Suchergebnisse

This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock Index Futures, Hang Seng Index Futures, Singapore Straits Times Index Futures, and Korean KOSPI 200 Index Futures. The effectiveness of these ratios is also evaluated. The results indicate that the methods of conducting optimal hedging in different markets are not identical. However, the empirical results confirm that stock index futures are effective direct hedging instruments, regardless of hedging schemes or hedging horizons.

AbstractA growing number of studies reveal that the performance of dynamic hedging strategies tends to vary across markets, producing large percentage reductions in variance in some and seemingly small reductions in others, relative to constant hedges. This paper examines the hedging effectiveness of Toronto 35 index futures and shows that the application of a dynamic strategy based on a general, bivariate GARCH(1,1) process yields economically significant in‐sample and out‐of‐sample improvements in risk reduction, compared to static hedging strategies.RésuméUn nombre grandissant d 'études révèle que la performance de stratégies de contrepartie dynamiques varie d'un marché à l'autre, produisant dans certains cas des pourcentages de réduction de variance appréciables et, dans d'autres cas, de faibles réductions de variance par rapport à la stratégie statique. Cet article examine l'ef‐ficacité de contrepartie du contrat à terme boursier sur l'indice Toronto 35 et démontre que l'application d'une stratégie dynamique reposant sur un modele GARCH(1,1) bivarié général permet de reduire la variance defaçon significative, sur le plan économique, par rapport au modèle de contrepartie statique et ce, aussi bien à l'interieur qu'à l'extérieur de l'échantillon.

The development of cyberspace defense capabilities for the North Atlantic Treaty Organization (NATO) has been making steady progress since its formal introduction at the North Atlantic Council Prague Summit in 2002. Bolstered by numerous cyber attacks, such as those in Estonia (2007), Alliance priorities were formalized in subsequent NATO cyber defense policies adopted in 2008, 2011, and 2014. This monograph examines the past and current state of cyberspace defense efforts in NATO to assess the appropriateness and sufficiency to address anticipated threats to member countries, including the United States. The analysis focuses on the recent history of cyberspace defense efforts in NATO and how changes in strategy and policy of NATO writ large embrace the emerging nature of cyberspace for military forces as well as other elements of power. It first examines the recent evolution of strategic foundations of NATO cyber activities, policies, and governance as they evolved over the past 13 years. Next, it outlines the major NATO cyber defense mission areas, which include NATO network protection, shared situational awareness in cyberspace, critical infrastructure protection, counter-terrorism, support to member country cyber capability development, and response to crises related to cyberspace. Finally, it discusses several key issues for the new Enhanced Cyber Defence Policy that affirms the role that NATO cyber defense contributes to the mission of collective defense and embraces the notion that a cyber attack may lead to the invocation of Article 5 actions for the Alliance. This monograph concludes with a summary of the main findings from the discussion of NATO cyberspace capabilities and a brief examination of the implications for Department of Defense and Army forces in Europe. Topics include the roles and evolution of doctrine, deterrence, training, and exercise programs, cooperation with industry, and legal standards. ; https://press.armywarcollege.edu/monographs/1422/thumbnail.jpg

AbstractIn this paper we extend the traditional price change hedge ratio estimation method by applying the theory of cointegration to hedging with stock index futures contracts for France (CAC 40), the United Kingdom (FTSE 100), Germany (DAX), and Japan (NIKKEI). Previous studies ignore the last period's equilibrium error and short‐run deviations. The findings of this study indicate that the hedge ratios obtained from the error correction method are superior to those obtained from the traditional method as evidenced by the likelihood ratio test and out‐of‐sample forecasts. Using the procedures developed in this paper, hedgers can control the risk of their portfolios more effectively at a lower cost.

This report proposes a practical, countrybased framework for developing good governance indicators for programmes funded by the European Union in Poland.The concepts presented and the challenges discussed are, however, relevant to a wide range of OECD member and nonmember countries in the development of indicatorsbased performance measurement systems.

In recent years, challenges in terms of both man-made and natural disasters as well as the lack of resources to deal with such challenges have become increasingly critical to local government. This article adopts an alternative view of strategy-based approach to examine how different strategic styles affect organizational capability in a crisis response. The results of a survey of middle managers in Taiwan's local government highlighted the relations between strategic styles and crisis response capability. Such results provide public managers with a better understanding of what strategic styles they should adopt to improve their organizational capability in responding to crises.

The dynamic capabilities literature suggests that firms need to use both internal development and external sourcing to thrive over time, but we have a limited understanding of the conditions that best suit different sourcing choices. This study examines how constraints that arise from firms' existing stocks of capabilities and from their internal social contexts shape their choices of capability-sourcing modes and, in turn, their ability to obtain new capabilities. Thus, the research focuses on an underemphasized form of dynamic capability: the ability to select appropriate modes of capability sourcing. We test the arguments with a survey and longitudinal survival study of the international telecommunications industry. We find intriguing variations in the way that firms' selection capability influences their ability to renew their capabilities and, ultimately, to survive.

Abstract

Background and Purpose:
The changing ecosystem demands improvement in a company's capabilities through its learning framework and respective dimensions. Using empirical testing, the purpose of this research is to gain a better understanding of the creation of dynamic learning capability through strategic alliances in the learning framework.


Methodology:
The data were collected via an online survey of 78 strategic alliances of a public institution. The structural equation model (SEM) was used to test the proposed model.


Finding:
Dynamic learning capability positively and significantly affects strategic alliance performance in a learning framework that comprises relationship capital, surfacing, joint learning structure, and knowledge acquisition dimensions.


Conclusion
This research finds that all constructs in the learning framework (relationship capital, surfacing, joint learning structure, and knowledge acquisition) create dynamic learning capability, which has a significant effect on strategic alliance performance. Each construct within the learning framework (relationship capital, surfacing, joint learning structure, and knowledge acquisition) was empirically tested and can create the dynamic learning capability that contributes to the strategic alliance's performance, notably within the business learning domain.