[pt] Esta pesquisa investiga primeiramente, por meio de regressões, a relação entre as volatilidades implícitas das opções e os retornos futuros de 20, 40 e 60 dias das ações subjacentes no mercado acionário brasileiro. Essas regressões são então submetidas a testes de heterocedasticidade para garantir que não são regressões espúrias. Por fim, submetemos os resultados a um teste de robustez que confirma as regressões válidas e verifica a presença de autocorrelação nas séries de retornos futuros. O período analisado é de janeiro de 2011 a dezembro de 2021 em um total de onze anos completos. Apesar de apresentarem coeficientes de regressão significativos, nem todas essas regressões passam pelos testes, e sempre deve-se ter cautela ao usar uma volatilidade implícita de opção como sendo capaz de prever retornos das ações subjacentes no mercado brasileiro. / [en] This research first investigates, through regressions, the relationship between the implied volatilities of options and the future returns of 20, 40 and 60 days of the underlying stocks within the Brazilian stock market. These regressions are then subjected to heteroscedasticity tests to ensure that they are not spurious regressions. Finally, we submit the results to robustness tests to confirm the valid regressions and verify the presence of autocorrelation in the series of future returns. The period under analysis is from January 2011 to December 2021, totalling 11 years. Despite having significant regression coefficients, not all of these regressions pass the tests, and one should always exercise caution when using an option implied volatility as a predictor of underlying equity returns in the Brazilian market.

La tesi comprende tre saggi sul ruolo della volatilità implicita per le banche. La tesi è organizzata in tre capitoli. Capitolo I - studia il ruolo di skew e spread della volatilità implicita nel determinare i rendimenti delle azioni bancarie. Capitolo II - analizza gli effetti degli skew della volatilità implicita e della realized volatility sulla leva finanziaria delle banche. Capitolo III - si focalizza sul rapporto tra il coefficiente di liquidità delle banche e le misure per il rischio estratte dalla volatilità (skew, spread, realized volatility). / The thesis comprehends three essays on option implied volatility risk measures for banks. The thesis is organized in three chapters. Chapter I - studies the informational content for banks' stock returns in option's implied volatilities skews and spread. Chapter II - analyzes the effect of volatility risk measures (volatility skew and realized volatility) on banks' leverage. Chapter III - studies the relationship between banks' liquidity ratio and volatility risk measures.

This thesis addresses the gap in the scholarly record pertaining to the explicit relationship between gospel genre and implied audience. This thesis challenges the consensus that the canonical gospels were written to/for individual communities/churches and that these documents (gospels) address the specific historical/social circumstances of each community. It is argued in the thesis that the Evangelists chose the genre of biography because it was the genre that was best suited to present the words and deeds of Jesus to the largest possible audience. The central thesis is supported by four lines of evidence: two external and two internal (Chapters 3-6). Furthermore, the thesis is bolstered by a new typology for Greco-Roman biography that arranges the biographical examples within a relational matrix. Chapter 2 is integral to the main thesis of this dissertation in that it proposes nuanced language capable of being applied to specific kinds of biographies with the emphasis on the relationship to implied audience. Chapter 2 sets the boundaries of the discussion of genre as a vital factor in potentially determining audience as well as raising the important consideration that genres are representative of authorial choice and intent. Chapters 3 and 4 take up the discussion of the two lines of external evidence pertinent to placing the Gospels within the relational typology proposed in chapter 2. Chapter 3 supports the main argument of the thesis in that it demonstrates that the earliest Christian interpreters of the Gospels did not understand them to be sectarian documents written specifically to and/or for specific sectarian Christian communities. The second line of external evidence, taken up in chapter 4, deals with the wider context of Jesus literature in the second/third century. We argue that these texts, if any of them are indeed biographies, were part of the wider Christian practice of writing and disseminating literary presentations of Jesus and Jesus traditions. Chapters 5 and 6 address the lines of internal evidence and chapter 5 deals specifically with the difficulty in reconstructing the various gospel communities that might lie behind the gospel texts. It is argued that the genre of biography does not allow us to reconstruct these communities with any detail. Finally, chapter 6 is concerned with the ‘all nations’ motif present in all four of the canonical gospels. The ‘all nations’ and ‘sending’ motifs in the Gospels suggest an evangelistic tone for the Gospels and further suggest an ideal secondary audience beyond those who could be identified as Christian.

台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。 本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。 研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。 / This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors' response around a specific election event. According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error.

In Canada’s recent history, the cases of Kanao Inouye, Omar Khadr, and Maher Arar shed light on the relationship between citizen-rights and sovereign power, a problem which this thesis studies through its three-pronged strategy of analysis. First, it takes a postmetaphysical approach to the problem of exceptionality as it has been explored in the works of Jacques Derrida, Gianni Vattimo, and Reiner Schürmann. Their responses to the problem of exceptionality provide a framework that enables this thesis to capture the relationship between citizen-rights and sovereign power in relative detail. Second, it applies Schürmann’s epochal theory in order to offer a historical periodization of citizen-rights in Canada that highlights the effect of sovereign power on citizen-rights. Lastly, in light of its philosophical and theoretical framework, it interprets the Inouye, Khadr, Arar cases in order to account for the effect of Charter rights on sovereign power. / Graduate / 0626 / tsujikt@gmail.com

本研究探討選擇權交易量之大小對於波動度預測之效率性所造成之對偶效果(dual effect)，驗證〝正常的高交易量〞與〝異常的高交易量〞對於波動度預測能力是否有不同的影響。本研究採用panel data之資料型態，以LIFFE上市的個股買權為對象，資料長度為三年左右。主要欲探討之假說為： 1.一般而言，交易量大的選擇權，其波動度估計誤差較交易量小的選擇權來得小。 2.相對於平日水準而言，某日交易量異常高的選擇權將有較大的波動度估計誤差。 本研究所使用的波動度預測模型為隱含波動度(ISD)，採用的是最接近到期月份及最接近價平的合約。實證以組合迴歸、固定效果模型、隨機效果模型分別估計之，加以比較。結果發現固定效果模型為較佳之解釋模型，然而結果顯示交易量的對偶效果並不明確影響波動度預測誤差，故推測有某種影響公司間差異的因素，即公司間之異質性，比相對交易量更容易影響波動度預測之誤差。另外，透過組間與組內效果之分析，發現不論是長期還是短期，由於公司間的異質性存在，使得相對交易量對於波動度預測誤差均無明顯影響。 / The purpose of this research is to study the dual effect on the efficiency of volatility forecasting which is caused by the volume of option market, with the intent to test whether〝normal high volume〞and〝abcdrmal high volume〞cause different results on the ability of volatility forecasting. The data used is in the form of panel data. It is drawn from LIFFE, and has a length of about three years. The hypotheses to be examined in this study are：1. High-average-volume options have smaller volatility forecasting errors than low-average-volume options; 2. Options have larger volatility forecasting errors on abcdrmally-high-volume days than on normal-volume days. In this research, volatility is forecasted by implied standard deviation (ISD) which is implied in the at-the-money and the nearest expiry month options. Pooled regression、fixed effect model、and random effect model methods were applied. The results show that the fixed effect model made the best analysis amongst the three models. However, the result does not support the hypotheses made above, which means that volume does not have much influence on volatility forecasting error. It is inferred that there exists some other factors which could cause the difference between firms, namely heterogeneity, and these factors have much more powerful influence over volatility forecasting error than volume. Finally, it was found that no matter for long run or short run, because of the existence of heterogeneity, relative volume doesn’t have obvious influence on volatility forecasting errors when analyzing the difference between the between-individual effect and the within-individual effect.

The thesis in question is titled “Readjusting Orthodoxy”. It constitutes a discourse in UK constitutional law although legal theoretic, historical, politicial, philosophical, and EU-related complementary themes are also present. It is founded upon, and driven by, two fundamental, inter-related premises. First, that it is the orthodox reading of the UK Constitution which best describes and explains the present constitutional arrangement: the UK Parliament is a sovereign institution sitting at the apex of the UK Constitution and vested with the right to make and unmake any law whatsoever. In the second place, that, notwithstanding the above, this very reading of the UK Constitution is currently deficient in terms of internal cohesion, is plagued by ingrained anachronistic dogmas and enjoys only a limited adaptability. From these premises emerges a third proposition; namely, that the UK constitutional discourse as a whole would stand to lose greatly should alternative constitutional theories that are less suited to describe and explain the current constitutional arrangement replace the orthodox reading of the Constitution by exploiting these conspicuous drawbacks. Thus, the present treatise argues that the orthodox reading should after critical evaluation be readjusted in the various ways to be proposed so as to be rendered coherent, consistent, impervious to the numerous challenges it currently faces and, ultimately, capable of continuing to offer the canonical account of the ever-changing UK Constitution.

La carence de l’administration est à la fois évocatrice et ambigüe. Évocatrice pour l’administré, car elle ravive les mauvais souvenirs administratifs de chacun. Ambigüe pourtant, pour le juriste, car la carence évoque spontanément de multiples termes qui en sont proches, comme l’inertie ou l’abstention. Elle doit néanmoins en être distinguée et peut être définie comme le résultat de certaines inactions : celles qui n’auraient pas dû avoir lieu. Ainsi, la reconnaissance d’une carence administrative a une fonction : elle signale un comportement passif inadmissible. Elle dénonce à la fois une utilisation insuffisante de ses moyens pour remplir sa mission et une inaction administrative abusive. Le caractère anormal de l’inaction dénoncée par cette reconnaissance implique, alors, une réaction du système juridique, afin que le manque constaté ne puisse échapper à toute sanction, que celle-ci soit juridictionnelle ou non. / The deficiency of the administration is meaningful and also ambiguous. Meaningful as it brings back administrative bad memories for every citizen. But ambiguous, for jurists, as the deficiency naturally reminds them of many terms which are very close, such as lethargy or abstention. Nevertheless, the deficiency has to be distinguished from these terms and can be defined as the result of some inactions : the ones which should not have happened. The recognition of the administrative deficiency has thus a function : highlighting an unacceptable passive behaviour. What it means an insufficient use of its means to fulfil its mission and an abusive abstention. So, the abnormal nature of this inaction highlighted by this recognition needs a reaction of the legal system, in order to condemn this noted lack, jurisdictionally or not.

Iraq, 2003 : une coalition menée par les États-Unis et le Royaume-Uni engagea une action militaire juridiquement fondée sur une autorisation de recourir à la force implicitement contenue dans la résolution 1441 (2002) du Conseil de sécurité. Ce fondement fut également mis en avant au Kosovo (1999) ou encore au Liberia (1992).Ces trois cas illustrent l'application d'une pratique qualifiée d'autorisation implicite en matière de recours à la force. Alors que l'autorisation de recourir à la force doit résulter d'une mention explicite du Conseil de sécurité, l'autorisation implicite repose sur une interprétation entre les lignes des résolutions du Conseil afin d'y mettre en évidence une telle autorisation. Les États qui y recourent n'ont guère manqué de préciser qu'un précédent ne saurait se révéler de cette pratique en marge de la légalité internationale. Malgré son caractère controversé, ce moyen juridique tend cependant à devenir le support privilégié des États en l'absence d'une autorisation explicite.D'où, un paradoxe de l'autorisation implicite dont il nous reviendra d'en évaluer la légalité en examinant les modalités de son élaboration et de son application. Les difficultés à trancher la question de sa validité en droit international nous amèneront notamment à dépasser ce standard de légalité pour lui substituer celui de conformité, plus souple, dans un cadre juridique original : la légalité d'exception. Nous verrons enfin que l'approche téléologique de l'autorisation implicite souffre de lacunes substantielles au point de réaffirmer la double exigence du mandat clair ainsi que du contrôle des résolutions du Conseil de sécurité autorisant le recours à la force. / Iraq 2003: a coalition led by the United States and the United Kingdom undertook military action based on a legal authorization to use force implicitly contained in Security Council Resolution 1441 (2002). This argument was also highlighted in Kosovo (1999), and Liberia (1992).These three cases illustrate the application of a practice known as the implied authorization for use of force. While the authorization for use of military force must result from explicit Security Council Resolution, the implied authorization is based on an interprÉtation between the lines of Security Council Resolutions in order to highlight such an authorization. The States that had recourse to it made it abundantly clear that a precedent cannot result of this practice on the sidelines of international legality. However, despite its controversial nature, it tends to become the privileged support of the State in the absence of an explicit authorization.Hence a paradox of the implied authorization which we will assess the legality, by examining the modalities of its elaboration and its application. The difficulties by resolving the question of its validity under international law will lead us to overcome this particular standard of legality by substituting it for that of conformity, more flexible, in an original legal framework: the legality of exception. We shall finally see that the teleological approach of the implied authorization suffers substantial gaps so that we will reaffirm the dual requirement of the clear mandate and the control within the Security Council Resolutions authorizing use of force.

Par les représentations qu’elle véhicule et les solutions qu’elle encourage, l’édificationd’une théorie générale n’est jamais neutre au plan axiologique. Sa construction repose certes sur laconnaissance du droit positif de lege lata, mais la mise en ordre qui en résulte demeure quant à elleintimement liée aux perceptions et aux convictions de l’interprète. C’est en ce sens que doit êtreabordée la question de l’apport du droit du travail à la théorie générale de l’acte juridique. La présenteétude met en évidence le caractère protéiforme du phénomène envisagé, sans occulter les situations oùla discipline fait davantage figure de contre modèle que de véritable source d’inspiration. Adoptant unpoint de vue prospectif, cette recherche met en évidence les aspects de droit du travail susceptiblesd’encourager la promotion d’une théorie de l’acte juridique marquée par le pluralisme. La matièrecontribue ainsi à souligner la variété des conditions dans lesquelles se forme la volonté de s’engager,tout comme la diversité de ses modes d’expression. Elle témoigne également d’une capacité certaine àtraduire sur le terrain du Droit, afin de mieux les appréhender, l’altérité des rapports de force et lamutabilité des données factuelles qui accompagnent l’exécution des actes juridiques. / By the representations it conveys and the solutions it encourages, the building of ageneral theory is never neutral in an axiological plan. Although its construction is based on knowledgeof Positive Law de lege lata, the resulting order meanwhile remains closely linked to the perceptionsand beliefs of the interpreter. It is in this sense that must be addressed the question of the contributionof labor law to the general theory of the legal act. This study highlights the protean nature of theconsidered phenomenon, without concealing the situations where the discipline resembles more acounter productive model than a true source of inspiration. Adopting a prospective point of view, thisresearch highlights aspects of the labour law likely to encourage the promotion of a theory of the legalact marked by pluralism. The material thus contributes to underline the variety of conditions in whichforms the willingness to engage oneself, just like the diversity of its modes of expression. It alsoshows a certain capacity to translate in the field of law, in order to understand them better, theotherness of the balances of power and the mutability of the factual data accompanying the executionof legal acts.