Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models, like EGARCH (exponential general autoregressive conditional heteroskedasticity) or GARCH, and Markov regime‐switching models, can be considerably improved if they are combined with skewed distributions of asset return innovations. The performance of these models is found to be similar to that of the EVT (extreme value theory) approach. The performance of the latter approach can also be improved if asset return innovations are assumed to be skewed distributed. The performance of the Markov regime‐switching model is considerably improved if this model allows for EGARCH effects, for all different volatility regimes considered. Copyright © 2014 John Wiley & Sons, Ltd.     

A Systemic Evaluation of the State of Affairs Following the Negative Outcome of the Referendum in Cyprus Using the Structured Dialogic Design Process

This paper reports the results of the first of a series of co-laboratories organized by Cypriot peace pioneers 30 months after the negative outcome of the referendum concerning UN General Secretary’s plan for reunification of the island. The purpose of this co-laboratory was to support a diverse group of disengaged and disappointed peace pioneers and activists representing Turkish and Greek communities of Cyprus develop a shared understanding of factors contributing to the perceived widening of the gap between the two divided communities in Cyprus. The co-laboratory was organized using the structured dialogic design process (SDDP) approach within the context of a rich web-based communication environment. The root causes contributing to the widening of the gap are discussed and are also compared with those identified during a similar co-laboratory employing the Interactive Management methodology 12 years earlier.

Exploring Options for Enhancement of Social Dialogue Between the Turkish and Greek Communities in Cyprus Using the Structured Dialogic Design Process

This paper summarizes results of a co-laboratory that took place 33 months after the negative outcome of the referendum on the UN’s proposal for the solution of the Cyprus problem, and which was a follow-up (3 months later) of a previous co-laboratory. The earlier co-laboratory explored factors contributing to the increasing gap between the two conflicting communities. The co-laboratory reported here engaged relevant stakeholders (peace pioneers, academics, business people, activists and others representing the Turkish and Greek speaking communities of Cyprus) to come up with options aiming to enhance the social dialogue between the two communities. The Structured Dialogic Design Process was used to structure 27 proposed options and develop an influence map. The deep drivers, i.e., most influential factors, determined decisions taken by the participating peace pioneers regarding their future interventions. The results are also discussed within the framework of current (analysis reflects the political situation during the period reported here) political developments.