Dynamic Density Forecasts for Multivariate Asset Returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the “negative tail” of the joint distribution.

The rate of return on equity across industrial sectors on the British stock market, 1825-70

This article assesses the contribution of the various industrial sectors to the growth of the British equity market in the 1825–70 period. It also provides estimates of the rates of return on these industrial sectors in this period. The article then proceeds to examine whether differences in rates of return across the various sectors can be explained by risk or other financial factors. One of the main findings is that the relatively high rates of return in the banking, insurance, and miscellaneous sectors appear to be in some measure explained by the presence of extended liability and uncalled capital.

Impacts of unregulated harvesting on a recovering stock of native oysters (Ostrea edulis)

In Strangford Lough, Northern Ireland stocks of Ostrea edulis collapsed in the 1890s and the species was rarely recorded again until 1998 when the wild stock was estimated to be 100,000. The stock increased to 1.2 million in 2003 but declined to 650,000 by 2005. In 2007 the stock exceeded 1 million. The initial recovery of wild stocks is attributed to the combined effects of spawning commercial O. edulis stocks of and larval retention due to local hydrography. The stock decline between 2003 and 2005 is attributed to unregulated harvesting. Significant differences in abundances between sites over this period may be explained by the exploitation of more-readily accessible sites initially and of less accessible sites later. Oysters at sites where there was minimal exploitation probably contributed to widespread recruitment in 2007. Sustainable management of recovering native oyster stocks in Strangford Lough and elsewhere and will be impossible without appropriate legislation and enforcement.

Dynamic pricing models for used products in remanufacturing with lost-sales and uncertain quality

In this paper, we investigate the remanufacturing problem of pricing single-class used products (cores) in the face of random price-dependent returns and random demand. Specifically, we propose a dynamic pricing policy for the cores and then model the problem as a continuous-time Markov decision process. Our models are designed to address three objectives: finite horizon total cost minimization, infinite horizon discounted cost, and average cost minimization. Besides proving optimal policy uniqueness and establishing monotonicity results for the infinite horizon problem, we also characterize the structures of the optimal policies, which can greatly simplify the computational procedure. Finally, we use computational examples to assess the impacts of specific parameters on optimal price and reveal the benefits of a dynamic pricing policy. © 2013 Elsevier B.V. All rights reserved.

'Diminishing Returns' (diary)

Diary

Property rights and competing for the affections of Demos: The Impact of the 1867 Reform Act on stock prices

The 1867 Reform Act in Britain extended the electoral franchise to the skilled but propertyless urban working classes. Using stock market data and exploiting the fact that foreign and domestic equities traded simultaneously on the London market, this paper finds that investors in British firms reacted negatively to the passage of this Act. We suggest that this finding is consistent with investors foreseeing future alterations of property rights arising from the pressure that the large newly enfranchised group would bring to bear on government policy. We also suggest that our findings appear to be more consistent with the Tory political competition explanation for the Act rather than the Whig threat-of-revolution explanation.

The privatisation of council housing: Stock transfer and the struggle for accountable housing

A central element in the privatization of council housing has been the development of stock transfer policy. A variety of perspectives on this process have been explored including the impact on accountability relations; however, the tenants’ experience is almost completely absent from this literature. The paper develops a case study that draws on the experience of the tenants involved in a stock transfer. In the process stock transfers, and related accountability relations, are shown to be contested with tenant-led campaigns challenging this neoliberal inspired policy. The case study illustrates the power and financial resource asymmetries in transfer campaigns with a range of anti-democratic tactics employed by those pursuing the transfer. On the basis of a critique of neoliberalism, the stock transfer process is seen as an attack on the previous democratic control of council housing, which is replaced with ‘governance by experts and elites’ and private sector inspired corporate governance forms of accountability. Thus the paper seeks to answer two questions; how democratic is the transfer process and what are the long-term implications for democratic accountability in the social housing sector.

Quantifying the Energy & carbon emissions implications of a 10% electric vehicles target

EU Directive 2009/28/EC on Renewable Energy requires each Member State to ensure 10% of transport energy (excluding aviation and marine transport) comes from renewable sources by 2020 (10% RES-T target). In addition to the anticipated growth in biofuels, this target is expected to be met by the increased electrification of transport coupled with a growing contribution from renewable energy to electricity generation. Energy use in transport accounted for nearly half of Ireland’s total final energy demand and about a third of energy-related carbon dioxide emissions in 2007. Energy use in transport has grown by 6.3% per annum on average in the period 1990 – 2007. This high share and fast growth relative to other countries highlights the challenges Ireland faces in meeting ambitious renewable energy targets. The Irish Government has set a specific target for Electric Vehicles (EV) as part of its strategy to deliver the 10% RES-T target. By 2020, 10% of all vehicles in its transport fleet are to be powered by electricity. This paper quantifies the impacts on energy and carbon dioxide emissions of this 10% EV target by 2020. In order to do this an ‘EV Car Stock’ model was developed to analyse the historical and future make-up of the passenger car portion of the fleet to 2025. Three scenarios for possible take-up in EVs were examined and the associated energy and emissions impacts are quantified. These impacts are then compared to Ireland’s 10% RES-T target and greenhouse gas (GHG) emissions reduction targets for 2020. Two key findings of the study are that the 10% EV target contributes 1.7% to the 10% RES-T target by 2020 and 1.4% to the 20% reduction in Non-ETS emissions by 2020 relative to 2005.

Average household income, crime, and smoking behaviour in a local area: The Finnish 10-Town study

Social environments, like neighbourhoods, are increasingly recognised as determinants of health. While several studies have reported an association of low neighbourhood socio-economic status with morbidity, mortality and health risk behaviour, little is known of the health effects of neighbourhood crime rates. Using the ongoing 10-Town study in Finland, we examined the relations of average household income and crime rate measured at the local area level, with smoking status and intensity by linking census data of local area characteristics from 181 postal zip codes to survey responses to smoking behaviour in a cohort of 23,008 municipal employees. Gender-stratified multilevel analyses adjusted for age and individual occupational status revealed an association between low local area income rate and current smoking. High local area crime rate was also associated with current smoking. Both local area characteristics were strongly associated with smoking intensity. Among ever-smokers, being an ex-smoker was less likely among residents in areas with low average household income and a high crime rate. In the fully adjusted model, the association between local area income and smoking behaviour among women was substantially explained by the area-level crime rate. This study extends our knowledge of potential pathways through which social environmental factors may affect health. (c) 2007 Elsevier Ltd. All rights reserved.

Climate Adaptation: The future of extra-care housing for the elderly in the United Kingdom.

This paper describes the result of a project to develop climate adaptation design strategies funded by the UK’s Technology Strategy Board. The aim of the project was to look at the effects of climate change in the distant future (2080) on a vulnerable group such as older people with special needs and see how architectural design strategies and technologies may be used today to help mitigate problems ahead caused by climate change.
Older people are the most vulnerable sector of society and are particularly at risk in extreme weather, either excess cold in winter or continual high temperatures in summer. In the UK it is predicted that average temperatures may rise by as much as 8 degrees in Summer by 2080 and there will be a 20% greater chance of extreme weather events. This will place extreme stress on the building stock which is designed for today’s mild maritime climate.
The project took a current proposal for an extra-care home for the elderly designed to 2010 regulations and developed a road map to 2080 using climate models developed by the UK Meteorological Office. This allowed the current design to be assessed using future climatic data, proposals for improvement of the scheme to be made within existing constraints and also a new scheme to be developed from first principals using this data, and projections of new technologies that will be available. By comparing these schemes, the approach allowed a reassessment of the initial scheme, and allowed a new design to be developed that offered a more flexible solution incorporating future retrofit which allows new renewable technologies for heating, cooling and water storage to be added at a later date.

FROM ASCRIPTION TO ACHIEVEMENT - ORIGINS, EDUCATION AND ENTRY TO THE LABOR-FORCE IN THE REPUBLIC OF IRELAND DURING THE 20TH-CENTURY

This paper examines the relationship between class of origin, educational attainment, and class of entry to the labour force, in three cohorts of men in the Republic of Ireland using data collected in 1987. The three cohorts comprise men born (i) before 1937; (ii) between 1937 and 1949; and (iii) between 1950 and 1962. The paper assesses the degree of change over the three cohorts in respect of (a) the gross relationship between origins and entry class; (b) the partial effect (controlling for education) of origin class on entry class; (c) the partial effect of education (controlling for origins) on class of entry. In broad terms the liberal theory of industrialism would imply a movement, over the three cohorts, towards (a) increasing social fluidity; (b) a weakening of the partial effect of origin class; (c) a strengthening of the partial effect of education. These latter two trends should be particularly noticeable in the youngest cohort, which would, to some degree, have benefited from the introduction of free post-primary education in Ireland in 1967.

Our results provide almost no support for these hypotheses. We find that patterns of social fluidity in the origin/entry relationship remain unchanged over the cohorts. The partial effect of class remains relatively constant; and, while the partial effect of education on entry class changes over the cohorts, the most striking result in this area is the declining returns to higher levels of education. While the average level of educational attainment increased over the three cohorts, the advantages accruing to the possession of higher levels of education simultaneously diminished. Taken together our results suggest that, in Ireland, those classes that have historically enjoyed advantages in access to more desirable entry positions in the labour market have been remarkably adept at retaining their advantages during the course of industrialization and through the various educational and other labour market changes that have accompanied this process.