Modelling the Convenience Yield in Carbon Prices using Daily and Realized Measures

Modelling the Convenience Yield in Carbon Prices using Daily and Realized Measures

Author(s): Julien Chevallier / Language(s): English / Issue: 1/2009

Keywords: Convenience Yield; Carbon Price; EU ETS; High-frequency Data; Realized Volatility

This article investigates the modelling of the convenience yield in the European carbon market by using daily and intradaily measures of volatility. The convenience yield stems from differences in spot and futures prices, and can explain why firms hold inventories. The main findings are that (i) a simple AR(4) process best describes the 2008 convenience yield, and (ii) there exists a non-linear relation between spot and futures prices. The approach developed in this article captures 74% of the explanatory power for the 2008 convenience yield variable in an autoregressive framework, with carbon spot price levels, moving averages and carbon futures realized volatility measures as exogenous regressors. These results are of interest for energy utilities, risk-managers, and traders exposed to the variation of carbon prices.

A Review on Recent Trends of Stochastic Volatility Models

A Review on Recent Trends of Stochastic Volatility Models

Author(s): Pramatha Nath Basu,Tapan Kumar Ghoshal,Atanu Das / Language(s): English / Issue: 1/2009

Keywords: Stochastic; volatility; model; filtering; estimations; asymmetry

Proper choice of econometric model for characterizing stochastic volatility is essential for different financial problems like prediction, VaR estimation, option pricing etc. This paper reviews the stochastic volatility models (SVMs) with an emphasis on realized volatility literatures. SVMs evolved and characterized during last two decades are considered for comparison with respect to their evolution and contributions. This work uses unified mathematical notations for explaining the models from diversified approaches in the supporting literature. The present work summarizes estimation techniques, and advocates the use of sophisticated filtering techniques for different types of state and parameters of SVMs

Constructing Fama-French Model from Russell/Nomura Style Indexes: Japanese Evidence

Constructing Fama-French Model from Russell/Nomura Style Indexes: Japanese Evidence

Author(s): Elhaj Mabrouk Walid,Wee-Yeap Lau / Language(s): English / Issue: 1/2009

Keywords: Asset Pricing; Fama and French risk factors; Generalized Method of Moments (GMM).

In this paper we use risk factors constructed from Russell/Nomura style indexes in an attempt to make the Fama and French (FF) three-factor model more appealing, which is new to the existing literature. The newly constructed size and Book-to-Market (BM) risk factors made from style indexes possess similar features to those used in previous literature. The performance of Fama and French (FF) asset pricing model based on the proxy factors is evaluated through a direct and simple generalized method of moments (GMM) test of 33 industry indexes from Tokyo Stock Exchange First Section, JASDAQ, Hercules, and other exchanges. The over-identifying restrictions test statistics could not reject the FF model with any industry. Also, the estimated risk factor premiums brought further support to the use of FF model with risk factors constructed from style indexes.

The Temporal Lead Lag and Causality between Spot and Futures Markets: Evidence from Multi Commodity Exchange of India

The Temporal Lead Lag and Causality between Spot and Futures Markets: Evidence from Multi Commodity Exchange of India

Author(s): Malabika Deo,K. Srinivasan / Language(s): English / Issue: 1/2009

Keywords: Mini Gold Futures; Price Discovery; MCX; Cointegration; VECM

The current surge of soaring gold prices has renewed interest on price discovery of competing markets. The purpose of this article is to examine the temporal lead lag and causality between Mini gold spot and futures market by taking daily closing values for both the indices from the sample period June 1st January 2005 to 31st December 2008 for the Multi Commodity Exchange of India (MCX). Data properties were used to determine the stationarity of the spot and futures market variables by using Augmented Dickey Fuller (ADF) and Phillip Perron (PP) tests which indicated that the two series are integrated at I(1). The study employs Johansen’s Cointegration test and Vector Error Correction Model (VECM) for analyzing the long run and speed of equilibrium between the bivariate variables. The findings of the study reveal that, in the long run, both the markets are cointegrated and there exists a causal relationship between these two markets. Finally, the results shows that unidirectional causality is running from spot to futures market in long-run dynamics and spot market serves as a primary market for price discovery.

Diversification, Performance, and Performance Persistence in Exchange-Traded Funds

Diversification, Performance, and Performance Persistence in Exchange-Traded Funds

Author(s): Frederick Adjei / Language(s): English / Issue: 1/2009

Keywords: Diversification; performance persistence in ETFs

We examine the degree of diversification, performance, and performance persistence in ETFs. We find that about 38% of an average ETF’s total risk is diversifiable risk and the medium blend ETFs are the least diversified. We also find no significant differential performance between ETFs and the S&P 500 index. Additionally, we find weak evidence of performance persistence on both the half-yearly and the yearly horizons.

Explaining Pacific-Basin Financial Market Returns by Size of Firm

Explaining Pacific-Basin Financial Market Returns by Size of Firm

Author(s): Zhenzhen Sun,Jeffrey E. Jarrett / Language(s): English / Issue: 1/2009

Keywords: Pacific Basin stock markets; time series regression methods; size of firms

Authors study market return for firms listed on the financial exchanges in Hong Kong, Japan, Taiwan, Thailand, South Korea, and Malaysia (six Pacific Basin Nations. They stud whether we can explain differences in financial returns for firms by the general size of the firms. They investigate whether the associations are systemic (due to firm size) or are due to other factors.

The Synaxarion Lections in the Early Slavonic Gospel Manuscripts

Синаксарните четива в ранните славянски евангелски ръкописи

Author(s): Ekaterina Dogramadzhieva / Language(s): Bulgarian / Issue: 1/2000

The first stage in the development of the Slavonic Gospel Book (10th–14th c.) has been studied on the basic of 86 Bulgarian, Serbian and Russian copies. The composition of the lections is presented by dates in Table 1 and by evangelists in Table 2. In them are described which Gospel fragments are used in the Synaxarion and for which date each of them is designed. The differences between the manuscripts in the use of the lections have been established. In some cases the variants are totally lections while in other cases they are with a common nucleus and different scope. The lection which is contained in the prevailing number of manuscripts is defined as basic. The lections in the early Slavonic Synaxarion are partially unified. The unification includes chiefly the cycle After Passover, the Saturdays and Sundays of the other cycles and the Matin Easter Gospels, i. e. The Gospel reading determined the earliest for devine service. The pericopes introduced later were subjected more easily to changes or replacements. Repetitions of identical lections for different dates were established either within the framework of the same pericope system or of two different pericope systems (Mstislav and Miroslav). The repetitions created conditions for one of the pericopes to be dropped or to refer to the analogous pericope. An attempt has been made on the basis of the Synaxarion lections to extract data on the genealogical links between the copies studied.

Types of Titles in the Tradition of Copying the Vita of Constantine-Cyril

Типове наслови в преписваческата традиция на Житието на Константин-Кирил

Author(s): Maja Ivanova / Language(s): Bulgarian / Issue: 1/2000

The detailed vita of St. Constantine-Cyril (VC) is the first Old-bulgarian hagiographic work to reach us in 66 complete copies from the 15th to the 19th centuries. The suggested research is based on 50 of them and has for object the titles. Exactly in the titling phrases are noticed some sense variations in compliance with the conception for actuality. The material is described and classified by types. The accurate synthesis points out that at first time the sainted degree блаженъ and the name Конъстанътинъ Философъ make a stable semantic form. The subsequent sensible synthetic reading offers a variant свѧтъи - Кѵрилъ. The same regular alteration logically testifies the panegyric of the earliest Slavic teacher. The presence of textual variations helps studying the relative connections among the copies. These observations cannot rehabilitate the genealogy in the textual tradition of VC but they are peculiar signals which mark the directions for entering in the fundamental text.

Two Combined Canons to the Dormition of Our Lady (The Principles of the Combination)

Два комбинированных канона на Успение Богородицы (принципы объединения)

Author(s): Ludmila Moškova / Language(s): Russian / Issue: 1/2000

In this article two combined canons devoted to the Dormition of Our Lady in the Codex of the State Historical Museum (Moskow), coll. A. I. Khludov, No 164 are examined. The first one, of the fourth mode, includes the troparia from two canons – of John of Damascus and Clement of Ochrid, the second one, of the first mode, consists of the troparia from three canons at least – of Andrew of Grete, Kosmas the Monk and an unknown author. So the principles of troparia combination were scrutinised and their main peculiarites, difference and similarity for each canon were determined. The text of these combined canons published at the end of the article permits both to see them visually and to check up the conclusions drawn by the author.

The Slavic Lingual Presence in the Athonite Capital of Karyai (The Slavic Manuscripts of the Ptotaton Library)

The Slavic Lingual Presence in the Athonite Capital of Karyai (The Slavic Manuscripts of the Ptotaton Library)

Author(s): Cyril Pavlikyanov / Language(s): English / Issue: 1/2000

The main goal of the article is to provide a detailed description of all the Slavic manuscripts available in the Protaton library on Mount Athos. The Protaton Slavic codices were found to be only eight. Some of them are preserved in rather good condition. No description of the manuscripts is found in the library. The eight Slavic books described in this article are unknown to the Slavistic scholarly community, despite the fact that they are mentioned in the monograph Survey of the Athonite Antiquities, published by the Bulgarian scholar and pilgrim Konstantin Dmitriev-Petkovich in the mid-nineteenth century. The general catalogue of the Athonite Slavic codices, which was recently published by A. Turilov and L. Moshkova, mentions no Slavic manuscripts belonging to the Protaton library.

Starobalgarskiyat prevod na knigite ot Stariya Zavet – edno novo nachalo

Старобългарският превод на книгите от Стария Завет – едно ново начало

Author(s): Tatyana Slavova / Language(s): Bulgarian / Issue: 1/2000

Izvori za Tsarkovnata politika prez IX v.

Извори за църковната политика през IX в.

Author(s): Elena Kotseva / Language(s): Bulgarian / Issue: 1/2000

Mezhdunarodna konferentsiya “Petstotin godini Genadievska bibliya”

Международна конференция „Петстотин години Генадиевска библия”

Author(s): Marija Jovčeva / Language(s): Bulgarian / Issue: 1/2000

Probable Old Bulgarian Evidence of Prehistoric Meanings of the Indo-European Accusative

Възможни старобългарски свидетелства за древни значения на индоевропейския винителен падеж

Author(s): Valentin Gešev / Language(s): Bulgarian / Issue: 4/1999

The paper argues that in the Old Bulgarian texts as well as in the older East Slavonic and Polish ones there is some evidence of unusual locative meanings of the accusative. These are rare accusative constructions accompanying verbs which do not mean movement, hence the accusative marker in them does not designate direction but mere place. It is only quite a limited number of nouns or adjectives that occur in such (obviously archaic) constructions. They mean place, side, East, North, South, upper, right, left, end, mouth (of a river), stomach, i. e. they denote entities without any volume or form – relative co-ordinates or parts of objects. What is more, in the Slavonic languages after certain prepositions the accusative means (or used to mean) physical contact while the locative or the instrumental mean (or used to mean) lack of physical contact with the surface of the object. All this gives us reason to conjecture that direction was not the (only) primary spatial meaning of the Indo-European accusative markers and that they originated (at least partially) in markers connected with the form and segments of the objects designating physical contact with their surface.

The Old Bulgarian Abstract Substantives with Suffixes -ость ( -ѥсть ) in the Contemporary Ukrainian Language

Старобългарските съществителни с абстрактно значение с наставка -ость (-ѥсть) в съвременния украински език

Author(s): Albena Stamenova / Language(s): Bulgarian / Issue: 4/1999

The present paper concerns the destiny of the Old-Bulgarian substantives with suffixes -ость (-ѥсть) in the contemporary Ukrainian language. Suggested is the existence of a nondocumented model of wordbuilding in Old Bulgarian.

Mnogoaspekten leksikolozhki rakurs kam slavyanskata tekstova traditsiya na parenesisa na Efrem Sirin

Многоаспектен лексиколожки ракурс към славянската текстова традиция на паренесиса на Ефрем Сирин

Author(s): Lora Taseva / Language(s): Bulgarian / Issue: 4/1999

Visual Correlation Analysis of Financial Time Series

Visual Correlation Analysis of Financial Time Series

Author(s): Jovica Stanković,Jelena Stanković,Ognjen Radović / Language(s): English / Issue: 2/2016

Keywords: correlation; minimum spanning tree; financial time series; emerging markets

The massive amount of financial time series data that originates from the stock markets generates huge quantity of complex data that is of interest to a large number of market participants. In order to gain a comprehensive understanding of the market mechanism investors require adequate solutions that can effectively handle the information. In this paper the concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of stocks from the South-East European emerging markets. It is presented how the MST and its related hierarchical tree evolve over time and describe the development of securities linkages. Over the sample period, 2007–2014, linkages between securities have changed, especially during the period of global financial crisis, what can have significant implications for investment decision-making.

THE ROLE OF MONETARY AND MACROPRUDENTIAL POLICIES IN PURSUIT OF FINANCIAL STABILITY

THE ROLE OF MONETARY AND MACROPRUDENTIAL POLICIES IN PURSUIT OF FINANCIAL STABILITY

Author(s): Mirjana Jemović,Srđan Marinković / Language(s): English / Issue: 2/2016

Keywords: crisis; financial stability; macroprudential policy; monetary policy; banking union

During the recent financial crisis, there have been significant real and fiscal implications that have renewed concerns of the regulatory agencies for financial stability. The stability of the financial system implies its resistance, which must be set up in advance and installed along the entire lifetime of financial institutions. The authors of this study have firstly presented the concept and conceptual questions of financial stability, and secondly, they have perceived the role of relevant policies in preserving financial stability. Special emphasis is given to the role of monetary and macroprudential policies and their conditionality in the realization of the same objective. Since the policy of preserving financial stability is a particularly sensitive area within the European Union (EU), this paper has summed up the current framework for financial stability, as well as the efforts towards the creation of the banking union.

MODELING MONTHLY INFLATION IN THE REPUBLIC OF SERBIA, MEASURED BY CONSUMER PRICE INDEX

MODELING MONTHLY INFLATION IN THE REPUBLIC OF SERBIA, MEASURED BY CONSUMER PRICE INDEX

Author(s): Zorana Kostić,Vinko Lepojević,Vesna Janković Milić / Language(s): English / Issue: 2/2016

Keywords: consumer price index; inflation; forecasting; Holt-Winters smoothing method; ARIMA

This paper presents a framework for the practical modeling of inflation, as one of the key economic indicators. Empirical research of monthly inflation trends in the Republic of Serbia was done covering the period from January 2007 to December 2015. The seasonally adjusted ARIMA model and Holt-Winters smoothing were used for determining the future values of the consumer price index, which has been a measure of inflation in the Republic of Serbia since January 2009. The main objective of the study is to create a model that will be used for analytical and forecasting purposes. The specific objective is the comparative analysis of accuracy of these two methods (Holt-Winters and ARIMA) in determining the future value of the consumer price index. The work relies on the theoretical results of dual relationship between AR (p) and MA (q) processes in determining the future values of consumer price index.

CORPORATE GOVERNANCE MECHANISMS EFFECTIVENESS: THE CASE OF TRANSITION COUNTRIES

CORPORATE GOVERNANCE MECHANISMS EFFECTIVENESS: THE CASE OF TRANSITION COUNTRIES

Author(s): Verica Babić,Jelena Nikolić,Milena Stanisavljević / Language(s): English / Issue: 2/2016

Keywords: transition countries; privatization; corporate governance mechanisms; ownership concentration; board of directors

Ever since ownership and management were separated, corporate governance emerged as an essential institution of market economy. Based on this statement, several corporate governance mechanisms have been extensively researched. Developed and transition countries, according to the differences that determine the corporate governance model, which refer to the historical and cultural heritage of countries, socio-economic conditions, legal/institutional framework and ownership structure, apply various corporate control mechanisms. Since market institutions are missing in transition countries, and institutional framework is insufficiently developed, these countries must develop appropriate corporate governance model, as well as corporate governance mechanisms. Due to these mentioned features, the research topic is to analyze effectiveness of corporate governance mechanisms in selected transition countries with common socio-economic environment. Special attention is given to the problems of corporate governance mechanisms improvement and possibilities of overcoming them.