Fear Trading

Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,[3]). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied volatility. Based on S&P100 and VIX data, we show that abnormally high levels of volatility can be used as a trading signals for long traders. A bootstrap procedure confirms the significant returns for the 1986-2003 period.VIX, trading strategy

Analysis of dependencies in low frequency financial data sets

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results indicate that even in a low-frequency framework, the common practice of assuming independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are observed across securities, especially for interest rates.dependencies; low-frequency; monthly; copula; GARCH

Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange log-returns time series and compare the Maximum Likelihood and the Bayesian estimates. Next, we illustrate some appealing aspects of the Bayesian approach through interesting probabilistic statements made on the parameters.GARCH model; Bayesian estimation; Markov Chain Monte Carlo

Does the Emperor Have no Clothes? Enforcement of International Laws Protecting the Marine Environment

This article examines existing structures and mechanisms for the enforcement of international environmental laws, particularly international laws that must confront violations on the high seas in order to protect marine organisms. Although the tenor of the present analysis is general, many of the most influential international marine agreements to date are highlighted, including the Third United Nations Conference on the Law of the Sea, the Convention on Future Multilateral Co-Operation in the Northwest Atlantic Fisheries, and the United Nations Agreement on the Conservation and Management of Straddling Fish Stock and Highly Migratory Fish Stock

Court Transparency and the First Amendment

This is a critical time for court transparency because the courts, like so many institutions of government, are in the midst of a transformation from the largely paper-based world of the twentieth century to an interconnected, electronic world where physical and temporal barriers to information are disappearing. Not surprisingly, the shift to electronic access to the courts raises significant privacy concerns. As a result of these and other concerns, a number of courts and legislatures are considering sharply limiting public access to certain court proceedings and records