Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based component of the analysis also accommodates the concept of model-free implied volatility, such that the forecasting performance of the options market is separated from the issue of misspecification of the option pricing model. The forecasting assessment is conducted using an extensive set of observations on equity and option trades for News Corporation for the 1992 to 2001 period, yielding certain clear results. According to several different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this result being robust to the way in which alternative measures of future volatility accommodate microstructure noise and jumps. Of the volatility measures considered, the one which is, in turn, best forecast by the option-implied volatility is that measure which adjusts for microstructure noise, but which retains some information about random jumps.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures; Model-free Implied Volatility.

Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account. The paper also assesses the robustness of the performance of the option-implied forecasts to the way in which those forecasts are extracted from the option market. Using a test for superior predictive ability, model-free implied volatility, which aggregates information across the volatility 'smile', and at-the-money implied volatility, which ignores such information, are both tested as benchmark forecasts. The forecasting assessment is conducted using intraday data for three Dow Jones Industrial Average (DJIA) stocks and the S&P500 index over the 1996-2006 period, with future volatility proxied by a range of alternative noise-corrected realized measures. The results provide compelling evidence against the model-free forecast, with its poor performance linked to both the bias and excess variability that it exhibits as a forecast of actual volatility. The positive bias, in particular, is consistent with the option market factoring in a substantial premium for volatility risk. In contrast, implied volatility constructed from liquid at-the-money options is given strong support as a forecast of volatility, at least for the DJIA stocks. Neither benchmark is supported for the S&P500 index. Importantly, the qualitative results are robust to the measure used to proxy future volatility, although there is some evidence to suggest that any option-implied forecast may perform less well in forecasting the measure that excludes jump information, namely bi-power variation.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures

Pengaruh Gaya Kepemimpinan Transformasional Dan Transaksional Terhadap Kepuasan Kerja Karyawan (Studi Pada CV Kalingga Jaya Di Jakarta)

This research aims to examine and explain the effect of partially or simultaneously transformational and transactional leadership style on employee job satisfaction in CV Kalinga Jaya by using multiple regression analysis. The type of research used in this research is an explanatory research with a quantitative approach. Instruments in this study using a questionnaire that was distributed to employees Kalingga Jaya CV. Results from this study explains that there are significant partial and simultaneous among Transformational Leadership Style and Transactional Leadership Style on Job Satisfaction as measured by multiple regression analysis. Results of the analysis is also known that Transactional leadership style has significant influence partially on Employee Satisfaction Jaya CV Kalingga. The phenomenon can be concluded that the average employee criteria in Kalinga Jaya CV is the type of employees who expect a little risk in the work and it is difficult to get out of the comfort zone and working conditions like these can be created by the Transactional Leadership Style. According to research conducted by Leadership Style Bass that the private sector is more inclined to Transactional Leadership Styles

Dáil reforms since 2011: Pathway to power for the 'puny' parliament?

We know that the Dáil is dominated by the government. From 2010 to 2016 there was a clamour for change, which ultimately led to significant reforms of the Oireachtas, and specifically the Dáil. In this article we show that the basis for the weakness of the Dáil was the government’s control of the legislative agenda. This article tracks the changes that were made, and we make an early assessment of them. However, firm conclusions are difficult to draw because of the extent to which the strengthening of the Dáil is a function of the weak position of the current minority government

The Daily Consequences of Widowhood: The Role of Gender and Intergenerational Transfers on subsequent Housework Performance

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/142738/1/Nesse-Carr-House_Perf-JFI-2004.pd

High-Performance Micro-Fabricated Gas Chromatography Columns for Complex Mixture Analysis.

Separations of volatile and semi-volatile organic compounds using high performance micro-fabricated columns with on-board heaters and temperature sensors are described. The research is part of a large collaboration project for the development of a completely autonomous micro-gas chromatograph (µGC), capable of separating and detecting complex mixtures for a wide range of applications. Improvements in column performance and integration into more complex systems are explored. Initial separations were achieved using 3-m-long, square spiral channels, having rectangular cross sections of 150 x 240 µm and using a dynamic coating method for stationary phase deposition. This resulted in thicker than ideal stationary phases and poorer than expected column performance. A static coating method was developed, yielding thinner stationary phases, and in turn better performing columns. Total theoretical plates went from approximately 8000 plates, with the dynamic coating method, to approximately 12,000, with the static coating method. Using on-board heaters and temperature sensors patterned on the silicon side of the columns, temperature programming without the use of a large convection oven has been achieved. Temperature programming ramps up to 1000°C/min have been achieved, separating C5-C15 in approximately 12s. Using a single 3-m-long nonpolar column and temperature programming, a 30-component mixture has been separated in less than six minutes. This mixture spans five orders of magnitude in vapor pressure range. This is the greatest number of components separated on a microfabricated column ever reported. Increases in peak capacity were obtained by using dual column systems. The first system connected two microcolumns in series, temperature programming the two columns independent of each other. By varying column temperature, the elution order of components change and co-eluting compounds can be moved to areas of the chromatogram. The second system uses modulators to continuously focus and reinject compounds onto a shorter second column, allowing for separations over a two independent dimensions instead of a one-dimensional axis. The microcolumns were integrated into a microfabricated testbed system. Evaluation of the system determined optimal performance and flow rate. Separations of complex mixtures were obtained on the system, and these are some of the most complex mixtures separated on this system to date.Ph.D.ChemistryUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/62227/1/sreidy_1.pd

Apoptosis of Dedifferentiated Hepatoma Cells is Independent of NF-jB Activation in Response to LPS

Dedifferentiated hepatoma cells, in contrast to most other cell types including hepatoma cells, undergo apoptosis when treated with lipopolysaccharide (LPS) plus the protein synthesis inhibitor cycloheximide (CHx). We recently reported that the dedifferentiated hepatoma cells also exhibit a strong and prolonged NF-jB induction phenotype upon exposure to LPS, suggesting that NF-jB signaling may play a pro-survival role, as reported in several other cell systems. To test the role of NF-jB in preventing LPS-mediated apoptosis, we examined the dedifferentiated cell line M38. Results show that antioxidants strongly inhibited LPS + CHx-mediated cell death in the M38 cells, yet only modestly inhibited NF-jB induction. In addition, inhibition of NF-jB translocation by infection of the M38 cells with an adenoviral vector expressing an IjBa super-repressor did not result in LPS-mediated cell death. These results suggest that unlike TNFa induction, the cell survival pathway activated in response to LPS is independent of NF-jB translocation in the dedifferentiated cells. Addition of inhibitors of JNK, p38 and ERK pathways also failed to elicit LPS-mediated apoptosis similar to that observed when protein synthesis is prevented. Thus, cell survival pathways other than those involving NF-jB inducible gene expression or other well-known pathways appear to be involved in protecting the dedifferentiated hepatoma variant cells from LPS-mediated apoptosis. Importantly, this pro-apoptotic function of LPS appears to be a function of loss of hepatic gene expression, as the parental hepatoma cells resist LPSmediated apoptosis in the presence of protein synthesis inhibitors