Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Purposeful program theory: Effective use of theories of change and logic models [Book Review]

The purpose of this book by two Australian authors is to: introduce the audience to the full complement of contextual elements found within program theory; offer practical suggestions to engage with theories of change, theories of action and logic models; and provide substantial evidence for this approach through scholarly literature, practice case studies together with the authors' combined experience of 60 years.

Effect of fragmentation, habitat loss and within-patch habitat characteristics on ant assemblages in semi-arid woodlands of eastern Australia.

The reliability of ants as bioindicators of ecosystem condition is dependent on the consistency of their response to localised habitat characteristics, which may be modified by larger-scale effects of habitat fragmentation and loss. We assessed the relative contribution of habitat fragmentation, habitat loss and within-patch habitat characteristics in determining ant assemblages in semi-arid woodland in Queensland, Australia. Species and functional group abundance were recorded using pitfall traps across 20 woodland patches in landscapes that exhibited a range of fragmentation states. Of fragmentation measures, changes in patch area and patch edge contrast exerted the greatest influence on species assemblages, after accounting for differences in habitat loss. However, 35% of fragmentation effects on species were confounded by the effects of habitat characteristics and habitat loss. Within-patch habitat characteristics explained more than twice the amount of species variation attributable to fragmentation and four times the variation explained by habitat loss. The study indicates that within-patch habitat characteristics are the predominant drivers of ant composition. We suggest that caution should be exercised in interpreting the independent effects of habitat fragmentation and loss on ant assemblages without jointly considering localised habitat attributes and associated joint effects.

Trapping to monitor tephritid movement: Results, best practice, and assessment of alternatives

Movement of tephritid flies underpins their survival, reproduction, and ability to establish in new areas and is thus of importance when designing effective management strategies. Much of the knowledge currently available on tephritid movement throughout landscapes comes from the use of direct or indirect methods that rely on the trapping of individuals. Here, we review published experimental designs and methods from mark-release-recapture (MRR) studies, as well as other methods, that have been used to estimate movement of the four major tephritid pest genera (Bactrocera, Ceratitis, Anastrepha, and Rhagoletis). In doing so, we aim to illustrate the theoretical and practical considerations needed to study tephritid movement. MRR studies make use of traps to directly estimate the distance that tephritid species can move within a generation and to evaluate the ecological and physiological factors that influence dispersal patterns. MRR studies, however, require careful planning to ensure that the results obtained are not biased by the methods employed, including marking methods, trap properties, trap spacing, and spatial extent of the trapping array. Despite these obstacles, MRR remains a powerful tool for determining tephritid movement, with data particularly required for understudied species that affect developing countries. To ensure that future MRR studies are successful, we suggest that site selection be carefully considered and sufficient resources be allocated to achieve optimal spacing and placement of traps in line with the stated aims of each study. An alternative to MRR is to make use of indirect methods for determining movement, or more correctly, gene flow, which have become widely available with the development of molecular tools. Key to these methods is the trapping and sequencing of a suitable number of individuals to represent the genetic diversity of the sampled population and investigate population structuring using nuclear genomic markers or non-recombinant mitochondrial DNA markers. Microsatellites are currently the preferred marker for detecting recent population displacement and provide genetic information that may be used in assignment tests for the direct determination of contemporary movement. Neither MRR nor molecular methods, however, are able to monitor fine-scale movements of individual flies. Recent developments in the miniaturization of electronics offer the tantalising possibility to track individual movements of insects using harmonic radar. Computer vision and radio frequency identification tags may also permit the tracking of fine-scale movements by tephritid flies by automated resampling, although these methods come with the same problems as traditional traps used in MRR studies. Although all methods described in this chapter have limitations, a better understanding of tephritid movement far outweighs the drawbacks of the individual methods because of the need for this information to manage tephritid populations.

Reciprocal and advanced generation hybrids between Corymbia citriodora and C-torelliana: forestry breeding and the risk of gene flow

Corymbia F1 hybrids have high potential for plantation forestry; however, little is known of their reproductive biology and potential for genetic pollution of native Corymbia populations. This study aims to quantify the influence of reproductive isolating barriers on the success of novel reciprocal and advanced generation Corymbia hybrids. Two maternal taxa, Corymbia citriodora subsp. citriodora and Corymbia torelliana, were pollinated using five paternal taxa, C. citriodora subsp. citriodora, C. torelliana, one C. torelliana x C. citriodora subsp. citriodora hybrid and two C. torelliana x C. citriodora subsp. variegata hybrids. Pollen tube, embryo and seed development were assessed. Reciprocal hybridisation between C. citriodora subsp. citriodora and C. torelliana was successful. Advanced generation hybrids were also created when C. citriodora subsp. citriodora or C. torelliana females were backcrossed with F1 hybrid taxa. Prezygotic reproductive isolation was identified via reduced pollen tube numbers in the style and reduced numbers of ovules penetrated by pollen tubes. Reproductive isolation was weakest within the C. citriodora subsp. citriodora maternal taxon, with two hybrid backcrosses producing equivalent capsule and seed yields to the intraspecific cross. High hybridising potential was identified between all Corymbia species and F1 taxa studied. This provides opportunities for advanced generation hybrid breeding, allowing desirable traits to be amplified. It also indicates risks of gene flow between plantation and native Corymbia populations.

Pleistocene isolation, secondary introgression and restricted contemporary gene flow in the pig-eye shark, Carcharhinus amboinensis across northern Australia

We examine the structure and phylogeography of the pig-eye shark (Carcharhinus amboinensis) common in shallow coastal environments in northern Australia using two types of genetic markers, two mitochondrial (control region and NADH hydrogenase 4) and two nuclear (microsatellite and Rag 1) DNA. Two populations were defined within northern Australia on the basis of mitochondrial DNA evidence, but this result was not supported by nuclear microsatellite or Rag 1 markers. One possibility for this structure might be sex-specific behaviours such as female philopatry, although we argue it is doubtful that sufficient time has elapsed for any potential signatures from this behaviour to be expressed in nuclear markers. It is more likely that the observed pattern represents ancient populations repeatedly isolated and connected during episodic sea level changes during the Pleistocene epoch, until current day with restricted contemporary gene flow maintaining population genetic structure. Our results show the need for an understanding of both the history and ecology of a species in order to interpret patterns in genetic structure.