Measuring causality between volatility and returns with high-frequency data

We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On observing that a central difference between these alternative explanations lies in the direction of causality, we consider vector autoregressive models of returns and realized volatility and we measure these effects along with the time lags involved through short-run and long-run causality measures proposed in Dufour and Taamouti (2008), as opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures contracts, the associated realized volatilities (before and after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized volatility, we find a weak dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic leverage effect for the first three days at the daily frequency. The volatility feedback effect appears to be negligible at all horizons. By contrast, when implied volatility is considered, a volatility feedback becomes apparent, whereas the leverage effect is almost the same. We interpret these results as evidence that implied volatility contains important information on future volatility, through its nonlinear relation with option prices which are themselves forwardlooking. In addition, we study the dynamic impact of news on returns and volatility, again through causality measures. First, to detect possible dynamic asymmetry, we separate good from bad return news and find a much stronger impact of bad return news (as opposed to good return news) on volatility. Second, we introduce a concept of news based on the difference between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an anticipated increase in variance) has more impact on returns than a negative variance risk premium

"The Evolution of Wealth Inequality in Canada: 1984-1999"

Using data from the Assets and Debts Survey of 1984 and the Survey of Financial Security of 1999, we document the evolution of wealth inequality in Canada between 1984 and 1999. Our main findings are as follows: 1) Wealth inequality has increased between 1984 and 1999; 2) the growth in wealth inequality has been associated with substantial declines in real average and median wealth for recent immigrants and young couples with children; 3) real median wealth and real average wealth rose much more among families whose major income recipient is a university graduate than among other families; 4) real median and average wealth fell among families whose major income recipient is aged 25–34 and increased among those whose major income recipient is aged 55 and over; 5) the aging of the Canadian population over the 1984–1999 period has tended to reduce wealth inequality; 6) changes in permanent income do not explain a substantial portion of the growing gap between low-wealth and high-wealth families. Factors that may have contributed to rising wealth inequality—which cannot be quantified with existing data sets—include differences in the growth of inheritances, inter vivos transfers, rates of return on savings and number of years worked full-time. In particular, rates of return on savings may have increased more for wealthy family units than for their poorer counterparts as a result of the booming stock market during the 1990s.

GONG p-mode parameters through two solar cycles

We investigate the parameters of global solar p-mode oscillations, namely damping width $\Gamma$, amplitude $A$, mean squared velocity $\langle v^2\rangle$, energy $E$, and energy supply rate $\mathrm{d}E/\mathrm{d} t$, derived from two solar cycles' worth (1996 - 2018) of Global Oscillation Network Group (GONG) time series for harmonic degrees $l=0 - 150$. We correct for the effect of fill factor, apparent solar radius, and spurious jumps in the mode amplitudes. We find that the amplitude of the activity related changes of $\Gamma$ and $A$ depends on both frequency and harmonic degree of the modes, with the largest variations of $\Gamma$ for modes with $2400\,\mu\text{Hz}\le \nu \le 3300\,\mu\text{Hz}$ and $31\le l \le 60$ with a min-to-max variation of $26.6\pm0.3\%$ and of $A$ for modes with $2400\,\mu\text{Hz}\le\nu\le 3300\,\mu\text{Hz}$ and $61\le l \le 100$ with a min-to-max variation of $27.4\pm0.4\%$. The level of correlation between the solar radio flux $F_{10.7}$ and mode parameters also depends on mode frequency and harmonic degree. As a function of mode frequency, the mode amplitudes are found to follow an asymmetric Voigt profile with $\nu_{\text{max}}=3073.59\pm0.18\,\mu\text{Hz}$. From the mode parameters, we calculate physical mode quantities and average them over specific mode frequency ranges. This way, we find that the mean squared velocities $\langle v^2\rangle$ and energies $E$ of p modes are anti-correlated with the level of activity, varying by $14.7\pm0.3\%$ and $18.4\pm0.3\%$, respectively, and that the mode energy supply rates show no significant correlation with activity. With this study we expand previously published results on the temporal variation of solar p-mode parameters. Our results will be helpful to future studies of the excitation and damping of p modes, i.e., the interplay between convection, magnetic field, and resonant acoustic oscillations.Comment: Accepted for publication in Solar Physics. 33 pages, 16 figures, 5 table

La Déclaration de Doha sur la santé publique : la bonne prescription ? Une perspective historique sur le débat concernant la protection par brevet des médicaments

Le 14 mai 2005, les modifcations à la Loi sur les brevets du Canada sont entrées en vigueur. Ce changement a pour objet de permettre aux pays en voie de développement d’avoir accès à des médicaments génériques à moindre coût. Cette réforme met en oeuvre la Déclaration de Doha et la décision du 30 août 2003 du Conseil général de l’Organisation mondiale du commerce. Le présent article examine la pertinence de ces modifcations en les replaçant dans un contexte historique. Dans ce dessein, les auteurs retracent d’abord l’origine historique du brevet en insistant sur le domaine pharmaceutique. Ils démontrent ensuite en quoi l’Accord sur les aspects des droits de propriété intellectuelle qui touchent au commerce (ADPIC) constitue un renforcement du régime international de protection de la propriété industrielle pour enfn se demander si la solution adoptée à Doha puis au Canada est la bonne.On May 14, 005, the amendments to the Canada Patent Acttook effect. The purpose of the amendments is to make it possible for developing countries to have access to generic medicines at a lower cost. This reform implements the Doha Declaration and the August 30, 003 decision of the General Council of the World Trade Organization. This paper analyzes the relevance of these modifcations by situating them in their historic context. As such, the authors return to the historic origins of the patent by emphasizing developments in the pharmaceutical feld. They then illustrate the manner in which the Agreement on Trade-Related Aspects of Intellectual Property Rights (TRIPS Agreement) constitutes an intensifca-tion of the international system for protecting industrial ownership, then they fnally dwell upon righteousness of the solution adopted at Doha, then by Canada

Pressure-induced densification of vitreous silica: insight from elastic properties

\textit{In situ} high-pressure Brillouin light scattering experiments along loading-unloading paths are used to investigate the compressibility of vitreous silica. An accurate equation of state is obtained below \SI{9}{GPa} using sound velocities corrected for dispersion. Conversely, huge inelastic effects are observed in the range \SIrange{10}{60}{GPa}, unveiling the reversible transformation from the fourfold-coordinated structure to the sixfold one. We find that the associated density changes fully correlate with the average Si coordination number. Decompression curves from above \SI{20}{GPa} reveal abrupt backward coordination changes around \SIrange{10}{15}{GPa} and significant hysteresis. Further, contrary to common wisdom, the residual densification of recovered silica samples can be figured out from the pressure cycles.Comment: 5 pages, 4 figures, revised versio

Vitreous silica distends in helium gas: acoustic vs. static compressibilities

Sound velocities of vitreous silica are measured under He compression in the pressure range 0-6 GPa by Brillouin light scattering. It is found that the well-known anomalous maximum in the pressure dependence of the compressibility is suppressed by He incorporation into the silica network. This shows that the elastic anomaly relates to the collapse of the largest interstitial voids in the structure. The huge difference between the static and the acoustic compressibilities indicates that the amount of incorporated helium still increases at 6 GPa.Comment: 5 pages, 4 figure

L’enseignement des angles aux élèves de 10 à 13 ans : identification d’un obstacle didactique

Cet article présente un exemple d'utilisation de la méthodologie des situations didactiques pour identifier un obstacle didactique dans un problème d'enseignement des mathématiques: il s'agit de l'enseignement du concept d'angle de secteur aux élèves entre 10 et 13 ans. En s'appuyant sur l'analyse d'erreurs faites par les élèves, les auteurs reprennent à leur compte l'identification d'une conception erronée de l'angle déjà formulée par Balacheff. Ils proposent une explication à la production de cette conception par l'enseignement usuel et présentent de manière détaillée un processus d'enseignement qu'ils ont élaboré et qui permet aux élèves de surmonter cet obstacle.This article presents an example of a methodology of didactic situations as used to identify difficulties in teaching a mathematics problem. The problem examined relates to the teaching of the concept of angle to students aged 10 to 13 years. Based on an analysis of students' errors, the authors identify those errors in understanding the concept which were previously described by Balacheff. They propose that one explanation of the production of conceptual errors is the usual teaching methodology. The authors present a detailed description of their own teaching process which allows students to overcome these difficulties.Este articulo présenta un ejemplo de utihzaoôn de la metodologia de situaciones didacticas para identificar obstâculos didacticos en un problema de matematico: la ensenanza del concepto de angulo de sector a alumnos de 10 a 13 anos de edad. Apoyàndose en el anàlisis de errores cometidos por los alumnos, los au to res retoman la identifîcacion de una concepciôn erronea de angulo formulada por Balacheff. Los investigadores proponen una explicaciôn de la production de esta concepciôn en la ensenanza usual y presentan de forma detallada un proceso de ensenanza que permite a los alumnos superar este obstaculo.In diesem Artikel wird die Méthode der didaktischen Situationen exemplarisch angewendet, um ein didaktisches Hindernis innerhalb des Mathematikun- terrichts zu ermitteln: es handelt sich dabei um den Begriff des Sektorenwinkels bei zehn- bis dreizehnjàhrigen Schulern. Die Verfasser berufen sich auf die Analyse der von den Schûlern gemachten Fehler und iibernehmen die schon von Balacheff formulierte Idee eines falschen Winkelverstàndnisses. Sie binden den Ursprung dieses Verstàndnisses an den ûblichen Unterricht und beschreiben dann ausfûhrlich eine Unterrichtsreihe, die sie ausgearbeitet haben und die es den Schulern ermôglicht, dieses Hindernis zu iiberwinden

La diversité vue par un journal communautaire maghrébin à Montréal

Cet article se situe dans le champ d’étude des médias “communautaires” ou ethniques. Il analyse la couverture, par le journal communautaire maghrébin Atlas.Mtl, de la question de la diversité au Québec. L’analyse montre qu’Atlas.Mtl s’inscrit dans une logique de négociation des rapports de force entre les citoyens d’origine maghrébine et le groupe majoritaire, dans le cadre d’un système hégémonique dont il ne conteste pas les fondements. Son approche est non conflictuelle, et le journal adopte un ton généralement conciliant qui ne rejette pas globalement les avantages d’un système libéral et laïque, contrastant ainsi avec d’autres journaux plus radicaux dans leurs revendications. On y trouve une ouverture à la diversité d’opinions. En dehors des périodes de tension sociale où le discours sur l’immigration et sur la diversité s’est durci, le contenu du journal revient à un ton moins revendicateur. Son apport se situe davantage au niveau de l’information qu’à celui de la revendication, avec une préoccupation claire pour la modification des situations d’inégalité. Il s’en dégage une orientation générale qui propose une identité arabo-musulmane laïque, modérée et libérale, spécifiquement maghrébine, assumant son appartenance à une société québécoise laïque, et faisant partie de la diaspora internationale maghrébine. Nous situerons cette orientation dans les débats entre le courant des études post-coloniales et les courants qui insistent sur les orientations économiques et intégrationnistes des médias ethniques minoritaires, et nous proposerons des interprétations du positionnement du journal qui font référence au grand débat entre islamisme et nationalisme laïque dans les pays arabes