Do benchmark African equity indices exhibit the stylized facts?

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Uncertainty, learning and growth

The paper extends Blackburn and Galindev's (Economics Letters, Vol. 79 (2003), pp. 417-421) stochastic growth model in which productivity growth entails both external and internal learning behaviour with a constant relative risk aversion utility function and productivity shocks. Consequently, the relationship between long-term growth and short-term volatility depends not only on the relative importance of each learning mechanism but also on a parameter measuring individuals' attitude towards risk.

Genetic Algorithm Search for Predictive Patterns in Multidimensional Time Series

Based on an algorithm for pattern matching in character strings, we implement a pattern matching machine that searches for occurrences of patterns in multidimensional time series. Before the search process takes place, time series are encoded in user-designed alphabets. The patterns, on the other hand, are formulated as regular expressions that are composed of letters from these alphabets and operators. Furthermore, we develop a genetic algorithm to breed patterns that maximize a user-defined fitness function. In an application to financial data, we show that patterns bred to predict high exchange rates volatility in training samples retain statistically significant predictive power in validation samples.

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Redundancy and Workplace Occupation: The Case of the Republic of Ireland

Purpose – This paper aims to examine the antecedent influences and merits of workplace occupations as a tactical response to employer redundancy initiatives.

Design/methodology/approach – The data are based on analysis of secondary documentary material reporting on three workplace occupations in the Republic of Ireland during 2009.

Findings – Perceptions of both procedural (e.g. employer unilateral action) and substantive (e.g. pay and entitlements) justice appear pivotal influences. Spillover effects from other known occupations may also be influential. Workplace occupations were found to produce some modest substantive gains, such as enhancing redundancy payments. The tactic of workplace occupation was also found to transform unilateral employer action into scenarios based upon negotiated settlement supported by third-party mediation. However the tactic of workplace occupation in response to redundancy runs the risks of potential judicial injunction and sanction.

Research limitations/implications – Although operationally difficult, future studies should strive to collect primary data workplace occupations as they occur.

Originality/value – The paper identifies conditions conducive to the genesis of workplace occupations and the extent to which the tactic may be of benefit in particular circumstances to workers facing redundancy. It also contextualises the tactic in relation to both collective mobilisation and bargaining theories in employment relations.

Work-family characteristics as determinants of sickness absence: A large-scale cohort study of three occupational grades

This study examined the previously unexplored occupational grade-specific relationships of domestic responsibilities, the age of children, and work-family spillover, with registered sickness absence (>3 days' sick leave episodes, a mean follow-up of 17 months; n = 18,366 municipal employees; 76% women). The results showed that negative spillover from work into family life predicted a heightened rate of sickness absence spells among both women and men in all occupational categories (except upper white-collar men), but especially among blue-collar and lower white-collar employees. Furthermore, among all white-collar employees (except upper white-collar men), having young children (

Towards an understanding of the causes and effects of software requirements change: two case studies

Changes to software requirements not only pose a risk to the successful delivery of software applications but also provide opportunity for improved usability and value. Increased understanding of the causes and consequences of change can support requirements management and also make progress towards the goal of change anticipation. This paper presents the results of two case studies that address objectives arising from that ultimate goal. The first case study evaluated the potential of a change source taxonomy containing the elements ‘market’, ‘organisation’, ‘vision’, ‘specification’, and ‘solution’ to provide a meaningful basis for change classification and measurement. The second case study investigated whether the requirements attributes of novelty, complexity, and dependency correlated with requirements volatility. While insufficiency of data in the first case study precluded an investigation of changes arising due to the change source of ‘market’, for the remainder of the change sources, results indicate a significant difference in cost, value to the customer and management considerations. Findings show that higher cost and value changes arose more often from ‘organisation’ and ‘vision’ sources; these changes also generally involved the co-operation of more stakeholder groups and were considered to be less controllable than changes arising from the ‘specification’ or ‘solution’ sources. Results from the second case study indicate that only ‘requirements dependency’ is consistently correlated with volatility and that changes coming from each change source affect different groups of requirements. We conclude that the taxonomy can provide a meaningful means of change classification, but that a single requirement attribute is insufficient for change prediction. A theoretical causal account of requirements change is drawn from the implications of the combined results of the two case studies.

Why and how FDI stocks are a biased measure of MNE affiliate activity

Many international business (IB) studies have used foreign direct investment (FDI) stocks to measure the aggregate value-adding activity of multinational enterprises (MNE) affiliates in host countries. We argue that FDI stocks are a biased measure of that activity, because the degree to which they overestimate or underestimate affiliate activity varies systematically with host-country characteristics. First, most FDI into countries that serve as tax havens generate no actual productive activity; thus FDI stocks in such countries overestimate affiliate activity. Second, FDI stocks do not include locally raised external funds, funds widely used in countries with well-developed financial markets or volatile exchange rates, resulting in an underestimation of affiliate activity in such countries. Finally, the extent to which FDI translates into affiliate activity increases with affiliate labor productivity, so in countries where labor is more productive, FDI stocks also result in an underestimation of affiliate activity. We test these hypotheses by first regressing affiliate value-added and affiliate sales on FDI stocks to calculate a country-specific mismatch, and then by regressing this mismatch on a host country's tax haven status, level of financial market development, exchange rate volatility, and affiliate labor productivity. All hypotheses are supported, implying that FDI stocks are a biased measure of MNE affiliate activity, and hence that the results of FDI-data-based studies of such activity need to be reconsidered. [ABSTRACT FROM AUTHOR]

Quantitative and qualitative trapping of volatile methylated selenium species entrained through nitric acid

Quantification and speciation of volatile selenium (Se) fluxes in remote areas has not been feasible previously, due to the absence of a simple and easily transportable trapping technique that preserves speciation. This paper presents a chemo-trapping method with nitric acid (HNO3) for volatile Se species, which preserves speciation of trapped compounds. The recovery and speciation of dimethylselenide (DMSe) and dimethyl diselenide (DMDSe) entrained through both concentrated nitric acid and hydrogen peroxide (H2O2) were compared by HPLC-ICP-MS and HPLC-HG-AFS analyses. It was demonstrated that trap reproducibility was better for nitric acid and a recovery of 65.2 +/- 1.9% for DMSe and 81.3 +/- 3.9% for DMDSe was found in nitric acid traps. HPLC-ES-MS identified dimethyl selenoxide (DMSeO) as the trapped product of DMSe. Methylseleninic acid (MSA) was identified to be the single product of DMDSe trapping. These oxidized derivatives have a high stability and low volatility, which makes nitric acid a highly attractive trapping liquid for volatile Se species and enables reconstruction of the speciation of those species. The presented trapping method is simple, quantifiable, reproducible, and robust and can potentially be applied to qualitatively and quantitatively study Se volatilization in a wide range of natural environments.

Selective Hydrogenation of alpha,beta-Unsaturated Aldehydes and Ketones using Novel Manganese Oxide and Platinum Supported on Manganese Oxide Octahedral Molecular Sieves as Catalysts

The selective hydrogenation of ,-unsaturated aldehydes and ketones has been studied using ketoisophorone and cinnamaldehyde as model substrates using manganese oxide octahedral molecular sieve (OMS-2) based catalysts. For the first time, OMS-2 has been shown to be an efficient and selective hydrogenation catalyst. High selectivities for either the CC or CO double bond at approximate to 100% conversion were achieved by using OMS-2 and platinum supported on OMS-2 catalysts. Density functional theory (DFT) calculations showed that the dissociation of H2 on OMS-2 was water assisted and occurred on the surface Mn of OMS-2(001) that had been modified by an adsorbed H2O molecule. The theoretically calculated activation barrier was in good agreement with the experimentally determined value for the hydrogenation reactions, indicating that H2 dissociation on OMS-2 is likely to be the rate-determining step. A significant increase in the rate of reaction was observed in the presence of Pt as a result of the enhancement of H2 dissociative adsorption and subsequent reaction on the Pt or spillover of the hydrogen to the OMS-2 support. The relative adsorption strengths of ketoisophorone and cinnamaldehyde on the OMS-2 support compared with the Pt were found to determine the product selectivity.

Promotion of Ceria Catalysts by Precious Metals: Changes in Nature of the Interaction under Reducing and Oxidizing Conditions

By depositing ceria over supported precious metal (PM) catalysts and characterizing them with in situ diffuse reflectance UV (DR UV) and in situ Raman spectroscopy, we have been able to prove a direct correlation between a decrease in ceria band gap and the work function of the metal under reducing conditions. The PM ceria interaction results in changes on the ceria side of the metal ceria interface, such that the degree of oxygen vacancy formation on the ceria surface also correlates with the precious metal work function. Nevertheless, conclusive evidence for a purely electronic interaction could not be provided by X-ray photoelectron spectroscopy (XPS) analysis. On the contrary, the results highlight the complexity of the PM ceria interaction by supporting a spillover mechanism resulting from the electronic interaction under reducing conditions. Under oxidizing conditions, another effect has been observed; namely, a structural modification of ceria induced by the presence of PM cations. In particular, we have been able to demonstrate by in situ Raman spectroscopy that, depending on the PM ionic radius, it is possible to create PM ceria solid solutions. We observed that this structural modification prevails under an oxidizing atmosphere, whereas electronic and chemical interactions take place under reducing conditions.

Understanding the mismatch between income poverty and deprivation: A dynamic comparative analysis

In this paper we seek to shed light on the mismatch between income poverty and deprivation through a comparative and dynamic analysis of both forms of disadvantage. By extending analysis over five waves of the ECHP we are able to take into account the key dimensions characterizing poverty profiles overtime. Our conclusions turn out to be remarkably stable across countries. While persistent income poverty measures are systematically related to both cross-sectional and longitudinal measures of deprivation, the scale of mismatch is no less at the latter than at the former level. There is some evidence that although rates of volatility for income and deprivation measures are roughly similar, the processes of change themselves are somewhat different. Further light is shed on the underlying processes by cross-classifying the forms of deprivation. Those exposed to both types of deprivation are differentiated from others in terms of need and resource variables. Conclusions relating to the socio-demographic influences on risk levels are influenced by choice and combination of indicators. The results of our analysis confirm the need to devote considerably more attention than heretofore to the analysis of multi-dimensional poverty dynamics.

A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework

This paper proposes a new non-parametric method for estimating model-free, time-varying liquidity betas which builds on realized covariance and volatility theory. Working under a liquidity-adjusted CAPM framework we provide evidence that liquidity risk is a factor priced in the Greek stock market, mainly arising from the covariation of individual liquidity with local market liquidity, however, the level of liquidity seems to be an irrelevant variable in asset pricing. Our findings provide support to the notion that liquidity shocks transmitted across securities can cause market-wide effects and can have important implications for portfolio diversification strategies. ©2012 Elsevier B.V. All rights reserved.