the incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market abstract this paper aims to investigate whether investor fear gauge ifg contains incremental information content for forecasting the volatility of crude oil futures for this purpose we use oil volatility index ovx to measure the ifg adding the ifg to existing heterogeneous autoregressive har models we develop many har models with ifg subsequently we employ these har models to predict the volatility of crude oil futures the results from the parameter estimation and out of sample forecasting show that the in sample and out of sample performances of har models with ifg are significantly better than their corresponding har models without ifg the results are robust in different ways thus the har models with ifg are more beneficial to the decision making of all participants including financial traders manufacturers and policymakers in the crude oil futures market more importantly the results suggest that the investor fear gauge has a significant positive effect on volatility forecasting and can help improve the performances of almost all the existing har models

historical reference hume and critical realism the purpose of this paper is to make the case for discussing developments in the history of thought as having the potential to inform modern discussion this is not to deny the importance of context or that new knowledge emerges over time which was not available to earlier thinkers but neither is taken as sufficient reason to deny any possibility of us learning from past thought the case is made by means of discussion of the particular relevance of david hume s thought for critical realism this is particularly controversial in that hume has been identified by critical realists as the inspiration for logical positivism from which critical realism dissents while critical realism is a body of thought of recent development it is argued here that hume has sufficient in common with critical realism to warrant considering the possibility that critical realists might learn from hume the notion that context is significant is used constructively by suggesting that important elements in common between the contexts of hume and of modern discussions reinforce the potential value of considering hume s ideas it is concluded that there is the potential for growth in knowledge from reference between the history of thought and modern discussions in economics and in particular between the nature and origins of hume s thought and the development of critical realism

asymmetric effects of oil price uncertainty on corporate investment abstract using a comprehensive data set of a large panel of us firms over 1984 2017 we show that the negative effect of crude oil price return uncertainty on investments is asymmetric in particular we show that investment is more significantly reduced following the volatility of positive oil price changes than that of negative changes and this asymmetric effect is more pronounced in small firms in addition we find that the asymmetric effect is stronger in the crude oil and gas producing companies where the effect of the volatility of negative oil price changes is greater than that of positive oil price changes we also find that the impact of positive or negative oil price change uncertainty on investments substantially differs across different industries the results are quite robust to the way in which we measure the investment and oil price uncertainty and to alternative regression methods

electricity market integration decarbonisation and security of supply dynamic volatility connectedness in the irish and great britain markets abstract this study investigates the volatility connectedness between the irish and great britain electricity markets and how it is driven by changes in energy policy institutional structures and political ideologies we assess various aspects of this volatility connectedness including static unconditional vs dynamic conditional symmetric vs asymmetric characteristics between 2009 and 2018 we find that the volatility connectedness is time varying and it is significantly affected by important events policy reforms or market re designs such as brexit oil price slump an increasing share of renewables and fluctuations in the exchange rates our asymmetric analysis shows that magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness our result suggests that good volatility levels would be even higher once the irish market adopts the carbon price floor therefore supporting renewable generation by setting an appropriate price of carbon in interconnected wholesale electricity markets will improve market integration

asymmetric volatility spillovers between crude oil and international financial markets abstract in this paper we examine asymmetric volatility spillovers between oil and international stock markets in a vector autoregression framework using a directed acyclic graph dag technique we provide evidence that bad total volatility spillovers dominate the system and change over time suggesting that a pessimistic mood and uninformed traders who tend to increase volatility dominate in markets positive spillovers of oil markets dominated from 2006 to mid 2009 but reversed after mid 2009 moreover the spillovers from good volatilities in oil markets to bad volatilities in global stock markets were significantly positive during the economic recovery period the recent important economic and political events have influenced asymmetries in volatility spillovers

coalitional game theory approach to modeling suppliers collaboration in supply networks abstract suppliers collaboration is a new paradigm to improve the utilization of collective intelligence in supply networks although existing literature advocates the notion of cooperation in supply networks there is a dearth of studies quantitatively analyzing cost and benefit of cooperation in this study we first develop a model for suppliers dynamic coalition formation using coalitional game theory the proposed cost structure influences the utility of each possible coalition and restricts the coalition size and search space for finding possible coalitions to distribute the profit earned by cooperation in a fair manner a criterion named shared capacity index is developed according to suppliers capacity share in the corresponding coalition a suppliers cooperation algorithm is then proposed to resolve possible conflicts among network members whereby each supplier is able to explore coalitional structures autonomously the efficiency of the proposed approach is evaluated through simulation studies and compared to other solution methods including shapley value and proportional fairness results demonstrate that long term cooperation among suppliers leads to enhanced average individual profit in the network

the impact of jumps on carry trade returns abstract this paper investigates how jump risks are priced in currency markets we find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns the positive risk premium constitutes compensation for the extreme losses during periods of market turmoil using the empirical findings we propose a jump modified carry trade strategy which has approximately two percentage point per annum higher returns than the regular carry trade strategy these findings result from the fact that negative jump betas are significantly related to the riskiness of currencies and business conditions

dynamic coalition formation and the core this paper presents a dynamic model of endogenous coalition formation in cooperative games with transferable utility tu the players are boundedly rational at each time step a player decides which of the existing coalitions to join and demands a payoff these decisions are determined by a best reply rule given the coalition structure and allocation in the previous period further the players experiment with myopically suboptimal strategies whenever there are potential gains from trade we establish an isomorphism between the set of absorbing states of the process and the set of core allocations and show that the process converges to one of these states with probability one whenever the core is non empty these results do not require superadditivity of the characteristic function and they carry over to the case of coalitional values depending on the coalition structure and to non transferable utility ntu games

realist philosophy of the social sciences and economics a critique this paper deals with critical realism as a contribution to the philosophy of the social sciences in the first section critical realism is introduced differences from other philosophies of sciences espicially positivism and falsificationism are discussed in the second section critical realism is criticised first for failing as a normative philosophy of science second for relying upon an impoverished notion of knowledge acquistion and finally for its unsuitablity as a contribution to social theory

synthesizing the malthusian and senian approaches on scarcity a realist account food entitlement decline fed and food availability decline fad are two approaches to explaining famines that have different policy implications one focuses on the systemic level whereas the other is concerned with the individual level they therefore analyse relatively distinct causal mechanisms thus an important question is whether these approaches can be reconciled another related question is how fad and fed based explanations relate to classical malthusian views about rapid food requirement increase fri this paper analyses these questions and argues that these three approaches can indeed be reconciled within a single framework by outlining the causal sources of fad fed and fri this task requires among other things the separation of ontological categories and empirical measures as a consequence of this argument the paper suggests that there are only seven possible ontological combinations of how a famine situation can arise as a direct cause simultaneously it maintains that there are virtually an infinite number of ways in which these combinations may act as indirect causes rooted in economic political and social conditions the analysis is exemplified by the bengal famine of 1943 because that famine is a well known case the wider research and policy applicability of this general account are discussed but have yet to be tested in relation to other scarcity cases water land fish this synthesis is made possible by the incorporation of critical realist interventions into economic theory

up and downside variance risk premia in global equity markets abstract this paper provides novel insights into the dynamic properties of variance and semivariance premia considering nine international stock market indices we find consistent evidence of significantly negative total and downside semi variance premia of around 15 bps per month these premia almost exclusively compensate investors for the risk of extreme negative returns we also document pronounced downside semivariance premia for longer times to maturity while the term structure of the total variance premium is upward sloping for all of the considered indices the slope is driven by upside semivariance premia which are positive over long horizons they can only be negative in adverse states characterized by high uncertainty and high risk aversion we show that a general equilibrium model featuring external habit formation and bad environment good environment dynamics for consumption and dividends can explain many of these stylized facts and highlight the economic mechanisms

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

which garch model for option valuation characterizing asset return dynamics using volatility models is an important part of empirical finance the existing literature on garch models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of asset returns this paper compares a range of garch models along a different dimension using option prices and returns under the risk neutral as well as the physical probability measure we judge the relative performance of various models by evaluating an objective function based on option prices in contrast with returns based inference we find that our option based objective function favors a relatively parsimonious model specifically when evaluated out of sample our analysis favors a model that besides volatility clustering only allows for a standard leverage effect

do negative and positive equity returns share the same volatility dynamics abstract this paper investigates whether positive and negative returns share the same dynamic volatility process the well established stylized facts on volatility persistence and asymmetric effects are re examined in light of such dichotomy to analyze the dynamics of down and up volatilities estimated from daily returns i use a bivariate generalization of the standard egarch model as a robustness check i also investigate various specifications of down and up realized measures estimated from high frequency data the empirical findings point to the existence of a marked diversity in the volatilities of positive and negative daily returns in terms of persistence and sensitivity to good and bad news a simple forecasting exercise highlights the striking performance of the proposed approach even during the crisis period

can stock volatility be benign new measurements and macroeconomic implications we find nonsynchronized movements of two new measures of financial market uncertainty good and bad volatility which are based on the maximum and minimum stock prices within a month good bad volatility is associated with better worse expectations about the future economic situation and clearly signals acceleration deceleration in economic activity the var results indicate that i output employment and stock price plummet rapidly in response to a bad volatility shock while their responses to a good volatility shock are modest and ii bad volatility shocks explain the bulk of economic activity and stock price fluctuations in the medium run

crude oil price volatility and short term predictability of the real u s gdp growth rate abstract the predictive power contained in crude oil price volatility with regards to forecasting the real u s gdp growth rate is evaluated contrary to models based on the price of crude oil specifications employing crude oil price volatility tend to afford statistically significant improvements in terms of population level predictability and finite sample forecast accuracy relative to the benchmark at the one quarter ahead horizon

good bad cojumps and volatility forecasting new evidence from crude oil and the u s stock markets abstract in this article we investigate the impacts of jumps cojumps and their signed components on forecasting oil futures price volatility in the framework of the heterogeneous autoregressive realized volatility model our empirical results reveal several noteworthy findings first the effects of signed jumps and cojumps based on the daily and intraday jump tests on future volatility are asymmetric and the negative components are much more powerful in forecasting volatility moreover our proposed models including the signed jump and cojump components are able to generate higher forecasting accuracy and we find that disentangling the effects of positive and negative jumps and cojumps can significantly improve forecasts of future volatility lastly our findings are reliable for various robustness checks and our study provides some new insights into forecasting oil price realized volatility which are useful for researchers market participants and policymakers

the unknown masterpiece marx s model of capital this paper develops an alternative to traditional interpretations of karl marx rooted in his 1859 preface widely regarded as the definitive summary of his materialist conception of society it does this by reading marx in the light of the ontology of realism and the reproductive mode of inference via an examination of some pivotal texts centered around the grundrisse notebooks the paper indicates how a realist understanding of marx s reproductive method can be used to reconstruct and develop its creation marx s model of capital copyright 1998 by oxford university press

perturbed adaptive dynamics in coalition form games abstract players adaptively learn how to bargain a characteristic function describes the available surplus the underlying bargaining game extends the nash demand game by allowing subcoalitions to reach an agreement players demands must be multiples of a money unit we show that stochastically stable allocations ssa i e allocations that are most stable to unlikely errors are a subset of the core uniqueness does not obtain even when the money unit becomes arbitrarily small nonetheless every ssa is related to the allocation that maximizes the product of players utilities over the core i e constrained egalitarian solution for tu games journal of economic literature classification numbers c71 c72 c78

adaptive play in multiplayer bargaining situations we study the dual issues of allocation and coalition formation in a model of social learning for a class of economies which can be expressed in terms of a real valued characteristic function we first show that all self perpetuating allocations realized from a simple bargaining game must be core allocations although players make simultaneous demands for surplus and only on their own behalf following this we provide a sufficient condition under which the society eventually learns to divide the surplus according to some core allocation regardless of the initial history

higher moment risk premiums for the crude oil market a downside and upside conditional decomposition abstract relying on options written on the uso an exchange traded fund tracking the daily price changes of the wti light sweet crude oil we extract variance and skew risk premiums in a model free way we further decompose these risk premiums into downside and upside conditional components and show that they can be partially explained by uso excess returns and more importantly these decomposed risk premiums enable a much better prediction of uso excess returns than the standard or undecomposed variance and skew risk premiums a comparison with existing results for the equity index option market further confirms the usefulness of the decomposition for the crude oil market

coalition formation as a dynamic process abstract we study coalition formation as an ongoing dynamic process with payoffs generated as coalitions form disintegrate or regroup a process of coalition formation pcf is an equilibrium if a coalitional move to some other state can be justified by the expectation of higher future value compared to inaction this future value in turn is endogenous it depends on coalitional movements at each node we study existence of equilibrium pcfs we connect deterministic equilibrium pcfs with unique absorbing state to the core and equilibrium pcfs with multiple absorbing states to the largest consistent set in addition we study cyclical as well as stochastic equilibrium pcfs

dynamic coalition reformation for adaptive demand and capacity sharing abstract to deal with volatile product demand and rapidly changing manufacturing technologies for sustainable returns selective collaboration among companies in supply networks sns is required recently demand and capacity sharing among independent and non competitive manufacturers at the same horizontal layer in sns has been studied through an appropriate coalition for collaborative demand and capacity sharing manufacturers can minimize their lost sales as well as maximize production capacity utilization against lumpy real demand in a previous study we have developed the collaborative demand and capacity sharing cdcs protocol which addresses a long term profitable and well balanced collaboration for each manufacturer through distributed decision making however the uncertainty of circumstances calls for an effective and timely reformation of coalitions in reality there is a trade off between frequent accommodation to changeable environments and high additional costs incurred by reformation hence in this paper we design the adaptive cdcs protocol based on dynamic contract mechanism in each period our protocol suggests whether to reform existing coalitions or not based on theoretical analyses of long term expected net profit to evaluate its performance a numerical experiment is conducted by comparing three models no collaboration static collaboration and dynamic collaboration by adaptive cdcs protocol dynamic collaboration results in more profits and its balanced redistribution by accommodating with changeable conditions

forecasting the realized volatility of the oil futures market a regime switching approach considering nonlinear and highly persistent dynamics of realized volatility we introduce markov regime switching models to the heterogeneous autoregressive model of the realized volatility har rv models to forecast the realized volatility of the crude oil futures market in sample results demonstrate that the high volatility regime is short lived out of sample results suggest that har rv models with regime switching increase the forecasting ability significantly than those without regime switching moreover these findings are robust for different actual volatility benchmarks forecasting windows and model settings

feminist and post keynesian economics challenges and opportunities there are significant areas of difference between feminist and post keynesian economics some feminist contributions to discussions about ontology and critical realism suggest strong reluctance to adopt realist philosophies and these provide a marked contrast with post keynesians frequent appeals for economics to reflect reality at the same time however some post keynesians are calling for a more inclusive pluralist approach to economic research a discussion that has areas of commonality with various feminist discussions of epistemology continued productive dialogue between the two traditions may be facilitated through an understanding of their contrasting ontological and epistemological debates it may be further accommodated by growing recognition of the potential advantages of utilising plural methods to address specific research questions copyright the author 2007 published by oxford university press on behalf of the cambridge political economy society all rights reserved oxford university press

news good or bad and its impact on volatility predictions over multiple horizons we examine whether the sign and magnitude of intra daily returns have impact on expected volatility the next day or over longer future horizons we first let the data speak namely with minimal interference we capture the mapping between intra daily returns and future volatility we revisit the concept of news impact curves introduced by engle and ng 1993 overall we find that moderately good intra daily news reduces volatility the next day while both very good news unusual high intra daily positive returns and bad news negative returns increase volatility with the latter having a more severe impact the asymmetries disappear over longer horizons we also introduce a new class of parametric models which feature asymmetries and with close ties to arch type models albeit applicable to a mixture of high and low frequency data models featuring asymmetries dominate especially during the 2007 2008 financial crisis

tails fears and risk premia we show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new investor fears index the index reveals large time varying compensation for fears of disasters our empirical investigations involve new extreme value theory approximations and high frequency intraday data for estimating the expected jump tails under the statistical probability measure and short maturity out of the money options and new model free implied variation measures for estimating the corresponding risk neutral expectations

good volatility bad volatility signed jumps and the persistence of volatility abstract using estimators of the variation of positive and negative returns realized semivariances and high frequency data for the s p 500 index and 105 individual stocks this paper sheds new light on the predictability of equity price volatility we showthat future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump with negative positive jumps leading to higher lower future volatility we show that models exploiting these findings lead to significantly better out of sample forecast performance

forecasting the volatility of crude oil futures using intraday data abstract we use the information in intraday data to forecast the volatility of crude oil at a horizon of 1 66 days using a variety of models relying on the decomposition of realized variance in its positive or negative semivariances part and its continuous or discontinuous part jumps we show the importance of these decompositions in predictive in sample regressions using a number of specifications nevertheless an important empirical finding comes from an out of sample analysis which unambiguously shows the limited interest of considering these components overall our results indicates that a simple autoregressive specification mimicking long memory and using past realized variances as predictors does not perform significantly worse than more sophisticated models which include the various components of realized variance

the asymmetric volatility in the gold market revisited abstract based on 13 5 years of intraday data this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market after decomposing realized volatility into positive and negative semivariance rolling estimations of the har model uncover the relative importance of the long term positive semivariance and reveal the dynamics of the individual volatility components over time two effects are identified the relevance of the short term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market the asymmetric nature of gold price volatility is multi faceted and hence more complex than previously documented

forecasting the good and bad uncertainties of crude oil prices using a har framework abstract good or bad uncertainty is the volatility that is associated with positive or negative innovations to asset prices this paper proposes new heterogeneous autoregressive type har type models to forecast the good and bad uncertainties of crude oil prices in this paper we investigate the effects of lagged bad and good uncertainties daily positive and negative signed jump variations and leverages on predicting good and bad uncertainties by in sample and out of sample analysis the in sample results show that bad and good uncertainties have long memory property and the predictability of long term good and bad uncertainties is stronger than that of short and mid term good and bad uncertainties the out of sample results indicate that lagged bad or good uncertainties daily positive signed jump variation and daily negative signed jump variation contain incremental out of sample information for forecasting good or bad uncertainties and in most cases lagged leverages also play indispensable roles in forecasting the good and bad uncertainties in the crude oil market moreover the results of out of sample analysis remain robust across using the other estimation window other har type models and the other sample

good volatility bad volatility and option pricing advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components recent studies establish that this decomposition enhances volatility predictions and highlight the upside downside variance spread as a driver of the asymmetry in stock price distributions to appraise the economic gain of this decomposition we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semivariance dynamics driven by the model free proxies of the variances the new model outperforms common benchmarks especially the alternative that splits the quadratic variation into diffusive and jump components

asymmetric volatility connectedness on the forex market abstract we show how bad and good volatility propagate through the forex market i e we provide evidence for asymmetric volatility connectedness on the forex market using high frequency intra day data of the most actively traded currencies over 2007 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility we also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in europe while positive spillovers are correlated with the subprime crisis different monetary policies among key world central banks and developments on commodities markets it seems that a combination of monetary and real economy events is behind the positive asymmetries in volatility spillovers while fiscal factors are linked with negative spillovers

the cross market dynamic effects of liquidity on volatility evidence from chinese stock index and futures markets abstractthis article investigates the cross market asymmetric dynamic effects of liquidity on realized volatility and its intersection with jump volatility between chinese stock index and futures m

forecasting realized volatility of crude oil futures with equity market uncertainty this paper examines whether the equity market uncertainty emu index contains incremental information for forecasting the realized volatility of crude oil futures we use 5 min high frequency tran