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.

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.

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.

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.

The effect of flow field & geometry on the dynamic contact angle

A number of recent experiments suggest that, at a given wetting speed, the dynamic contact angle formed by an advancing liquid-gas interface with a solid substrate depends on the flow field and geometry near the moving contact line. In the present work, this effect is investigated in the framework of an earlier developed theory that was based on the fact that dynamic wetting is, by its very name, a process of formation of a new liquid-solid interface (newly “wetted” solid surface) and hence should be considered not as a singular problem but as a particular case from a general class of flows with forming or/and disappearing interfaces. The results demonstrate that, in the flow configuration of curtain coating, where a liquid sheet (“curtain”) impinges onto a moving solid substrate, the actual dynamic contact angle indeed depends not only on the wetting speed and material constants of the contacting media, as in the so-called slip models, but also on the inlet velocity of the curtain, its height, and the angle between the falling curtain and the solid surface. In other words, for the same wetting speed the dynamic contact angle can be varied by manipulating the flow field and geometry near the moving contact line. The obtained results have important experimental implications: given that the dynamic contact angle is determined by the values of the surface tensions at the contact line and hence depends on the distributions of the surface parameters along the interfaces, which can be influenced by the flow field, one can use the overall flow conditions and the contact angle as a macroscopic multiparametric signal-response pair that probes the dynamics of the liquid-solid interface. This approach would allow one to investigate experimentally such properties of the interface as, for example, its equation of state and the rheological properties involved in the interface’s response to an external torque, and would help to measure its parameters, such as the coefficient of sliding friction, the surface-tension relaxation time, and so on.

Calculating the ocean's mean dynamic topography from a mean sea surface and a geoid

In principle the global mean geostrophic surface circulation of the ocean can be diagnosed by subtracting a geoid from a mean sea surface (MSS). However, because the resulting mean dynamic topography (MDT) is approximately two orders of magnitude smaller than either of the constituent surfaces, and because the geoid is most naturally expressed as a spectral model while the MSS is a gridded product, in practice complications arise. Two algorithms for combining MSS and satellite-derived geoid data to determine the ocean’s mean dynamic topography (MDT) are considered in this paper: a pointwise approach, whereby the gridded geoid height field is subtracted from the gridded MSS; and a spectral approach, whereby the spherical harmonic coefficients of the geoid are subtracted from an equivalent set of coefficients representing the MSS, from which the gridded MDT is then obtained. The essential difference is that with the latter approach the MSS is truncated, a form of filtering, just as with the geoid. This ensures that errors of omission resulting from the truncation of the geoid, which are small in comparison to the geoid but large in comparison to the MDT, are matched, and therefore negated, by similar errors of omission in the MSS. The MDTs produced by both methods require additional filtering. However, the spectral MDT requires less filtering to remove noise, and therefore it retains more oceanographic information than its pointwise equivalent. The spectral method also results in a more realistic MDT at coastlines. 1. Introduction An important challenge in oceanography is the accurate determination of the ocean’s time-mean dynamic topography (MDT). If this can be achieved with sufficient accuracy for combination with the timedependent component of the dynamic topography, obtainable from altimetric data, then the resulting sum (i.e., the absolute dynamic topography) will give an accurate picture of surface geostrophic currents and ocean transports.

Grid Remote Execution (G-Rex) of Climate Models

G-Rex is light-weight Java middleware that allows scientific applications deployed on remote computer systems to be launched and controlled as if they are running on the user's own computer. G-Rex is particularly suited to ocean and climate modelling applications because output from the model is transferred back to the user while the run is in progress, which prevents the accumulation of large amounts of data on the remote cluster. The G-Rex server is a RESTful Web application that runs inside a servlet container on the remote system, and the client component is a Java command line program that can easily be incorporated into existing scientific work-flow scripts. The NEMO and POLCOMS ocean models have been deployed as G-Rex services in the NERC Cluster Grid, and G-Rex is the core grid middleware in the GCEP and GCOMS e-science projects.

Language processing with dynamic fields

We construct a mapping from complex recursive linguistic data structures to spherical wave functions using Smolensky's filler/role bindings and tensor product representations. Syntactic language processing is then described by the transient evolution of these spherical patterns whose amplitudes are governed by nonlinear order parameter equations. Implications of the model in terms of brain wave dynamics are indicated.

Variation in dynamic elastic shear modulus of sandstone upon fluid saturation and substitution

Experimental acoustic measurements on sandstone rocks at both sonic and ultrasonic frequencies show that fluid saturation can cause a noticeable change in both the dynamic bulk and shear elastic moduli of sandstones. We observed that the change in dynamic shear modulus upon fluid saturation is highly dependent on the type of saturant, its viscosity, rock microstructure, and applied pressures. Frequency dispersion has some influence on dynamic elastic moduli too, but its effect is limited to the ultrasonic frequency ranges and above. We propose that viscous coupling, reduction in free surface energy, and, to a limited extent, frequency dispersion due to both local and global flow are the main mechanisms responsible for the change in dynamic shear elastic modulus upon fluid saturation and substitution, and we quantify influences.

The Dubawnt Lake palaeo-ice stream: evidence for dynamic ics sheet behaviour on the Canadian Shield and insights regarding the controls on ice-stream location and vigour

We report evidence for a major ice stream that operated over the northwestern Canadian Shield in the Keewatin Sector of the Laurentide Ice Sheet during the last deglaciation 9000-8200 (uncalibrated) yr BP. It is reconstructed at 450 km in length, 140 km in width, and had an estimated catchment area of 190000 km. Mapping from satellite imagery reveals a suite of bedforms ('flow-set') characterized by a highly convergent onset zone, abrupt lateral margins, and where flow was presumed to have been fastest, a remarkably coherent pattern of mega-scale glacial lineations with lengths approaching 13 km and elongation ratios in excess of 40:1. Spatial variations in bedform elongation within the flow-set match the expected velocity field of a terrestrial ice stream. The flow pattern does not appear to be steered by topography and its location on the hard bedrock of the Canadian Shield is surprising. A soft sedimentary basin may have influenced ice-stream activity by lubricating the bed over the downstream crystalline bedrock, but it is unlikely that it operated over a pervasively deforming till layer. The location of the ice stream challenges the view that they only arise in deep bedrock troughs or over thick deposits of 'soft' fine-grained sediments. We speculate that fast ice flow may have been triggered when a steep ice sheet surface gradient with high driving stresses contacted a proglacial lake. An increase in velocity through calving could have propagated fast ice flow upstream (in the vicinity of the Keewatin Ice Divide) through a series of thermomechanical feedback mechanisms. It exerted a considerable impact on the Laurentide Ice Sheet, forcing the demise of one of the last major ice centres.