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The Return-Volatility Relation in Commodity Futures Markets 商品期货市场的收益-波动关系
UNSW Business School Research Paper Series Pub Date : 2015-06-11 DOI: 10.2139/ssrn.2617525
C. Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos, Thuy-Duong Tô
{"title":"The Return-Volatility Relation in Commodity Futures Markets","authors":"C. Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos, Thuy-Duong Tô","doi":"10.2139/ssrn.2617525","DOIUrl":"https://doi.org/10.2139/ssrn.2617525","url":null,"abstract":"By employing a continuous time multi‐factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market‐wide shocks. The opposite relation holds over quiet periods typically driven by commodity‐specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:127–152, 2016","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84080642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Avaliação De Artigos Científicos EM Marketing: Uma Proposição Do Comitê Científico De Marketing Da Anpad (2015-2016) (Review of Scientific Articles in Marketing: A Proposition of the Anpad's Sciencifc Committee (2015-2016)) 《市场营销科学文章评论:Anpad科学委员会的提案》(2015-2016)
UNSW Business School Research Paper Series Pub Date : 2015-05-09 DOI: 10.2139/SSRN.2604521
V. Brei, S. Farias, C. Matos, J. Mazzon
{"title":"Avaliação De Artigos Científicos EM Marketing: Uma Proposição Do Comitê Científico De Marketing Da Anpad (2015-2016) (Review of Scientific Articles in Marketing: A Proposition of the Anpad's Sciencifc Committee (2015-2016))","authors":"V. Brei, S. Farias, C. Matos, J. Mazzon","doi":"10.2139/SSRN.2604521","DOIUrl":"https://doi.org/10.2139/SSRN.2604521","url":null,"abstract":"Portuguese Abstract: Nesse artigo, o Comite Cientifico de Marketing da ANPAD (2015-2016) propoe um conjunto de reflexoes e sugestoes para avaliacao e elaboracao de pareceres para artigos cientificos submetidos aos congressos e aos periodicos cientificos de marketing. Analisamos o processo de submissao e revisao de artigos nos principais congressos – o Encontro Nacional da ANPAD (EnANPAD) e o Encontro de Marketing da ANPAD (EMA) – e periodicos de marketing. Mostramos quais sao os diferentes papeis e como atuam num processo de revisao os cientistas da academia brasileira de marketing – autores, editores, revisores, Comite Cientifico e Lideres de Tema da ANPAD. Tracamos algumas sugestoes a respeito do comportamento/postura de um revisor e analisamos quais sao os elementos essenciais de um bom artigo. Por fim, propomos uma grade de avaliacao (criterios) com o objetivo de ajudar os revisores a elaborarem seus pareceres a pesquisas teorico-empiricas, ensaios teoricos e casos de ensino.English Abstract: The ANPAD's Marketing Scintific Comitee (2015-2016) proposes a set of reflections and suggestions for evaluation and review of scientific papers submitted to the marketing congress and scientific journals. We analyze the submission and peer-review process in the most important Brazilian marketing congresses (ENANPAD and EMA). We show the different roles and how each scientist of the Brazilian marketing academy -- authors, editors, reviewers, Scientific Committee, and Theme Leaders -- participate in the review process. We develop some suggestions about the behavior/actions of the reviewers, and analyze which are the essential elements of a good academic paper. Finally, we propose a evaluation framework to help reviewers to elaborate their paper evaluations of about theoretical-empirical, and theoretical papers, as well as case studies.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76953207","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
It's Raining Men! Hallelujah? 下雨了!哈利路亚?
UNSW Business School Research Paper Series Pub Date : 2015-04-17 DOI: 10.2139/ssrn.2445285
Pauline Grosjean, Rose Khattar
{"title":"It's Raining Men! Hallelujah?","authors":"Pauline Grosjean, Rose Khattar","doi":"10.2139/ssrn.2445285","DOIUrl":"https://doi.org/10.2139/ssrn.2445285","url":null,"abstract":"We document the implications of missing women in the short and long run. We exploit a natural historical experiment, which sent large numbers of male convicts and far fewer female convicts to Australia in the 18th and 19th century. In more male-biased areas, women historically married more and were less likely to work. Today, in areas that were more male-biased historically, people have more conservative attitudes towards women working, women are less likely to have high-ranking occupations, and women earn a lower wage income. We document the role of vertical cultural transmission and of marriage homogamy in sustaining cultural persistence.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81949400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 37
A Multivariate Tweedie Lifetime Model: Censoring and Truncation 一个多变量Tweedie寿命模型:删减和截断
UNSW Business School Research Paper Series Pub Date : 2015-01-15 DOI: 10.2139/ssrn.2550507
Daniel H. Alai, Z. Landsman, M. Sherris
{"title":"A Multivariate Tweedie Lifetime Model: Censoring and Truncation","authors":"Daniel H. Alai, Z. Landsman, M. Sherris","doi":"10.2139/ssrn.2550507","DOIUrl":"https://doi.org/10.2139/ssrn.2550507","url":null,"abstract":"We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be interpreted in various ways, from nation-wide cohorts to employer-based pension annuity portfolios. In general, the common stochastic component is representative of systematic longevity risk, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75671758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Enhancing the Auditor's Report: To What Extent is there Support for the IAASB's Proposed Changes? 加强审计报告:在多大程度上支持国际会计准则理事会建议的变更?
UNSW Business School Research Paper Series Pub Date : 2014-04-17 DOI: 10.2308/ACCH-50791
R. Simnett, Anna Huggins
{"title":"Enhancing the Auditor's Report: To What Extent is there Support for the IAASB's Proposed Changes?","authors":"R. Simnett, Anna Huggins","doi":"10.2308/ACCH-50791","DOIUrl":"https://doi.org/10.2308/ACCH-50791","url":null,"abstract":"SYNOPSIS:  This article outlines proposed reforms to auditor reporting currently being considered by the International Auditing and Assurance Standards Board (IAASB), and other key national and transnational standard-setters and regulatory bodies. It adds to recent academic contributions on reforming the auditor's report by analyzing the 165 stakeholder responses to the IAASB's 2012 Invitation to Comment: Improving the Auditor's Report to determine levels of support for the IAASB's proposed reforms, and the differences, if any, between the views of various respondents based on stakeholder groups (e.g., audit and assurance firms, users, preparers, regulators, etc.) and regional classifications. Guided by insights from communication theory, our results show the levels of stakeholder support for the IAASB's proposed reforms addressing auditors' expectations, information, and communication gaps are mixed. The strongest overall support was for enhanced auditor reporting on other information attached to, or int...","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2014-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75085644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 59
Why Myths in Neoclassical Economics Threaten the World Economy: A Post-Keynesian Manifesto 新古典经济学中的神话为何威胁世界经济:后凯恩斯主义宣言
UNSW Business School Research Paper Series Pub Date : 2013-12-17 DOI: 10.2139/ssrn.2374960
G. Harcourt, Peter Kriesler, J. Nevile
{"title":"Why Myths in Neoclassical Economics Threaten the World Economy: A Post-Keynesian Manifesto","authors":"G. Harcourt, Peter Kriesler, J. Nevile","doi":"10.2139/ssrn.2374960","DOIUrl":"https://doi.org/10.2139/ssrn.2374960","url":null,"abstract":"There is a myth underlying neoclassical economic analysis of a 'Western' economy, which is that in anything but the relatively short run, defined as the length of a business cycle, the economy reaches an equilibrium position determined entirely by supply side factors and unaffected by measures taken to increase aggregate demand during a slump. This myth is not based on any factual analysis, it is simply assumed. It threatens the wellbeing of the world economy because it allows those who hold it to deny there is any need to change the deregulated state of the international financial sector, that caused the global crisis which started in 2007 and the effects of which have persisted ever since. The fundamental myth has a number of corollaries, which are worth calling associated myths. One of the most important is that the composition of spending to increase aggregate demand during a slump is irrelevant, so that it does not matter if the spending is directed towards consumer goods or to increasing physical and human capital. Another is that monetary policy has a more desirable impact on the economy than does fiscal policy. The paper focuses on neo-classical growth theory; comparative static implications are not considered. Finally, the policy implications are discussed.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82260457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Constructive Representation of Trust: Single Rule Paradigm 信任的建设性表征:单一规则范式
UNSW Business School Research Paper Series Pub Date : 2013-11-08 DOI: 10.2139/ssrn.2356013
A. Ramer, R. Marks
{"title":"Constructive Representation of Trust: Single Rule Paradigm","authors":"A. Ramer, R. Marks","doi":"10.2139/ssrn.2356013","DOIUrl":"https://doi.org/10.2139/ssrn.2356013","url":null,"abstract":"A constructive computational framework for trust and reputation assessments is presented. It is proven free from any inconsistent or contradictory assessments under any scenarios of its application. A prototype implementation has been developed. The framework focuses on a single information-theoretical rule as inference mechanism, thus avoiding any biases or spurious constraints in the solutions. The users of our model will find its results intuitively plausible, free from clustering or drift to the extrema. The entire framework is suited for a direct use in economic, financial and intelligence analyses.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83227783","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the Interpretation of Giving, Taking, and Destruction in Dictator Games and Joy-of-Destruction Games 论“独裁者游戏”和“毁灭之乐”游戏中给予、索取和破坏的含义
UNSW Business School Research Paper Series Pub Date : 2013-10-31 DOI: 10.2139/ssrn.2190240
Le Zhang, A. Ortmann
{"title":"On the Interpretation of Giving, Taking, and Destruction in Dictator Games and Joy-of-Destruction Games","authors":"Le Zhang, A. Ortmann","doi":"10.2139/ssrn.2190240","DOIUrl":"https://doi.org/10.2139/ssrn.2190240","url":null,"abstract":"The literature on dictator [D] and joy-of-destruction [JoD] games demonstrates that people can be nice and nasty. We study, by way of an experiment with between-subjects and within-subjects features, to what extent behaviors are context dependent and consistent. We find that, for one-shot D and JoD games, our participants' niceness and nastiness depend on the choice set. Contradicting the observed altruism and nastiness, participants tend to be selfish but nonetheless make choices that increase social welfare when given the opportunity.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89708293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Increasing Marginal Revenue and Demand Elasticity 增加边际收入和需求弹性
UNSW Business School Research Paper Series Pub Date : 2013-10-16 DOI: 10.2139/ssrn.2342858
R. Marks
{"title":"Increasing Marginal Revenue and Demand Elasticity","authors":"R. Marks","doi":"10.2139/ssrn.2342858","DOIUrl":"https://doi.org/10.2139/ssrn.2342858","url":null,"abstract":"If social “harm” is an inverse-U function against the degree of control of illicit drug markets, and if revenue can proxy “harm,” what demand functions result in increasing marginal revenue?","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76659096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk Distribution 非寿险准备金风险分布偏度估计的封闭公式
UNSW Business School Research Paper Series Pub Date : 2013-09-15 DOI: 10.2139/ssrn.2344297
Eric Dal Moro
{"title":"A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk Distribution","authors":"Eric Dal Moro","doi":"10.2139/ssrn.2344297","DOIUrl":"https://doi.org/10.2139/ssrn.2344297","url":null,"abstract":"In the same spirit as the Mack standard deviation for non-life reserves, which can be estimated with a closed-form formula applied to a loss development triangle (see Mack 1993), this article introduces a closed-form formula to estimate the skewness of non-life reserves which can also be applied to a loss development triangle. This closed-form formula is tested on 41 triangles and estimators of skewness per different lines of business are derived. These estimators are used to calibrate skew-normal and Generalized Extreme Value (\"GEV\") distributions for a fictitious reinsurance company so that a capital amount related to the reserve risk of this company using an internal model is calculated. This capital amount is then compared to the capital amount which would result from the use of lognormal distributions instead of skew-normal or GEV distributions. An excel sheet developed to estimate the presented closed-form formula is available on the internet.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2013-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85194580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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