Future Levels (future + level)

Distribution by Scientific Domains

Selected Abstracts

Nonlinear asymmetric models of the short-term interest rate

K. Ozgur DemirtasArticle first published online: 18 JUL 200
This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is introduced in discrete time and tested against the popular diffusion, GARCH, and level-GARCH models. Based on the statistical test results, the existing models are strongly rejected in favor of the newly proposed models because of the nonlinear asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical results indicate that the nonlinear asymmetric models are better than the existing models in forecasting the future level and volatility of interest rate changes. 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:869,894, 2006 [source]

Implied correlation index: A new measure of diversification

Vasiliki D. Skintzi
Most approaches in forecasting future correlation depend on the use of historical information as their basic information set. Recently, there have been some attempts to use the notion of "implied" correlation as a more accurate measure of future correlation. This study proposes an innovative methodology for backing-out implied correlation measures from index options. This new measure called implied correlation index reflects the market view of the future level of the diversification in the market portfolio represented by the index. The methodology is applied to the Dow Jones Industrial Average index, and the statistical properties and the dynamics of the proposed implied correlation measure are examined. The evidence of this study indicates that the implied correlation index fluctuates substantially over time and displays strong dynamic dependence. Moreover, there is a systematic tendency for the implied correlation index to increase when the market index returns decrease and/or the market volatility increases, indicating limited diversification when it is needed most. Finally, the forecast performance of the implied correlation index is assessed. Although the implied correlation index is a biased forecast of realized correlation, it has a high explanatory power, and it is orthogonal to the information set compared to a historical forecast. 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:171,197, 2005 [source]

Altered kelp (Laminariales) phlorotannins and growth under elevated carbon dioxide and ultraviolet-B treatments can influence associated intertidal food webs

Abstract Due to the importance of brown algae, such as kelp (Laminariales, Phaeophyta), within most cool nearshore environments, any direct responses of kelp to multiple global changes could alter the integrity of future coastal marine systems. Fifty-five-day manipulation of carbon dioxide (CO2) and ultraviolet light (UVB) within outdoor sea-tanks, approximating past, present and two predicted future levels, examined the direct influences on Saccharina latissima (=Laminaria saccharina) and Nereocystis luetkeana development and biochemistry, as well as the indirect influences on a marine herbivore (Tegula funebralis; Gastropoda, Mollusca) and on naturally occurring intertidal detritivores. Kelp species displayed variable directional (negative and positive growth) and scale responses to CO2 and UVB manipulations, which was influenced by interactions. Kelp phlorotannin (phenolic) production in blade tissues was induced by elevated UVB levels, and especially enhanced (additively) by elevated CO2, further suggesting that some actively growing kelp species are carbon limited in typical nearshore environments. Negative indirect effects upon detritivore consumers fed CO2 -manipulated kelp blade tissues were detected, however, no statistical relationships existed among UVB-treated tissues, and test herbivores did not distinguish between phlorotannin-altered CO2: UVB-treated kelp blade tissues. Results suggest that past and future conditions differentially benefit these kelp species, which implies a potential for shifts in species abundance and community composition. Higher CO2 conditions can indirectly impede marine decay processes delaying access to recycled trace nutrients, which may be disruptive to the seasonal regrowth of algae and/or higher trophic levels of nearshore ecosystems. [source]

Anticipating catastrophes through extreme value modelling

Stuart Coles
Summary. When catastrophes strike it is easy to be wise after the event. It is also often argued that such catastrophic events are unforeseeable, or at least so implausible as to be negligible for planning purposes. We consider these issues in the context of daily rainfall measurements recorded in Venezuela. Before 1999 simple extreme value techniques were used to assess likely future levels of extreme rainfall, and these gave no particular cause for concern. In December 1999 a daily precipitation event of more than 410 mm, almost three times the magnitude of the previously recorded maximum, caused devastation and an estimated 30000 deaths. We look carefully at the previous history of the process and offer an extreme value analysis of the data,with some methodological novelty,that suggests that the 1999 event was much more plausible than the previous analyses had claimed. Deriving design parameters from the results of such an analysis may have had some mitigating effects on the consequences of the subsequent disaster. The themes of the new analysis are simple: the full exploitation of available data, proper accounting of uncertainty, careful interpretation of asymptotic limit laws and allowance for non-stationarity. The effect on the Venezuelan data analysis is dramatic. The broader implications are equally dramatic; that a nave use of extreme value techniques is likely to lead to a false sense of security that might have devastating consequences in practice. [source]

Violence threatens future levels of output in Iraq

Article first published online: 13 DEC 200
The inability of the US and its allies to impose any kind of civil order on Iraq is threatening the country's future as a major oil producer. Not only is Iraq 's present level of oil production well below the level targeted for this year: the continuing chaos is also discouraging international oil companies from contributing to plans to raise production capacity to much higher levels. Further uncertainty over future levels of production has now come in the shape of rising opposition inside Iraq to foreign participation in the upstream sector. In the meantime, continuing attacks on oil installations across Iraq are depressing production and exports alike. [source]

The effect of predictive display on the control of step changes in effect site sevoflurane levels,

ANAESTHESIA, Issue 8 2010
R. R. Kennedy
Summary Graphical displays of past and future levels of drugs may be a useful adjunct to manual dosing. We have previously found that a display of predicted future values speeds step changes in end-tidal sevoflurane. In this study anaesthetists made step changes of 0.3% in effect site sevoflurane, with and without the display and as increases and decreases. We analysed 91 changes. When the predictive display was present, users made larger vaporiser dial changes of 3.9% vs 3.1% (95% CI for the difference ,1.3% to ,0.01%, p = 0.046) reflected in larger end-tidal changes (95% CI for the difference ,0.009 vol% to ,0.34 vol%, p = 0.06). There was no difference in the speed of change (220 vs 227 s (95% CI for the difference ,51 to 32 s)), or in the accuracy of the change. In this study the predictive display influenced the magnitude of the step changes made by anaesthetists but did not affect the speed or overall accuracy of the change. [source]

Future developments in global livestock and grains markets: the impacts of livestock productivity convergence in Asia-Pacific

Allan N. Rae
Increasing livestock product consumption in many Asian countries has been accompanied by growth in some countries' imports of feedgrains for their domestic livestock sectors. This contributes to debate over future levels of grain imports. Yet projections often pay little attention to developments in livestock production. The impacts of technological catch-up in livestock production on trade in livestock and grains products among countries in the Asia-Pacific region are assessed. Tests are conducted of the hypothesis that productivity levels in the Asia-Pacific region are converging. Projections of livestock productivity are made and incorporated in a modified GTAP model. The consequences for regional and global trade in livestock and grains products are explored. [source]