AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.Conditional volatility, skewness and kurtosis; Gram-Charlier series expansion; Stock indices.

Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.skewness and kurtosis, conditional volatility, Gram-Charlier series expansion, stock indices

Why do we smile? On the determinants of the implied volatility function.

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.Smiles; Bid–ask spread; Volatility; Causality;

Smiles, Bid-ask Spreads and Option pricing.

Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes.smiles; bid-ask spread; implied volatility function; option pricing;

La función de recursos humanos en tiempo de crisis

¿Cumplen los departamentos de recursos humanos los requisitos que se les deben exigir para armonizar los intereses de empleados y de organización en tiempos de crisis? En este estudio, utilizando una muestra de 270 empresas de la Región de Murcia, se analiza en que medida los directores de recursos humanos están haciendo frente a la crisis a través de la adaptación y transformación de tres de los procesos, diseño de puestos, formación y retribución, que más se relacionan con los objetivos de la flexibilidad laboral. Los resultados indican, en términos generales, que las prácticas de recursos humanos aún se diseñan de forma rígida y poco flexible, esto puede dificultar el desarrollo adecuado del capital humano, así como la aportación de valor necesaria por parte de la función de personal para contribuir a la competitividad de las organizaciones.______________________________________________Are the departments of human resources harmonizing the interests of the company with those of the human resources in crisis times? In this study, using a sample of 270 companies of the Region of Murcia, it is analyzed if human resources managers are facing the crisis across the adjustment and transformation of three of the processes which are more relate to labour flexibility: job design, training and compensation,. The results indicate, in general terms, that human resources practices are still rigid and inflexible, this can impede the suitable development of the human capital, as well as the necessary contribution of human resources to the competitiveness of firms

A new fuzzy ontology development methodology (FODM) proposal

There is an upsurge in applying fuzzy ontologies to represent vague information in the knowledge representation field. Current research in the fuzzy ontologies paradigm mainly focuses on developing formalism languages to represent fuzzy ontologies, designing fuzzy ontology editors, and building fuzzy ontology applications in different domains. Less focus falls on establishing a formal methodological approach for building fuzzy ontologies. Existing fuzzy ontology development methodologies, such as the IKARUS-Onto methodology and Fuzzy Ontomethodology, provide formalized schedules for the conversion from crisp ontologies into fuzzy ones. However, a formal guidance on how to build fuzzy ontologies from scratch still lacks in current research. Therefore, this paper presents the first methodology, named FODM, for developing fuzzy ontologies from scratch. The proposed FODM can provide a very good guideline for formally constructing fuzzy ontologies in terms of completeness, comprehensiveness, generality, efficiency, and accuracy. To explain how the FODM works and demonstrate its usefulness, a fuzzy seabed characterization ontology is built based on the FODM and described step-by-step

Modelling Biological Systems: A New Algorithm for the Inference of Boolean Networks

[EN] Biological systems are commonly constituted by a high number of interacting agents. This great dimensionality hinders biological modelling due to the high computational cost. Therefore, new modelling methods are needed to reduce computation time while preserving the properties of the depicted systems. At this point, Boolean Networks have been revealed as a modelling tool with high expressiveness and reduced computing times. The aim of this work has been to introduce an automatic and coherent procedure to model systems through Boolean Networks. A synergy that harnesses the strengths of both approaches is obtained by combining an existing approach to managing information from biological pathways with the so-called Nested Canalising Boolean Functions (NCBF). In order to show the power of the developed method, two examples of an application with systems studied in the bibliography are provided: The epithelial-mesenchymal transition and the lac operon. Due to the fact that this method relies on directed graphs as a primary representation of the systems, its applications exceed life sciences into areas such as traffic management or machine learning, in which these graphs are the main expression of the systems handled.This paper has been supported by the Generalitat Valenciana grant AICO/2020/114Rubio-Chavarría, M.; Santamaria Navarro, C.; García Mora, MB.; Rubio Navarro, G. (2021). Modelling Biological Systems: A New Algorithm for the Inference of Boolean Networks. Mathematics. 9(4):1-22. https://doi.org/10.3390/math9040373S1229

Aproximación a las técnicas constructivas en la transición del IV-III milenio A.N.E.: el Llano de la Cueva de los Covachos (Almadén de la Plata, Sevilla)

Se aborda el estudio de los materiales de construcción en masa de tierra endurecida con improntas vegetales mediante la realización de moldes elaborados con material epóxico con la intención de obtener evidencias de los entramados estructurales de las construcciones habitacionales y/o productivas en el sitio arqueológico de El Llano de la Cueva de los Covachos.This study addresses the construction materials landmass hardened imprints of plants by making epoxy molds made with the intent to obtain evidence of structural trusses residential buildings and / or production at the site El Llano de la Cueva de los Covachos

Why do we smile? On the determinants of the implied volatility function

We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.Publicad

Why do we smile? on the determinants of the implied volatility function

We report simple regressions and rather sophisticated linear and nonlinear Granger causality test in order to understand the pattem of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish ffiEX-35 index from January 1994 to Apri1 l996. Transaction costs, proxied by the bid-ask spread, seem to be a key determinant of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile