3,709 research outputs found
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 25â34 and increased among those whose major income recipient is aged 55 and over; 5) the aging of the Canadian population over the 1984â1999 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 inequalityâwhich cannot be quantified with existing data setsâinclude 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 , amplitude , mean squared velocity , energy , and energy supply rate ,
derived from two solar cycles' worth (1996 - 2018) of Global Oscillation
Network Group (GONG) time series for harmonic degrees . 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
and depends on both frequency and harmonic degree of the modes,
with the largest variations of for modes with and with a min-to-max variation of
and of for modes with and with a min-to-max variation of
. The level of correlation between the solar radio flux
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
. 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 and energies of p modes are anti-correlated with the level of
activity, varying by and , 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 Ă la Loi sur les brevets du Canada sont entrĂ©es en vigueur. Ce changement a pour objet de permettre aux pays en voie de dĂ©veloppement dâavoir accĂšs Ă des mĂ©dicaments gĂ©nĂ©riques Ă moindre coĂ»t. Cette rĂ©forme met en oeuvre la DĂ©claration de Doha et la dĂ©cision du 30 aoĂ»t 2003 du Conseil gĂ©nĂ©ral de lâOrganisation mondiale du commerce. Le prĂ©sent article examine la pertinence de ces modifcations en les replaçant dans un contexte historique. Dans ce dessein, les auteurs retracent dâabord lâorigine historique du brevet en insistant sur le domaine pharmaceutique. Ils dĂ©montrent ensuite en quoi lâAccord sur les aspects des droits de propriĂ©tĂ© intellectuelle qui touchent au commerce (ADPIC) constitue un renforcement du rĂ©gime international de protection de la propriĂ©tĂ© industrielle pour enfn se demander si la solution adoptĂ©e Ă 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
LeuchttĂŒrme der deutschen Schullandschaft : Erfolgreiche AnsĂ€tze zur Verbesserung individueller Bildungschancen
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
Lâenseignement des angles aux Ă©lĂšves de 10 Ă 13 ans : identification dâun obstacle didactique
Cet article présente un exemple d'utilisation de la méthodologie des situations didactiques pour identifier un obstacle didactique dans un problÚme d'enseignement des mathématiques: il s'agit de l'enseignement du concept d'angle de secteur aux élÚves entre 10 et 13 ans. En s'appuyant sur l'analyse d'erreurs faites par les élÚves, 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 maniÚre détaillée un processus d'enseignement qu'ils ont élaboré et qui permet aux élÚves 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 utihzaoÎn de la metodologia de situaciones didacticas para identificar obstùculos didacticos en un problema de matematico: la ensenanza del concepto de angulo de sector a alumnos de 10 a 13 anos de edad. Apoyà ndose en el anà lisis de errores cometidos por los alumnos, los au to res retoman la identifßcacion de una concepciÎn erronea de angulo formulada por Balacheff. Los investigadores proponen una explicaciÎn de la production de esta concepciÎn 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 dreizehnjà hrigen Schulern. Die Verfasser berufen sich auf die Analyse der von den Schûlern gemachten Fehler und iibernehmen die schon von Balacheff formulierte Idee eines falschen Winkelverstà ndnisses. Sie binden den Ursprung dieses Verstà ndnisses an den ûblichen Unterricht und beschreiben dann ausfûhrlich eine Unterrichtsreihe, die sie ausgearbeitet haben und die es den Schulern ermÎglicht, dieses Hindernis zu iiberwinden
La diversité vue par un journal communautaire maghrébin à Montréal
Cet article se situe dans le champ dâĂ©tude des mĂ©dias âcommunautairesâ ou ethniques. Il analyse la couverture, par le journal communautaire maghrĂ©bin Atlas.Mtl, de la question de la diversitĂ© au QuĂ©bec. Lâanalyse montre quâAtlas.Mtl sâinscrit dans une logique de nĂ©gociation des rapports de force entre les citoyens dâorigine maghrĂ©bine et le groupe majoritaire, dans le cadre dâun systĂšme hĂ©gĂ©monique dont il ne conteste pas les fondements. Son approche est non conflictuelle, et le journal adopte un ton gĂ©nĂ©ralement conciliant qui ne rejette pas globalement les avantages dâun systĂšme libĂ©ral et laĂŻque, contrastant ainsi avec dâautres journaux plus radicaux dans leurs revendications. On y trouve une ouverture Ă la diversitĂ© dâopinions. En dehors des pĂ©riodes de tension sociale oĂč le discours sur lâimmigration et sur la diversitĂ© sâest durci, le contenu du journal revient Ă un ton moins revendicateur. Son apport se situe davantage au niveau de lâinformation quâĂ celui de la revendication, avec une prĂ©occupation claire pour la modification des situations dâinĂ©galitĂ©. Il sâen dĂ©gage une orientation gĂ©nĂ©rale qui propose une identitĂ© arabo-musulmane laĂŻque, modĂ©rĂ©e et libĂ©rale, spĂ©cifiquement maghrĂ©bine, assumant son appartenance Ă une sociĂ©tĂ© quĂ©bĂ©coise laĂŻque, et faisant partie de la diaspora internationale maghrĂ©bine. Nous situerons cette orientation dans les dĂ©bats entre le courant des Ă©tudes post-coloniales et les courants qui insistent sur les orientations Ă©conomiques et intĂ©grationnistes des mĂ©dias ethniques minoritaires, et nous proposerons des interprĂ©tations du positionnement du journal qui font rĂ©fĂ©rence au grand dĂ©bat entre islamisme et nationalisme laĂŻque dans les pays arabes
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