Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Long-term assessment of wild boar harvesting and cattle removal for bovine tuberculosis control in free ranging populations

Wild boar is a recognized reservoir of bovine tuberculosis (TB) in the Mediterranean ecosystems, but information is scarce outside of hotspots in southern Spain. We describe the first high-prevalence focus of TB in a non-managed wild boar population in northern Spain and the result of eight years of TB management. Measures implemented for disease control included the control of the local wild boar population through culling and stamping out of a sympatric infected cattle herd. Post-mortem inspection for detection of tuberculosis-like lesions as well as cultures from selected head and cervical lymph nodes was done in 745 wild boar, 355 Iberian ibexes and five cattle between 2004 and 2012. The seasonal prevalence of TB reached 70% amongst adult wild boar and ten different spoligotypes and 13 MIRU-VNTR profiles were detected, although more than half of the isolates were included in the same clonal complex. Only 11% of infected boars had generalized lesions. None of the ibexes were affected, supporting their irrelevance in the epidemiology of TB. An infected cattle herd grazed the zone where 168 of the 197 infected boars were harvested. Cattle removal and wild boar culling together contributed to a decrease in TB prevalence. The need for holistic, sustained over time, intensive and adapted TB control strategies taking into account the multi-host nature of the disease is highlighted. The potential risk for tuberculosis emergence in wildlife scenarios where the risk is assumed to be low should be addressed.