The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

Production and processing asymmetries in the acquisition of tense morphology by sequential bilingual children

This study investigates the production and on-line processing of English tense morphemes by sequential bilingual (L2) Turkish-speaking children with more than three years of exposure to English. Thirty nine 6-9-year-old L2 children and 28 typically developing age-matched monolingual (L1) children were administered the production component for third person –s and past tense of the Test for Early Grammatical Impairment (Rice & Wexler, 1996) and participated in an on-line word-monitoring task involving grammatical and ungrammatical sentences with presence/omission of tense (third person –s, past tense -ed) and non-tense (progressive –ing, possessive ‘s) morphemes. The L2 children’s performance on the on-line task was compared to that of children with Specific Language Impairment (SLI) in Montgomery & Leonard (1998, 2006) to ascertain similarities and differences between the two populations. Results showed that the L2 children were sensitive to the ungrammaticality induced by the omission of tense morphemes, despite variable production. This reinforces the claim about intact underlying syntactic representations in child L2 acquisition despite non target-like production (Haznedar & Schwartz, 1997).

Business cycle asymmetries: characterisation and testing based on Markov-switching autoregressions

Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment and consumption growth. The robustness of the tests to model misspecification, and the effects of regime-dependent heteroscedasticity, are investigated.

In-street wind direction variability in the vicinity of a busy intersection in central London

We present results from fast-response wind measurements within and above a busy intersection between two street canyons (Marylebone Road and Gloucester Place) in Westminster, London taken as part of the DAPPLE (Dispersion of Air Pollution and Penetration into the Local Environment; www.dapple.org.uk) 2007 field campaign. The data reported here were collected using ultrasonic anemometers on the roof-top of a building adjacent to the intersection and at two heights on a pair of lamp-posts on opposite sides of the intersection. Site characteristics, data analysis and the variation of intersection flow with the above-roof wind direction (θref) are discussed. Evidence of both flow channelling and recirculation was identified within the canyon, only a few metres from the intersection for along-street and across-street roof-top winds respectively. Results also indicate that for oblique rooftop flows, the intersection flow is a complex combination of bifurcated channelled flows, recirculation and corner vortices. Asymmetries in local building geometry around the intersection and small changes in the background wind direction (changes in 15-min mean θref of 5–10 degrees) were also observed to have profound influences on the behaviour of intersection flow patterns. Consequently, short time-scale variability in the background flow direction can lead to highly scattered in-street mean flow angles masking the true multi-modal features of the flow and thus further complicating modelling challenges.

The neural processing of masked speech: Evidence for different mechanisms in the left and right temporal lobes

It has been previously demonstrated that extensive activation in the dorsolateral temporal lobes associated with masking a speech target with a speech masker, consistent with the hypothesis that competition for central auditory processes is an important factor in informational masking. Here, masking from speech and two additional maskers derived from the original speech were investigated. One of these is spectrally rotated speech, which is unintelligible and has a similar (inverted) spectrotemporal profile to speech. The authors also controlled for the possibility of “glimpsing” of the target signal during modulated masking sounds by using speech-modulated noise as a masker in a baseline condition. Functional imaging results reveal that masking speech with speech leads to bilateral superior temporal gyrus (STG) activation relative to a speech-in-noise baseline, while masking speech with spectrally rotated speech leads solely to right STG activation relative to the baseline. This result is discussed in terms of hemispheric asymmetries for speech perception, and interpreted as showing that masking effects can arise through two parallel neural systems, in the left and right temporal lobes. This has implications for the competition for resources caused by speech and rotated speech maskers, and may illuminate some of the mechanisms involved in informational masking.

The neural processing of masked speech: evidence for different mechanisms in the left and right temporal lobes

It has been previously demonstrated that extensive activation in the dorsolateral temporal lobes associated with masking a speech target with a speech masker, consistent with the hypothesis that competition for central auditory processes is an important factor in informational masking. Here, masking from speech and two additional maskers derived from the original speech were investigated. One of these is spectrally rotated speech, which is unintelligible and has a similar (inverted) spectrotemporal profile to speech. The authors also controlled for the possibility of "glimpsing" of the target signal during modulated masking sounds by using speech-modulated noise as a masker in a baseline condition. Functional imaging results reveal that masking speech with speech leads to bilateral superior temporal gyrus (STG) activation relative to a speech-in-noise baseline, while masking speech with spectrally rotated speech leads solely to right STG activation relative to the baseline. This result is discussed in terms of hemispheric asymmetries for speech perception, and interpreted as showing that masking effects can arise through two parallel neural systems, in the left and right temporal lobes. This has implications for the competition for resources caused by speech and rotated speech maskers, and may illuminate some of the mechanisms involved in informational masking.

Cross-resistance following artificial selection for increased defense against parasitoids in Drosophila melanogaster

An increase in resistance to one natural enemy may result in no correlated change, a positive correlated change, or a negative correlated change in the ability of the host or prey to resist other natural enemies. The type of specificity is important in understanding the evolutionary response to natural enemies and was studied here in a Drosaphila-parasitoid system. Drosophila melanogaster lines selected for increased larval resistance to the endoparasitoid wasps Asobara tabida or Leptopilina boulardi were exposed to attack by A. tabida, L. boulardi and Leptopilina heterotama at 15 degrees C, 20 degrees C, and 25 degrees C. In general, encapsulation ability increased with temperature, with the exception of the lines selected against L. boulardi, which showed the opposite trend. Lines selected against L, boulardi showed large increases in resistance against all three parasitoid species, and showed similar levels of defense against A. tabida to the lines selected against that parasitoid. In contrast, lines selected against A. tabida showed a large increase in resistance to A. tabida and generally to L. heterotoma, but displayed only a small change in their ability to survive attack by L. boulardi. Such asymmetries in correlated responses to selection for increased resistance to natural enemies may influence host-parasitoid community structure.

Taking time to understand: articulating relationships between technologies and organizations

Dynamic relationships between technologies and organizations are investigated through research on digital visualization technologies and their use in the construction sector. Theoretical work highlights mutual adaptation between technologies and organizations but does not explain instances of sustained, sudden, or increasing maladaptation. By focusing on the technological field, I draw attention to hierarchical structuring around inter-dependent levels of technology; technological priorities of diverse groups; power asymmetries and disjunctures between contexts of development and use. For complex technologies, such as digital technologies, I argue these field-level features explain why organizations peripheral to the field may experience difficulty using emerging technology.

Asymmetric adjustment in the City of London office market

Earlier estimates of the City of London office market are extended by considering a longer time series of data, covering two cycles, and by explicitly modeling of asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the two systems.

Inequality, intergenerational mobility and redistributive policies under endogenous information

This paper presents a dynamic model to study how different levels of information about the root determinants of wealth (luck versus effort) can impact inequality and intergenerational mobility through societal beliefs, individual choices and redistributive policies. To my knowledge, the model presented is the first dynamicmodel in which skills are stochastic and both beliefs and voted redistribution are determined endogenously. The model is able to explain a number of empirical facts. Large empirical evidence shows that the difference in the political support for redistribution appears to reflect differences in the social perceptions regarding the determinants of individual wealth and the underlying sources of income inequality. Moreover the beliefs about the determinants of wealth impact individual choices of effort and therefore the beliefs about the determinants of wealth impact inequality and mobility both through choices of effort and redistributive policies. The model generates multiple equilibria (US versus Europe-type) which may account for the observed features not only in terms of societal beliefs and redistribution but also in terms of perceived versus real mobility and inequality.

Borrowing and shift-induced interference: contrasting patterns in French-Germanic contact in Brussels and Strasbourg

The main aim of the present article is to test hypotheses derived from the model for contact- induced language change as formulated in Thomason and Kaufman (1988 et seq.). As the model correctly predicts the asymmetries between the mutual influences of the Germanic and the Romance varieties in Brussels and Strasbourg it is a very powerful tool for describing the contact patterns in these cities. The analysis shows that the contact patterns are very similar, both from a quantitative and from a qualitative point of view, despite important differences in the sociolinguistic situation of both cities. The striking similarities in the outcome of language contact seem to find a plausible explanation in the fact that the language contact situations in both cities are similar from a typological point of view: in each city a variety of French is in contact with a Germanic variety (Alsatian and Brussels Dutch). Thus, the claim of the present article is that the structure of the languages plays a more prominent role in the outcome of language contact than the sociolinguistic history of the speakers.

Stratosphere‐troposphere coupling and annular mode variability in chemistry‐climate models

The internal variability and coupling between the stratosphere and troposphere in CCMVal‐2 chemistry‐climate models are evaluated through analysis of the annular mode patterns of variability. Computation of the annular modes in long data sets with secular trends requires refinement of the standard definition of the annular mode, and a more robust procedure that allows for slowly varying trends is established and verified. The spatial and temporal structure of the models’ annular modes is then compared with that of reanalyses. As a whole, the models capture the key features of observed intraseasonal variability, including the sharp vertical gradients in structure between stratosphere and troposphere, the asymmetries in the seasonal cycle between the Northern and Southern hemispheres, and the coupling between the polar stratospheric vortices and tropospheric midlatitude jets. It is also found that the annular mode variability changes little in time throughout simulations of the 21st century. There are, however, both common biases and significant differences in performance in the models. In the troposphere, the annular mode in models is generally too persistent, particularly in the Southern Hemisphere summer, a bias similar to that found in CMIP3 coupled climate models. In the stratosphere, the periods of peak variance and coupling with the troposphere are delayed by about a month in both hemispheres. The relationship between increased variability of the stratosphere and increased persistence in the troposphere suggests that some tropospheric biases may be related to stratospheric biases and that a well‐simulated stratosphere can improve simulation of tropospheric intraseasonal variability.

Climatology and Forcing of the Quasi-Biennial Oscillation in the MAECHAM5 Model

The quasi-biennial oscillation (QBO) in the equatorial zonal wind is an outstanding phenomenon of the atmosphere. The QBO is driven by a broad spectrum of waves excited in the tropical troposphere and modulates transport and mixing of chemical compounds in the whole middle atmosphere. Therefore, the simulation of the QBO in general circulation models and chemistry climate models is an important issue. Here, aspects of the climatology and forcing of a spontaneously occurring QBO in a middle-atmosphere model are evaluated, and its influence on the climate and variability of the tropical middle atmosphere is investigated. Westerly and easterly phases are considered separately, and 40-yr ECMWF Re-Analysis (ERA-40) data are used as a reference where appropriate. It is found that the simulated QBO is realistic in many details. Resolved large-scale waves are particularly important for the westerly phase, while parameterized gravity wave drag is more important for the easterly phase. Advective zonal wind tendencies are important for asymmetries between westerly and easterly phases, as found for the suppression of the easterly phase downward propagation. The simulation of the QBO improves the tropical upwelling and the atmospheric tape recorder compared to a model without a QBO. The semiannual oscillation is simulated realistically only if the QBO is represented. In sensitivity tests, it is found that the simulated QBO is strongly sensitive to changes in the gravity wave sources. The sensitivity to the tested range of horizontal resolutions is small. The stratospheric vertical resolution must be better than 1 km to simulate a realistic QBO.