Dynamic correlations across REIT sub-sectors

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Dynamic correlations between REIT sub-sectors and the implications for diversification

The issue of whether Real Estate Investment Trusts (REITs) should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This article considers the relationship between REITs focused on different property sectors in a Generalized Autoregressive Conditional Heteroscedasticity-Dynamic Control Correlation (GARCH-DCC) framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Macro-economic and financial determinants of comovement across global real estate security markets

This paper models the determinants of integration in the context of global real estate security markets. Using both local and U.S. Dollar denominated returns, we model conditional correlations across listed real estate sectors and also with the global stock market. The empirical results find that financial factors, such as the relationship with the respective equity market, volatility, the relative size of the real estate sector and trading turnover all play an important role in the degree of integration present. Furthermore, the results highlight the importance of macro-economic variables in the degree of integration present. All four of the macro-economic variables modeled provide at least one significant result across the specifications estimated. Factors such as financial and trade openness, monetary independence and the stability of a country’s currency all contribute to the degree of integration reported.

Do long-short speculators destabilize commodity futures markets?

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading strategies that hedge fund managers are known to implement, we show that long–short speculators do not cause changes in the volatilities of the portfolios they hold or changes in the conditional correlations between these portfolios and traditional assets. Thus calls for increased regulation of commodity money managers are, at this stage, premature. Additionally, long–short speculators can take comfort in knowing that their trades do not alter the risk and diversification properties of their portfolios.

Structure of turbulent flow over arrays of cubical roughness

The structure of turbulent flow over large roughness consisting of regular arrays of cubical obstacles is investigated numerically under constant pressure gradient conditions. Results are analysed in terms of first- and second-order statistics, by visualization of instantaneous flow fields and by conditional averaging. The accuracy of the simulations is established by detailed comparisons of first- and second-order statistics with wind-tunnel measurements. Coherent structures in the log region are investigated. Structure angles are computed from two-point correlations, and quadrant analysis is performed to determine the relative importance of Q2 and Q4 events (ejections and sweeps) as a function of height above the roughness. Flow visualization shows the existence of low-momentum regions (LMRs) as well as vortical structures throughout the log layer. Filtering techniques are used to reveal instantaneous examples of the association of the vortices with the LMRs, and linear stochastic estimation and conditional averaging are employed to deduce their statistical properties. The conditional averaging results reveal the presence of LMRs and regions of Q2 and Q4 events that appear to be associated with hairpin-like vortices, but a quantitative correspondence between the sizes of the vortices and those of the LMRs is difficult to establish; a simple estimate of the ratio of the vortex width to the LMR width gives a value that is several times larger than the corresponding ratio over smooth walls. The shape and inclination of the vortices and their spatial organization are compared to recent findings over smooth walls. Characteristic length scales are shown to scale linearly with height in the log region. Whilst there are striking qualitative similarities with smooth walls, there are also important differences in detail regarding: (i) structure angles and sizes and their dependence on distance from the rough surface; (ii) the flow structure close to the roughness; (iii) the roles of inflows into and outflows from cavities within the roughness; (iv) larger vortices on the rough wall compared to the smooth wall; (v) the effect of the different generation mechanism at the wall in setting the scales of structures.

The representation of conditional expectations of non-Gaussian noise

For Wiener spaces conditional expectations and $L^{2}$-martingales w.r.t. the natural filtration have a natural representation in terms of chaos expansion. In this note an extension to larger classes of processes is discussed. In particular, it is pointed out that orthogonality of the chaos expansion is not required.

Significance of cross correlations in the stress relaxation of polymer melts

According to linear response theory, all relaxation functions in the linear regime can be obtained using time correlation functions calculated under equilibrium. In this paper, we demonstrate that the cross correlations make a significant contribution to the partial stress relaxation functions in polymer melts. We present two illustrations in the context of polymer rheology using (1) Brownian dynamics simulations of a single chain model for entangled polymers, the slip-spring model, and (2) molecular dynamics simulations of a multichain model. Using the single chain model, we analyze the contribution of the confining potential to the stress relaxation and the plateau modulus. Although the idea is illustrated with a particular model, it applies to any single chain model that uses a potential to confine the motion of the chains. This leads us to question some of the assumptions behind the tube theory, especially the meaning of the entanglement molecular weight obtained from the plateau modulus. To shed some light on this issue, we study the contribution of the nonbonded excluded-volume interactions to the stress relaxation using the multichain model. The proportionality of the bonded/nonbonded contributions to the total stress relaxation (after a density dependent "colloidal" relaxation time) provides some insight into the success of the tube theory in spite of using questionable assumptions. The proportionality indicates that the shape of the relaxation spectrum can indeed be reproduced using the tube theory and the problem is reduced to that of finding the correct prefactor. (c) 2007 American Institute of Physics

Human amygdala responses during presentation of happy and neutral faces: correlations with state anxiety

BACKGROUND: Previous functional imaging studies demonstrating amygdala response to happy facial expressions have all included the presentation of negatively valenced primary comparison expressions within the experimental context. This study assessed amygdala response to happy and neutral facial expressions in an experimental paradigm devoid of primary negatively valenced comparison expressions. METHODS: Sixteen human subjects (eight female) viewed 16-sec blocks of alternating happy and neutral faces interleaved with a baseline fixation condition during two functional magnetic resonance imaging scans. RESULTS: Within the ventral amygdala, a negative correlation between happy versus neutral signal changes and state anxiety was observed. The majority of the variability associated with this effect was explained by a positive relationship between state anxiety and signal change to neutral faces. CONCLUSIONS: Interpretation of amygdala responses to facial expressions of emotion will be influenced by considering the contribution of each constituent condition within a greater subtractive finding, as well as 1) their spatial location within the amygdaloid complex; and 2) the experimental context in which they were observed. Here, an observed relationship between state anxiety and ventral amygdala response to happy versus neutral faces was explained by response to neutral faces.

Tracer correlations in the northern high latitude lowermost stratosphere: Influence of cross‐tropopause mass exchange

We present an analysis of trace gas correlations in the lowermost stratosphere. In‐situ aircraft measurements of CO, N2O, NOy and O3, obtained during the STREAM 1997 winter campaign, have been used to investigate the role of cross‐tropopause mass exchange on tracer‐tracer relations. At altitudes several kilometers above the local tropopause, undisturbed stratospheric air was found with NOy/NOy * ratios close to unity, NOy/O3 about 0.003–0.006 and CO mixing ratios as low as 20 ppbv (NOy * is a proxy for total reactive nitrogen derived from NOy–N2O relations measured in the stratosphere). Mixing of tropospheric air into the lowermost stratosphere has been identified by enhanced ratios of NOy/NOy * and NOy/O3, and from scatter plots of CO versus O3. The enhanced NOy/O3 ratio in the lowermost stratospheric mixing zone points to a reduced efficiency of O3 formation from aircraft NOx emissions.

Negative correlations between control performance and verbalizable knowledge: indicators for implicit learning in process control tasks?

Negative correlations between task performance in dynamic control tasks and verbalizable knowledge, as assessed by a post-task questionnaire, have been interpreted as dissociations that indicate two antagonistic modes of learning, one being “explicit”, the other “implicit”. This paper views the control tasks as finite-state automata and offers an alternative interpretation of these negative correlations. It is argued that “good controllers” observe fewer different state transitions and, consequently, can answer fewer post-task questions about system transitions than can “bad controllers”. Two experiments demonstrate the validity of the argument by showing the predicted negative relationship between control performance and the number of explored state transitions, and the predicted positive relationship between the number of explored state transitions and questionnaire scores. However, the experiments also elucidate important boundary conditions for the critical effects. We discuss the implications of these findings, and of other problems arising from the process control paradigm, for conclusions about implicit versus explicit learning processes.