title: Extreme value modelling for forecasting market crisis impacts

authors: Zhao, Xin

abstract: This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) volatility model with a novel extreme value mixture model for the innovations. The proposed mixture model permits any distribution function for the main mode of the innovations, with the very flexible Generalized Pareto Distribution (GPD) for the upper and lower tails. A major advance with the mixture model is that it overcomes the problems with threshold choice in traditional methods as it is treated as a parameter in the model to be estimated. The model describes the tail distribution of both the losses and gains simultaneously, which is natural for financial applications. As the threshold is treated as a parameter, the uncertainty from its estimation is accounted for, which is a challenging and often overlooked problem in traditional approaches. The model is shown to be sufficiently flexible that it can be directly applied to reliably estimate the likelihood of impact of the financial crisis on stock and index returns.

text: Extreme value modelling for forecasting market crisis impacts This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) volatility model with a novel extreme value mixture model for the innovations. The proposed mixture model permits any distribution function for the main mode of the innovations, with the very flexible Generalized Pareto Distribution (GPD) for the upper and lower tails. A major advance with the mixture model is that it overcomes the problems with threshold choice in traditional methods as it is treated as a parameter in the model to be estimated. The model describes the tail distribution of both the losses and gains simultaneously, which is natural for financial applications. As the threshold is treated as a parameter, the uncertainty from its estimation is accounted for, which is a challenging and often overlooked problem in traditional approaches. The model is shown to be sufficiently flexible that it can be directly applied to reliably estimate the likelihood of impact of the financial crisis on stock and index returns.

year: 2010

title: The changing geography of world trade: Projections to 2030

authors: Anderson, Kym

subjects: global economy-wide model projections

abstract: Rapid economic growth in Asia (and some other emerging economies) has been shifting the global economic and industrial centres of gravity away from the north Atlantic, raising the importance of Asia in world trade, and boosting South–South trade. This paper examines how trade patterns are likely to change in the course of continuing economic growth and structural changes in Asia and the rest of the world over the next two decades. It does so by projecting a core baseline for the world economy from 2004 to 2030 and comparing it with alternative scenarios, including slower economic growth rates in the ‘North’, slower productivity growth in primary sectors, and prospective trade policy reforms in Developing Asia, without and with policy reforms also in the ‘North’ and in South–South trade. Projected impacts on international trade patterns, sectoral shares of GDP, ‘openness’ to trade, and potential welfare gains from reforms are highlighted, in addition to effects on bilateral trade patterns as summarized by intra- and extra-regional trade intensity and propensity indexes. The paper concludes with implications for regional and multilateral trade policy.

text: The changing geography of world trade: Projections to 2030 Rapid economic growth in Asia (and some other emerging economies) has been shifting the global economic and industrial centres of gravity away from the north Atlantic, raising the importance of Asia in world trade, and boosting South–South trade. This paper examines how trade patterns are likely to change in the course of continuing economic growth and structural changes in Asia and the rest of the world over the next two decades. It does so by projecting a core baseline for the world economy from 2004 to 2030 and comparing it with alternative scenarios, including slower economic growth rates in the ‘North’, slower productivity growth in primary sectors, and prospective trade policy reforms in Developing Asia, without and with policy reforms also in the ‘North’ and in South–South trade. Projected impacts on international trade patterns, sectoral shares of GDP, ‘openness’ to trade, and potential welfare gains from reforms are highlighted, in addition to effects on bilateral trade patterns as summarized by intra- and extra-regional trade intensity and propensity indexes. The paper concludes with implications for regional and multilateral trade policy.

year: 2012-08

title: An evaluation of Te Rau Puawai workforce 100: Stakeholder perspectives

authors: Nikora, Linda Waimarie

subjects: Maori students

abstract: To evaluate the Te Rau Puawai programme, the Ministry of Health commissioned the
Maori and Psychology Research Unit of the University of Waikato in July 2001. The
overall aim of the evaluation was to provide the Ministry with a clearer understanding
of the programme including: the perceived critical success factors, the barriers if any
regarding Te Rau Puawai, the impact of the programme, the extent to which the
programme may be transferable, gaps in the programme, and suggested
improvements.
There are a number of stakeholders who do not have a direct role in the provision of
Te Rau Puawai. These people are not involved in the day to day running of Te Rau
Puawai (as do, for example, the coordinator, support team or academic mentors),
nevertheless they play an important role, contributing in a variety of ways to the
programme.

text: An evaluation of Te Rau Puawai workforce 100: Stakeholder perspectives To evaluate the Te Rau Puawai programme, the Ministry of Health commissioned the
Maori and Psychology Research Unit of the University of Waikato in July 2001. The
overall aim of the evaluation was to provide the Ministry with a clearer understanding
of the programme including: the perceived critical success factors, the barriers if any
regarding Te Rau Puawai, the impact of the programme, the extent to which the
programme may be transferable, gaps in the programme, and suggested
improvements.
There are a number of stakeholders who do not have a direct role in the provision of
Te Rau Puawai. These people are not involved in the day to day running of Te Rau
Puawai (as do, for example, the coordinator, support team or academic mentors),
nevertheless they play an important role, contributing in a variety of ways to the
programme.

year: 2002-05-01