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.

Are the spatial patterns of weeds scale-invariant?

In previous empirical and modelling studies of rare species and weeds, evidence of fractal behaviour has been found. We propose that weeds in modern agricultural systems may be managed close to critical population dynamic thresholds, below which their rates of increase will be negative and where scale-invariance may be expected as a consequence. We collected detailed spatial data on five contrasting species over a period of three years in a primarily arable field. Counts in 20×20 cm contiguous quadrats, 225,000 in 1998 and 84,375 thereafter, could be re-structured into a wide range of larger quadrat sizes. These were analysed using three methods based on correlation sum, incidence and conditional incidence. We found non-trivial scale invariance for species occurring at low mean densities and where they were strongly aggregated. The fact that the scale-invariance was not found for widespread species occurring at higher densities suggests that the scaling in agricultural weed populations may, indeed, be related to critical phenomena.

Efficient on the fly calculation of time correlation functions in computer simulations

Time correlation functions yield profound information about the dynamics of a physical system and hence are frequently calculated in computer simulations. For systems whose dynamics span a wide range of time, currently used methods require significant computer time and memory. In this paper, we discuss the multiple-tau correlator method for the efficient calculation of accurate time correlation functions on the fly during computer simulations. The multiple-tau correlator is efficacious in terms of computational requirements and can be tuned to the desired level of accuracy. Further, we derive estimates for the error arising from the use of the multiple-tau correlator and extend it for use in the calculation of mean-square particle displacements and dynamic structure factors. The method described here, in hardware implementation, is routinely used in light scattering experiments but has not yet found widespread use in computer simulations.

Correlation between regioselectivity and site charge in propene polymerisation catalysed by metallocene

The reactions of propene with [Zr(cyclopentadienyl)(2)Me](+) have been investigated using density functional theory in order to study the correlation between regioselectivity and site charge in propene polymerisation. The reaction paths of the 1,2 and 2,1 additions of the methyl group to propene have been established. The geometries and energies of the reactants, transition states and products have been obtained using both PBEPBE/LANL2DZ and B3LYP/LANL2DZ methodologies. The results with both density functionals show that the activation energy for 1,2-insertion is lower than that for 2,1-insertion (Fig. 5) and this is consistent with the experiment results. Also for both density functionals, the difference of the thermal dynamic driving forces between the 2,1 product named 2-21 and the 1,2 product named 2-12 is significantly lower than the difference between the energy barriers. It is noted that in the reactants, the Mulliken partial charge on the central carbon atom C2 is positive and it can be concluded that 1,2-insertion is favoured because it can proceed via a cationic reaction.

Simulating dynamic crop growth with an adapted land surface model – JULES-SUCROS: model development and validation

The increasing demand for ecosystem services, in conjunction with climate change, is expected to signif- icantly alter terrestrial ecosystems. In order to evaluate the sustainability of land and water resources, there is a need for a better understanding of the relationships between crop production, land surface characteristics and the energy and water cycles. These relationships are analysed using the Joint UK Land Environment Simulator (JULES). JULES includes the full hydrological cycle and vegetation effects on the energy, water, and carbon fluxes. However, this model currently only simulates land surface processes in natural ecosystems. An adapted version of JULES for agricultural ecosystems, called JULES-SUCROS has therefore been developed. In addition to overall model improvements, JULES-SUCROS includes a dynamic crop growth structure that fully fits within and builds upon the biogeochemical modelling framework for natural vegetation. Specific agro-ecosystem features such as the development of yield-bearing organs and the phenological cycle from sowing till harvest have been included in the model. This paper describes the structure of JULES-SUCROS and evaluates the fluxes simulated with this model against FLUXNET measurements at 6 European sites. We show that JULES-SUCROS significantly improves the correlation between simulated and observed fluxes over cropland and captures well the spatial and temporal vari- ability of the growth conditions in Europe. Simulations with JULES-SUCROS highlight the importance of vegetation structure and phenology, and the impact they have on land–atmosphere interactions.

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.

The conditional performance of UK property funds

The evaluation of investment fund performance has been one of the main developments of modern portfolio theory. Most studies employ the technique developed by Jensen (1968) that compares a particular fund's returns to a benchmark portfolio of equal risk. However, the standard measures of fund manager performance are known to suffer from a number of problems in practice. In particular previous studies implicitly assume that the risk level of the portfolio is stationary through the evaluation period. That is unconditional measures of performance do not account for the fact that risk and expected returns may vary with the state of the economy. Therefore many of the problems encountered in previous performance studies reflect the inability of traditional measures to handle the dynamic behaviour of returns. As a consequence Ferson and Schadt (1996) suggest an approach to performance evaluation called conditional performance evaluation which is designed to address this problem. This paper utilises such a conditional measure of performance on a sample of 27 UK property funds, over the period 1987-1998. The results of which suggest that once the time varying nature of the funds beta is corrected for, by the addition of the market indicators, the average fund performance show an improvement over that of the traditional methods of analysis.

Conditional mean functions of non-linear models of US output

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied conditional mean.

Short-term variability of solar wind number density, speed and dynamic pressure as a function of the interplanetary magnetic field components: A survey over two solar cycles

The variability of hourly values of solar wind number density, number density variation, speed, speed variation and dynamic pressure with IMF Bz and magnitude |B| has been examined for the period 1965–1986. We wish to draw attention to a strong correlation in number density and number density fluctuation with IMF Bz characterised by a symmetric increasing trend in these quantities away from Bz = 0 nT. The fluctuation level in solar wind speed is found to be relatively independent of Bz. We infer that number density and number density variability dominate in controlling solar wind dynamic pressure and dynamic pressure variability. It is also found that dynamic pressure is correlated with each component of IMF and that there is evidence of morphological differences between the variation with each component. Finally, we examine the variation of number density, speed, dynamic pressure and fluctuation level in number density and speed with IMF magnitude |B|. Again we find that number density variation dominates over solar wind speed in controlling dynamic pressure.