36,152 research outputs found
Can OTC Currency Option Volatility Smile Predict Currency Future Returns?
No full text有許多文獻都探討選擇權市場波動率微笑與現貨市場報酬間的關係，許多實證研究顯示波動率微笑的確對於現貨市場的未來報酬有預測的作用，代表選擇權市場隱含著現貨市場的資訊。本篇文章中與之前的文獻不同的地方在於利用OTC市場的資料，而不是公開市場的資料，來驗證外匯選擇權與外匯未來的報酬之間的關係。
我們將外匯報酬與從波動率微笑中定義的變數作迴歸，發現只有有關日幣的匯率迴歸所得到的結果具有顯著性。這種線性的顯著性可以維持超過20個禮拜。但我們利用迴歸所得到的結果建立買高賣低策略所得到的報酬並沒有顯著異於買進並持有的策略所得到的報酬。因此我們無法從波動率微笑中所得到的資訊建立具有額外報酬的投資組合。Lots of previous studies show the volatility smile in option markets has significant predictive power for future stock returns. In this paper we want to exam the predictability of measure of volatility smile for future currency returns. Different from previous studies, we use OTC option data instead of exchange market data.
By regressing future currency returns on the measures of volatility smile, we find the measures of volatility smile for exchange rates related to Yen have significant predictability to future currency returns. The predictability persists up to 20 weeks. However, the two Long-Short strategies cannot get extra returns compared with the Buy-and-Hold strategy.誌謝 i
中文摘要 ii
ABSTRACT iii
CONTENT iv
TABLES CONTENT v
Chapter 1 Introduction 1
Chapter 2 Data 6
Chapter 3 Empirical Works 13
3.1 Panel Regression 13
3.2 OLS Regression 21
3.3 How Long Does the Predictability Last? 26
3.4 Long-Short Portfolio Trading Strategy 29
Chapter 4 Conclusion 33
Appendix …………………………………………………………………………..34
REFERENCE 3
Gnezdilovius Meng & Webb & Wang 2017, gen. nov.
No full textGnezdilovius gen. nov. urn:lsid:zoobank.org:act: 75C438A6-C66E-4718-8233-32E6D926FBC1 Fig. 9 Type species Gergithus lineatus Kato, 1933. Diagnosis This new genus is similar to Gergithoides and Hemisphaerius. It differs from the former by the following characters: 1) coryphe nearly quadrangular (in Gergithoides coryphe nearly subtriangular); 2) metope smooth without tubercles or median carina (in Gergithoides metope with a row of tubercles and median carina); 3) genital style with hind margin slightly convex, or nearly straight, or weakly concave in middle (in Gergithoides genital style with hind margin strongly concave in middle). The new genus differs from Hemisphaerius by the following characters: 1) body medium-sized, male body length varies from 4.0 to 7.0 mm, most often length range from 5.0 to 6.5 mm (in Hemisphaerius body small, male body length varies from 3.0 to 4.6 mm); 2) hind wing well-developed, longer than half length of tegmen, usually 0.7 times as long as tegmen (in Hemisphaerius hind wing shorter than half length of tegmen, about 0.3 times as long as tegmen); 3) aedeagus usually with variable processes (in Hemisphaerius aedeagus without any process, phallobasal lobes with variable shape). Etymology Named after Dr. Vladimir M. Gnezdilov, who is a great specialist in systematic research of the family Issidae. The name is masculine. Description HEAD AND THORAX. Coryphe 2.4 times as wide as long, disc depressed, without carina (Fig. 9A, F). Metope with disc slightly elevated, without median carina, almost as long in midline as at widest point below level of antennae (Fig. 9 C–D). Clypeus not angulate, always in same plane as metope (Fig. 9 C–D). Rostrum long, reaching metatrochanter. Pronotum slightly longer than coryphe (Fig. 9A, F). Mesonotum smooth, disc slightly elevated. Tegmen elliptical, strongly convex and without claval suture, apical margin usually acutely rounded, longitudinal veins usually weakly prominent or inconspicuous (Fig. 9B, E). Hind wing well-developed, reticulate, more than half length of tegmen. Legs relative long, hind tibia with two lateral spines. Metatibiotarsal formula (6–9)/(8–16)/2. MALE GENITALIA. Anal tube subtriangular, mushroom-shaped or cup-shaped. Pygofer in lateral view with hind margin roundly or spinously produced caudad. Phallobase with dorsal lobe usually reflexed at apex. Aedeagus with processes. Genital style with caudo-dorsal angle rounded, hind margin slightly convex, or nearly straight, or weakly concave in middle. Capitulum of style short, in caudal view with apical margin obtuse or acute, with small processes, lateral tooth spinule-shaped. FEMALE GENITALIA. Sternum VII with middle of posterior margin clearly convex or concave. Anal tube nearly ovate in dorsal view, base wider than apex. Paraproct short. Gonoplac slightly elevated in median area, border between first and second gonoplac lobes obsolete, third gonoplac lobes faintly sclerotized and pigmented. Proximal part of posterior connective lamina of gonapophyses IX convex in lateral view, median field with notch in apical part. Gonocoxa VIII nearly rectangular, dorsal margin slightly protruding in proximal part. Anterior connective lamina of gonapophysis VIII with three teeth in apical group and with two to four carinate teeth in lateral group. Distribution China (Hainan, Yunnan, Guangxi, Guangdong, Hong Kong, Fujian, Taiwan, Zhejiang, Guizhou, Chongqing), Japan, Vietnam. Remarks The new genus can be distinguished by the wide coryphe (more than twice as wide as long), metope almost as long as wide, clypeus small and compressed and hind wing well developed. Forty species are here transfered to Gnezdilovius gen. nov. from Gergithus, of which we have examined type specimens of 11 species in NWAFU and specimens of several species in BMNH, where paratypes are present of G. chihpensis, G. rosticus and G. pendulus and syntypes of G. flavimaculata. All other species are known to us only by their descriptions and illustrations. Images are provided of G. lineatus (type species) based on specimens collected in Taiwan and deposited in NWAFU (Fig. 9 D–F). Checklist of species of Gnezdilovius gen. nov. Specimens deposited in BMNH indicated by * and in NWAFU by **: * G. affinis (Schumacher, 1915) comb. nov. As Gergithus affinis Schumacher, 1915: 135, China (Taiwan); Hori 1969: 55, fig. 2: 12–13, pl. 2 fig. 13; Chan & Yang 1994: 23, fig. 6 ** G. bimaculatus (Zhang & Che, 2009) comb. nov. As Gergithus bimaculatus Zhang & Che, 2009: 185, figs 16–27, China (Yunnan); Meng & Wang 2012: 11, figs 43–64 * G. bistriatus (Schumacher, 1915) comb. nov. As Gergithus bistriatus Schumacher, 1915: 136, China (Taiwan); Chan & Yang 1994: 31, fig. 11 G. carbonarius (Melichar, 1906) comb. nov. As Gergithus carbonarius Melichar, 906: 65, China (Taiwan), Japan; Chan & Yang 1994: 29, fig. 90 ** G. chelatus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus chelatus Che, Zhang & Wang, 2007: 617, figs 24–32, China (Hainan) * G. chihpensis (Chan & Yang, 1994) comb. nov. As Gergithus chihpensis Chan & Yang, 1994: 38, fig. 14, China (Taiwan) G. flaviguttatus (Hori, 1969) comb. nov. As Gergithus flaviguttatus Hori, 1969: 56, pl. 2: 16, China (Taiwan), Japan * G. flavimacula (Walker, 1851) comb. nov. As Hemisphaerius flavimacula Walker, 1851: 378, China (Hong Kong); Butler 1875: 98, pl. IV, fig. 19 * G. formosanus (Metcalf, 1955) comb. nov. As Gergithus formosanus Metcalf, 1955: 263, China (Taiwan), Japan; Chan & Yang 1994: 38, fig. 15 G. gravidus (Melichar, 1906) comb. nov. As Gergithus gravidus Melichar, 1906: 61, China (Guangxi), Vietnam; Che et al. 2007: 612, figs 1–4; Chen et al. 2014: 52, fig. 2-15A–I G. horishanus (Matsumura, 1916) comb. nov. As Gergithus horishanus Matsumura, 1916: 102, China (Taiwan); Hori 1969: 56, pl. 2: 12 G. hosticus (Chan & Yang, 1994) comb. nov. As Gergithus hosticus Chan & Yang, 1994: 31, fig. 10, China (Taiwan) G. iguchii (Matsumura, 1916) comb. nov. As Gergithus iguchii Matsumura, 1916: 98, China (Zhejiang, Fujian, Guangdong), Japan, Vietnam; Hori 1969: 60, fig. 2: 1–4, pl. 2 fig. 6; Chen et al. 2014: 52, fig. 2–16A–I * G. lineatus (Kato, 1933) comb. nov. As Gergithus lineatus Kato, 1933: 461 (type species), China (Taiwan), Japan; Chan & Yang 1994: 43, fig. 17 (Fig. 9 D–F) G. longulus (Schumacher, 1915) comb. nov. As Gergithus longulus Schumacher, 1915: 135, China (Taiwan), Japan; Hori 1969: 56, pl. 2 fig. 14; Chan & Yang 1994: 47, fig. 20 G. luteomaculatus (Constant & Pham, 2016) comb. nov. As Gergithus luteomaculatus Constant & Pham, 2016: 6, figs 1, 2A–B, 3–4, Vietnam ** G. multipunctatus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus multipunctatus Che, Zhang & Wang, 2007: 621, China (Hainan); Constant & Pham 2016: 9, figs 1, 2C–D (Fig. 9 A–C) * G. nigrolimbatus (Schumacher, 1915) comb. nov. As Gergithus nigrolimbatus Schumacher, 1915: 134, China (Taiwan); Chan & Yang 1994: 45, fig. 18 ** G. nonomaculatus (Meng & Wang, 2012) comb. nov. As Gergithus nonomaculatus Meng & Wang, 2012: 5, figs 1–5, China (Hainan); Constant & Pham 2016: 10, figs 2E–F (Figs 1, 2 E–F) * G. nummarius (Chan & Yang, 1994) comb. nov. As Gergithus nummarius Chan & Yang, 1994: 23, fig. 7, China (Taiwan) G. okinawanus (Matsumura, 1936) comb. nov. As Gergithus okinawanus Matsumura, 1936: 82, Japan; Hori 1969: 55, fig. 1: 1–3, pl. 2 fig. 10 ** G. parallelus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus parallelus Che, Zhang & Wang, 2007: 619, figs 33–41, China (Hainan) * G. pendulus (Chan & Yang, 1994) comb. nov. As Gergithus pendulus Chan & Yang, 1994: 47, fig. 7, China (Taiwan) ** G. pseudotessellatus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus pseudotessellatus Che, Zhang & Wang, 2007: 623, figs 51–59, China (Hainan); Chen et al. 2014: 55, fig. 2-18A–I ** G. quinquemaculatus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus quinquemaculatus Che, Zhang & Wang, 2007: 615, figs 5–13, China (Guangxi, Guizhou); Chen et al. 2014: 58, fig. 2-19A–I G. robustus (Schumacher, 1915) comb. nov. As Gergithus robustus Schumecher, 1915: 127, China (Taiwan); Hori 1969: 56, pl. 2 fig. 15; Chan & Yang 1994: 50, fig. 21 * G. rosticus (Chan & Yang, 1994) comb. nov. As Gergithus rosticus Chan & Yang, 1994: 34, fig. 12, China (Taiwan) G. rotundus (Chan & Yang, 1994) comb. nov. As Gergithus rotundus Chan & Yang, 1994: 36, fig. 12, China (Taiwan) ** G. rugiformis (Zhang & Che, 2009) comb. nov. As Gergithus rugiformis Zhang & Che, 2009: 183, figs 1–15, China (Chongqing, Guangxi) G. satsumensis (Matsumura, 1916) comb. nov. As Gergithus satsumensis Matsumura, 1916: 101, Japan; Hori 1969: 52, fig. 1: 4–6, pl. 2 figs 5–8 ** G. spinosus (Che, Zhang & Wang, 2007) comb. nov. As Gergithus spinosus Che, Zhang & Wang, 2007: 615, figs 14–23, China (Hainan) G. stramineus (Hori, 1969) comb. nov. As Gergithus stramineus Hori, 1969: 58, pl 3 fig. 3, China (Taiwan) G. taiwanensis (Hori, 1969) comb. nov. As Gergithus taiwanensis Hori, 1969: 54, fig. 1: 7–9, pl. 2 fig. 9, China (Taiwan) G. tamdao (Constant & Pham, 2016) comb. nov. As Gergithus tamdao Constant & Pham, 2016: 11, figs 1, 2G–H, 5–6, Vietnam G. tessellatus (Matsumura, 1916) comb. nov. As Gergithus tessellatus Matsumura, 1916: 102, China (Zhejiang, Fujian, Taiwan), Japan; Chan & Yang 1994: 50, fig. 21; Meng & Wang 2012: 11, figs 65–73; Chen et al. 2014: 60, fig. 2-20A–I ** G. tristriatus (Meng & Wang, 2012) comb. nov. As Gergithus tristriatus Meng & Wang, 2012: 8, figs 19–38, 40, 42, China (Yunnan) * G. unicolor (Melichar, 1906) comb. nov. As Gergithus unicolor Melichar, 1906: 66, China (Taiwan); Chan & Yang 1994: 27, fig. 8 G. variabilis (Butler, 1875) comb. nov. As Hemisphaerius variabilis Butler, 1875: 98, 99, pl. IV, fig. 21, China (Hong Kong) * G. yayeyamensis (Hori, 1969) comb. nov. As Gergithus yayeyamensis Hori, 1969: 55, fig. 1: 10–11, pl. 2 fig. 11, China (Taiwan, Japan) ** G. yunnanensis (Che, Zhang & Wang, 2007) comb. nov. As Gergithus yunnanensis Che, Zhang & Wang, 2007: 625, figs 60–67, China (Yunnan)Published as part of Meng, Rui, Webb, Michael Donald & Wang, Ying-Lun, 2017, Nomenclatural changes in the planthopper tribe Hemisphaeriini (Hemiptera: Fulgoromorpha: Issidae), with the description of a new genus and a new species, pp. 1-25 in European Journal of Taxonomy 298 on pages 15-19, DOI: 10.5852/ejt.2017.298, http://zenodo.org/record/382575
Polaroid photo of Dr Chan Khye Meng
No full textPhotograph of sepia tone polaroid depicting Dr Chan, wearing white doctor's vest behind his desk. Taken by Lloyd Chan (his son) on March 1974. The top of the photo indicates Mar 74. Lloyd has an interest in photography and documented the final days of the clinic in June 2019. Dimensions: 6.2 x 8.7 cm. Accession number: 2019-0093</div
Place attachment of Ngāi Te Ahi to Hairini Marae
No full textTwelve members of Ngāi Te Ahi, a hapū from Tauranga, were interviewed to explore how they talk about their place attachment to Hairini Marae. This was organized around five key dimensions of place attachment taken from the literature—continuity, distinctiveness, symbolism, attachment and familiarity. We found that in discussing all dimensions, place attachment was equally about social and cultural relationships, history, and socialization. Place attachment for groups such as Māori is complex because it encompasses all social relationships past and present. The implication for those working with Māori is to take seriously the wider connotations of place when talking to Māori about marae, traditional homelands, and their land
The concept of peace in the Tao Te Ching
No full textThis thesis represents a first attempt to analyze Lao Tzu's main method of resolving the social and political problems in Ch'un Ch'iu and Warring States Periods. Lao Tzu, the founder of Taoism, suggested many solutions that could bring an end to the conflicts and to the ending of the disunity of China. Examples of these include the reform or abolishment of some ancient Chinese institutions as well as new principles for the enhancement and preservation of life. All these ideas were to become crystallised in Tao Te Ch'ing, which became an important religious text. In particular, the aspect of Lao Tzu's methods for solving the social and political problems of China in the Warring States Period needs more attention. In each chapter of the Tao Te Ch'ing there was a main emphasis on peace as the main method of developing social cohesion and as a cure to all fundamental human problems. Therefore, Lao Tzu's ideas about peace and his methods of solving the problems of the Warring States period are significant and from the main focus of the thesis
“BODY-SNATCHING”: Changes to coroners legislation and possible Māori responses
No full textThe term body-snatcher has enjoyed a renaissance in the media recently, as various Māori have moved to reclaim their deceased relations. From a Māori perspective, the claiming of bodies has nothing to do with body-snatching, a term that referred to episodes in the West. Indeed, Māori may see some laws themselves as instruments that snatch the body, in contravention of Māori customs. One of these laws, the Coroners Act 2006, may have made some progress by quietly acknowledging these customs in many ways, but that is merely the start of a greater dialogue between Māori and the Crown in relation to proper Māori respect of the dead body
The political role of the people's liberation army 1949-1973
No full textThis thesis is to study the political role of the People's Liberation Army from the approach of structure and function. The framework of the thesis consists of three major parts, first, the influence of Chinese traditional political culture on, and the formation of, the political role of the PL A; second, the influence of domestic political struggles and external military conflicts on the development of the political role of the PLA; and the third, the analysis of the transition of the PLA's political role from the structure and personnel arrangements of the CCPCC Within the above-mentioned three scopes, this thesis make a thorough discussion on the following: (1) The relationship between the structure of the PRC and the formation of the PLA's political role; (2) How has ideology influenced the army's political role; (3) What is Mao's viewpoint and his influence on the development of the army's political role; (4) What is the link between the army and the party, and how has this developed; (6) What accounts for the expansion of the PLA's political functions; (7) What is the influence of political factional struggles on the PLA's political role; (8) Is it political institution or military institution that controls the recruitment of the military elite; (9) What are the disparities between the military elite in handling international conflicts and what are their political considerations; (10) What is the Party's position in the army; (11) How have the Party’s important meetings and personnel arrangements influenced the rise and fall of the PLA's political role
The Construction of the Hung-lou-meng 紅樓夢
No full textThe Hung-lou-meng of Ts'ao Chan 曹霑 seems to be divided into two parts; the chapters from the beginning to the fifty-fourth depict the glorious days of the Chia 賈 family, whereas the chapters 54 to 80, where Ts'ao terminated his writing chores, depict the decline of the family. The eventual decline is cleverly suggested in various parts of the first section, and is realized in the second section. Examining closer the first section, the author finds that it again is divided into three parts, each part comprising eighteen chapters. There are further indications that such was also the plan of Ts'ao Chan for the second section, again three parts, each of which were to comprise approximately eighteen chapters
Reconnecting whānau: Pathways to recovery for Māori with bipolar disorder
No full textWhile Māori are known to experience a higher burden of mental health and addiction problems compared to non-Māori (Baxter, 2008), little exploratory research has been conducted into Māori experiences of bipolar affective disorder. Bipolar disorder is at times regarded as a “life sentence”, with little hope of recovery. The recovery- focused mental health literature, however, argues wellness is achievable for even the most intractable conditions (Lapsley, Nikora, & Black, 2002; Mental Health Commission, 2001). The aim of this research was to gather information about the experiences of Māori who were diagnosed with bipolar affective disorder. Interviews were conducted with 22 Māori wāhine (women) and tāne (men), and using thematic analyses, themes relevant to their life stories were uncovered. This research sought to contribute to the realisation of Māori potential by explicitly shifting from deficit- focused frameworks to a focus on systemic factors that influenced Māori wellbeing. Highlights were that whānau (participants) who were connected with friends, partners and family were motivated to achieve wellness and to stay well
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