A Simple Out-of-Sample Test of Predictability against the Random Walk Benchmark

We show that a straightforward modification of a trading-based test for predictability displays interesting advantages over the Excess Profitability (EP) test proposed by Anatolyev and Gerco when testing the Driftless Random Walk Hypothesis. Our statistic is called the Straightforward Excess Profitability (SEP) test, and it avoids the calculation of a term that under the null of no predictability should be zero but in practice may be sizable. In addition, our test does not require the strong assumption of independence used to derive the EP test. We claim that dependence is the rule and not the exception. We show via Monte Carlo simulations that the SEP test outperforms the EP test in terms of size and power. Finally, we illustrate the use of our test in an empirical application within the context of the commodity-currencies literature.

Hedging Effectiveness of the VIX ETPs

This study introduces basic concepts about hedging and provides an overview of common hedging practices. This theoretical introduction is followed by an empirical application in which the hedging effectiveness of the VIX ETPs is evaluated. The iPath Series B S&P 500 VIX Short Term Futures ETN (VXX) and the SPDR S&P 500 Trust ETF (SPY) are taken for the empirical application. Dynamic conditional correlations between the VXX and SPY are obtained from DCC-GARCH framework. Based on the estimated conditional volatilities of the SPY and the hedged portfolio, a hedging effectiveness index is constructed. Results show that the hedging effectiveness of the VXX increases in turbulent periods such as the last three months of 2018 marked by the plummeting oil prices, increasing uncertainties about the Brexit deal, and rising federal funds rates and the month of March 2020 when the COVID-19 pandemic became a global concern.

TOURISM EXPERIENCE IN INDONESIA: A NEW APPROACH USING THE RASCH MODEL SCALE

In this paper, the research discussed analyzes the tourism experience in Indonesia, this study aims to explore the factors influencing the experience of city branding. The empirical application is based on a study of 373 visitors traveling in Indonesia, analyzed using the Rasch model. The present study aimed at a credible and accurate measurement scale that will help to clarify the definition and enhance the successful management of tourism experience. We have developed a 16-point size of tourism experience that we assume extends to many of the tourist destinations. The scale consists of six fields: hedonism, novelty, refreshment, local culture, significance, and dedication. Data are of assistance to the tourism experience's dimensional framework as well as its accuracy and validity within.

Genetic advantage and equality of opportunity in education: Two definitions and an empirical application

The literature of Equality of Opportunity (EOp) has long acknowledged the existence of 'talents', 'innate ability' or 'genetic ability'. Nonetheless, attempts to explicitly incorporate a measure of innate ability in the quantification of EOp have been rare. On the other hand, the literature of social-science genetics has found credible genetic-based components of EOp, without an explicit quantification of overall EOp. In addition, there exists prevalent disagreement within both kinds of literature on whether innate ability should be perceived as a fair or unfair source of advantage. This paper proposes to quantify EOp while explicitly including a genetic-based measure of innate ability. It proposes two formal definitions of EOp that draw on both stances regarding the compensation of innate ability. Novel testable implications are derived. The educational attainment polygenic index is used as a measure of innate ability while correcting for genetic nurture and accounting for the correlation between genes and other circumstances. An empirical application in the US Health and Retirement Study finds that the share of inequality of opportunity is 26% under the view that genetic differences are unfair sources of advantage and 21% otherwise. A comparative analysis over cohorts reveals that the trend in EOp depends on the definition adopted; if genetic advantage is a fair source of inequality then EOp has improved; the opposite holds if one considers genetic advantage an unfair source of inequality. These results highlight the importance of accounting for genetic differences in the EOp framework.

THEORETICAL FOUNDATIONS OF USING INFORMATION AND COMMUNICATION TECHNOLOGIES IN PUBLIC ADMINISTRATION DECISION-MAKING PROCESSES

The purpose of this article is to substantiate the theoretical foundations of using information and communication technologies (hereinafter – ICT) in public administration decision-making processes using the framework of categories and concepts proposed by New Public Management, Joined-up government, Public Value Рaradigm, Actor Network Theory and Socio-Technical Systems. The research task is to comprehensively consider the methods, approaches and foundations of using ICT in public administration through these theories. General scientific methods (analysis and synthesis, deduction and induction) as well as the comparative-historical method have been used. Such an approach allows to generalize and comprehend the role and impact of ICT in public administration within the framework of different theories and to offer an empirical application of the developed concepts. Correlation of the considered concepts' theoretical principles with the criteria for public services delivery, the role of citizens, approaches to measuring the performance of public servants makes it possible to conclude the information about the attitudes and requirements for innovations in public administration from the perspective of each of the theories. It can contribute to further study of the ICT's impact on the public administration decision-making processes, predicting the transformational impact of e-governance and theoretical advances empirical application by both public servants and those who hold political positions.