student’s t outperforms the Normal and stable Paretian distributions when the out-of-sample density forecasts are considered.info:eu-repo/semantics/acceptedVersio

Determinantes da remuneração nas empresas portuguesas

A análise e explicação das determinantes das diversas formas de remuneração em Portugal são o principal objectivo deste trabalho. Apesar da existência de diversos estudos sobre remunerações, até agora não foram desenvolvidos estudos sobre quais as determinantes explicativas da realidade empresarial. Este estudo identifica o conjunto de características das empresas e dos colaboradores que explicam o montante e a probabilidade de auferir remuneração variável e quais as determinantes da remuneração base, comparando-se os dois modelos através do «colaborador padrão». Os resultados mostram que a remuneração variável é mais utilizada nos níveis hierárquicos superiores, na área comercial, em empresas de menor dimensão, em filiais de empresas estrangeiras e para colaboradores com educação superior. Quanto à rendibilidade, os resultados revelam uma relação positiva com a probabilidade de existência de remuneração variável. No entanto, os montantes de remuneração variável são mais elevados nas empresas com menor rendibilidade

A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)

In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.info:eu-repo/semantics/acceptedVersio

Superspace Geometrical Realization of the N-Extended Super Virasoro Algebra and its Dual

We derive properties of N-extended GR super Virasoro algebras. These include adding central extensions, identification of all primary fields and the action of the adjoint representation on its dual. The final result suggest identification with the spectrum of fields in supergravity theories and superstring/M-theory constructed from NSR N-extended supersymmetric ${\cal {GR}}$ Virasoro algebras.Comment: 17 pages Latex Typos in TeX file has been correcte

Mapping wine tourism: A systematic literature review

This research makes an overview of the current scientific state of the art about Wine Tourism (WT). For this purpose, a systematic review of literature (Loureiro et al., 2020; Tranfield et al., 2003) was conducted to map wine tourism. The systematic analysis uses the main research articles published in the most relevant journals since 1997 (the first indexed studies were published in this year). The current study explored the objective/goals, methodologies, theories, constructs, moderators, mediators, antecedents, consequences, main conclusions and gaps, as well other relevant aspects of the research. A total of 2039 papers were collected from Web of Science (WoS) and 2178 papers were extracted from Scopus. First, duplications were removed, second for quality assessment, we matched each paper with the Academic Journal Guide 2018 from the Chartered Association of Business Schools (ABS) ranking so that only papers featuring in ABS 4, ABS3 and ABS2 were considered, 366 resulted Through abstract reading 234 papers were excluded. Additionally, from the initial literature review we found several papers being often cited, but not included in the selected 132 papers neither above ABS1. Most of those papers (30) with significant citations were from wine sector journals and, therefore, were included in the systematic review, which end up with a total of 162 papers to analyze (figure 1). From 1997 to 2010, a total of 44 articles were published in the following journals: Journal of Travel and Tourism Marketing, Recreation Research, International Journal of Contemporary Hospitality Management, International Journal of Tourism Research, International Journal of Wine Business Research, Journal of Wine Research. Such studies were responsible for 57% of the articles published. From 2011 onwards the articles published more than doubled the previous period. From the 118 articles published after 2011, 58% were published on the following journals: Current Issues in Tourism; International Journal of Wine Business Research, Tourism Analysis, International Journal of Contemporary Hospitality Management, International Journal of Tourism Research, Tourism Management, Tourism Recreation Research, Journal of Hospitality and Tourism Research, Tourism Planning and Development. Wine tourism sector has been studied using 38 different theories identified in the articles analyzed. Only 9 theories (51.9% of the total cited theories) are cited more than on time. The main theories cited in the papers include Servicescape (Bitner, 1992; Williams, 2021), Consumer behaviour (Loureiro et al., 2021; Schiffman et al., 2001), Experience economy (Pine and Gilmore, 1998; Vo Thanh and Kirova, 2018) Destination choice (Loureiro, 2020; Wu and Liang, 2020) and Theory of planned behaviour (TPB) (Ajzen, 1988, 2020; Sussman and Gifford, 2019). The articles published during the period of analysis on this topic are mostly based on empirical findings (92%), while 8% the articles analyzed are theoretical, and 16.1% are qualitative. The most common used data collection technique is the survey method. The systematic literature analysis also identified the principal constructs used in this research area. The most frequent antecedents of Loyalty are Involvement (12%) immediately followed by Experience (11%). Some other constructs observed are Perceived value (6%), Motivation (6%), Destination image (5%), Satisfaction (4%), Authenticity (3%), Quality (2%), Trust (2%), Service (2%) and Personal Attributes (2%). These 11 constructs represent a concentration of 55% within the antecedent’s constructs. Within the mediators and moderators, the most frequent used constructs we observe being mentioned in the literature were Satisfaction (13.7%), Involvement (12.3%), Winescape (8.2%), Intention to revisit (5.5%), Loyalty (4.1%), Motivation (4.1%) and Quality (4.1%). These 7 constructs are responsible for 52.1% of the total mediators and moderators mentioned in the literature. The consequents most observed are Intention to revisit (14.3%), Loyalty (11.4%), Intention to visit (8.6%), Intention to buy wine (7.1%), willingness to recommend (7.1%) and Satisfaction (7.1%). The 6 most frequent consequent constructs are accountable for 55.7% of the total constructs. This research is innovative and valuable once identifies and analyzes the main theories and constructs studied in wine tourism field since 1997 to actuality, being helpful in guiding scholars to new streams of research, allowing the progress in wine tourism knowledge. From a managerial perspective it’s very valuable to wine tourism and marketing managers, as provides important insights related with constructs that have a direct impact in wineries strategy and business. With the findings of this systematic literature review we were able to present a framework to show the main constructs and relationships used to study WT, present literature gaps and point out avenues for future research, in addition to providing businesses some guidelines on best practices.info:eu-repo/semantics/publishedVersio

Determinants of the classification of the share of profit or loss of equity investments

This paper examines the determinants of European Union companies’ classification choices of profit or loss of associates and joint ventures accounted for using the equity method within or outside the operating income. Based on a sample of 242 firms from 20 European countries that apply IFRS, we found that firms from Anglo-Saxon and Nordic countries are significantly more likely to choose to classify this share of profit or loss as operating income than their counterparts. In addition, we found that companies presenting a positive amount in the line item pertaining to the share of the profit or loss, companies with higher leverage, with higher annual change in revenues and companies audited by Big 4 audit firms are more likely to classify the share of profit or loss as operating income.info:eu-repo/semantics/acceptedVersio

The HARPS search for southern extra-solar planets. XXVII. Up to seven planets orbiting HD 10180: probing the architecture of low-mass planetary systems

Context. Low-mass extrasolar planets are presently being discovered at an increased pace by radial velocity and transit surveys, opening a new window on planetary systems. Aims. We are conducting a high-precision radial velocity survey with the HARPS spectrograph which aims at characterizing the population of ice giants and super-Earths around nearby solar-type stars. This will lead to a better understanding of their formation and evolution, and yield a global picture of planetary systems from gas giants down to telluric planets. Methods. Progress has been possible in this field thanks in particular to the sub-m/s radial velocity precision achieved by HARPS. We present here new high-quality measurements from this instrument. Results. We report the discovery of a planetary system comprising at least five Neptune-like planets with minimum masses ranging from 12 to 25 M_Earth, orbiting the solar-type star HD 10180 at separations between 0.06 and 1.4 AU. A sixth radial velocity signal is present at a longer period, probably due to a 65-M_Earth object. Moreover, another body with a minimum mass as low as 1.4 M_Earth may be present at 0.02 AU from the star. This is the most populated exoplanetary system known to date. The planets are in a dense but still well-separated configuration, with significant secular interactions. Some of the orbital period ratios are fairly close to integer or half-integer values, but the system does not exhibit any mean-motion resonances. General relativity effects and tidal dissipation play an important role to stabilize the innermost planet and the system as a whole. Numerical integrations show long-term dynamical stability provided true masses are within a factor ~3 from minimum masses. We further note that several low-mass planetary systems exhibit a rather "packed" orbital architecture with little or no space left for additional planets. (Abridged)Comment: 20 pages, 15 figures, accepted for publication in A&

The HARPS search for southern extra-solar planets. XXIV. Companions to HD 85390, HD 90156 and HD 103197: A Neptune analogue and two intermediate mass planets

We report the detection of three new extrasolar planets orbiting the solar type stars HD 85390, HD 90156 and HD 103197 with the HARPS spectrograph mounted on the ESO 3.6-m telescope at La Silla observatory. HD 85390 has a planetary companion with a projected intermediate mass (42.0 Earth masses) on a 788-day orbit (a=1.52 AU) with an eccentricity of 0.41, for which there is no analogue in the solar system. A drift in the data indicates the presence of another companion on a long period orbit, which is however not covered by our measurements. HD 90156 is orbited by a warm Neptune analogue with a minimum mass of 17.98 Earth masses (1.05 Neptune masses), a period of 49.8 days (a=0.25 AU) and an eccentricity of 0.31. HD 103197 has an intermediate mass planet on a circular orbit (P=47.8 d, Msini=31.2 Earth masses). We discuss the formation of planets of intermediate mass (about 30-100 Earth masses) which should be rare inside a few AU according to core accretion formation models.Comment: 9 pages, 5 figures. Accepted to A&