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.

Does changing the taxonomical resolution alter the value of soil macroinvertebrates as bioindicators of metal pollution?

Ecological indicators are taxa that are affected by, and indicate effects of, anthropogenic environmental stress or disturbance on ecosystems. There is evidence that some species of soil macrofauna (i.e. diameter > 2 min) constitute valuable biological indicators of certain types of soil perturbations. This study aims to determine which level of taxonomic resolution, (species, family or ecological group) is the best to identify indicator of soil disturbance. Macrofauna were sampled in a set of sites encompassing different land-use systems (e.g. forests, pastures, crops) and different levels of pollution. Indicator taxa were sought using the IndVal index proposed by Dufrene and Legendre [Dufrene, M., Legendre, P., 1997. Species assemblages and indicator species: the need for a flexible asymetrical approach. Ecological Monographs 67, 345-3661. This approach is based on a hierarchical typology of sites. The index value changes along the typology and decreases (increases) for generalist (specialist) faunal units (species, families or ecological groups). Of the 327 morphospecies recorded, 19 were significantly associated with a site type or a group of sites (5.8%). Similarly, species were aggregated to form 59 families among which 17 (28.8%) displayed a significant indicator value. Gathering species into 28 broad ecological assemblages led to 14 indicator groups (50%). Beyond the simple proportion of units having significant association with a given level of the site typology, the proportion of specialist and generalist groups changed dramatically when the level of taxonomic resolution was altered. At the species level 84% of the indicator units were specialist, whereas this proportion decreased to 70 and 43% when families and ecological groups were considered. Because specialist groups are the most interesting type of indicators either in terms of conservation or for management purposes we come to the conclusion that the species level is the most accurate taxonomic level in bioindication studies although it requires a high amount of labour and operator knowledge and is time-consuming. (c) 2005 Published by Elsevier Ltd.

Using aircraft measurements to determine the refractive index of Saharan dust during the DODO Experiments

Much uncertainty in the value of the imaginary part of the refractive index of mineral dust contributes to uncertainty in the radiative effect of mineral dust in the atmosphere. A synthesis of optical, chemical and physical in-situ aircraft measurements from the DODO experiments during February and August 2006 are used to calculate the refractive index mineral dust encountered over West Africa. Radiative transfer modeling and measurements of broadband shortwave irradiance at a range of altitudes are used to test and validate these calculations for a specific dust event on 23 August 2006 over Mauritania. Two techniques are used to determine the refractive index: firstly a method combining measurements of scattering, absorption, size distributions and Mie code simulations, and secondly a method using composition measured on filter samples to apportion the content of internally mixed quartz, calcite and iron oxide-clay aggregates, where the iron oxide is represented by either hematite or goethite and clay by either illite or kaolinite. The imaginary part of the refractive index at 550 nm (ni550) is found to range between 0.0001 i to 0.0046 i, and where filter samples are available, agreement between methods is found depending on mineral combination assumed. The refractive indices are also found to agree well with AERONET data where comparisons are possible. ni550 is found to vary with dust source, which is investigated with the NAME model for each case. The relationship between both size distribution and ni550 on the accumulation mode single scattering albedo at 550 nm (ω0550) are examined and size distribution is found to have no correlation to ω0550, while ni550 shows a strong linear relationship with ω0550. Radiative transfer modeling was performed with different models (Mie-derived refractive indices, but also filter sampling composition assuming both internal and external mixing). Our calculations indicate that Mie-derived values of ni550 and the externally mixed dust where the iron oxide-clay aggregate corresponds to the goethite-kaolinite combination result in the best agreement with irradiance measurements. The radiative effect of the dust is found to be very sensitive to the mineral combination (and hence refractive index) assumed, and to whether the dust is assumed to be internally or externally mixed.

Revisiting youden’s index as a useful measure of the misclassification error in meta-analysis of diagnostic studies

The paper considers meta-analysis of diagnostic studies that use a continuous score for classification of study participants into healthy or diseased groups. Classification is often done on the basis of a threshold or cut-off value, which might vary between studies. Consequently, conventional meta-analysis methodology focusing solely on separate analysis of sensitivity and specificity might be confounded by a potentially unknown variation of the cut-off value. To cope with this phenomena it is suggested to use, instead, an overall estimate of the misclassification error previously suggested and used as Youden’s index and; furthermore, it is argued that this index is less prone to between-study variation of cut-off values. A simple Mantel–Haenszel estimator as a summary measure of the overall misclassification error is suggested, which adjusts for a potential study effect. The measure of the misclassification error based on Youden’s index is advantageous in that it easily allows an extension to a likelihood approach, which is then able to cope with unobserved heterogeneity via a nonparametric mixture model. All methods are illustrated at hand of an example on a diagnostic meta-analysis on duplex doppler ultrasound, with angiography as the standard for stroke prevention.

Revisiting Youden's index as a useful measure of the misclassification error in meta-analysis of diagnostic studies

The paper considers meta-analysis of diagnostic studies that use a continuous Score for classification of study participants into healthy, or diseased groups. Classification is often done on the basis of a threshold or cut-off value, which might vary between Studies. Consequently, conventional meta-analysis methodology focusing solely on separate analysis of sensitivity and specificity might he confounded by a potentially unknown variation of the cut-off Value. To cope with this phenomena it is suggested to use, instead an overall estimate of the misclassification error previously suggested and used as Youden's index and; furthermore, it is argued that this index is less prone to between-study variation of cut-off values. A simple Mantel-Haenszel estimator as a summary measure of the overall misclassification error is suggested, which adjusts for a potential study effect. The measure of the misclassification error based on Youden's index is advantageous in that it easily allows an extension to a likelihood approach, which is then able to cope with unobserved heterogeneity via a nonparametric mixture model. All methods are illustrated at hand of an example on a diagnostic meta-analysis on duplex doppler ultrasound, with angiography as the standard for stroke prevention.

UV irradiance as a major influence on growth, development and secondary products of commercial importance in Lollo Rosso lettuce 'Revolution' grown under polyethylene films

The growth and production of anthocyanin, flavonoid and phenolic compounds were evaluated in Lollo Rosso lettuce 'Revolution' grown continuously under films varying in their ability to transmit LTV radiation (completely transparent to IN, transparent above 320, 350, 370 and 3 80 nm and completely opaque to LTV radiation). Plants were grown from seed under UV transparent and UV blocking films and destructively harvested 3-4 weeks after transplanting. Plants under a complete UV blocking film (UV400) produced up to 2.2 times more total above ground dry weight than plants under the UV transparent film. In contrast, anthocyanin content in plants under the UV blocking film was approximately eight times lower than in plants under a UV transparent film. Furthermore, there was a curvilinear relationship between the anthocyanin content and LTV wavelength cutoff such that above 370 run there was no further reduction in anthocyanin content. Fluorescence measurements indicated that photosynthetic performance index was 15% higher under the presence of UVB and UVA (UV280) than under the presence of UVA (UV320) and 53% higher than in the absence of UV radiation suggesting protection of the photosynthetic apparatus possibly by phenolic compounds. These findings are of particular importance as the potential of UV transmitting films to increase secondary compounds may offer the opportunity to produce plants commercially with increased health benefits compared to those grown under conventional films.

The air distribution index as an indicator for energy consumption and performance of ventilation systems

This paper deals with the energy consumption and the evaluation of the performance of air supply systems for a ventilated room involving high- and low-level supplies. The energy performance assessment is based on the airflow rate, which is related to the fan power consumption by achieving the same environmental quality performance for each case. Four different ventilation systems are considered: wall displacement ventilation, confluent jets ventilation, impinging jet ventilation and a high level mixing ventilation system. The ventilation performance of these systems will be examined by means of achieving the same Air Distribution Index (ADI) for different cases. The widely used high-level supplies require much more fan power than those for low-level supplies for achieving the same value of ADI. In addition, the supply velocity, hence the supply dynamic pressure, for a high-level supply is much larger than for low-level supplies. This further increases the power consumption for high-level supply systems. The paper considers these factors and attempts to provide some guidelines on the difference in the energy consumption associated with high and low level air supply systems. This will be useful information for designers and to the authors' knowledge there is a lack of information available in the literature on this area of room air distribution. The energy performance of the above-mentioned ventilation systems has been evaluated on the basis of the fan power consumed which is related to the airflow rate required to provide equivalent indoor environment. The Air Distribution Index (ADI) is used to evaluate the indoor environment produced in the room by the ventilation strategy being used. The results reveal that mixing ventilation requires the highest fan power and the confluent jets ventilation needs the lowest fan power in order to achieve nearly the same value of ADI.

A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.

Options for enhancing the biodiversity value of intensive livestock farms: experience from the English agri-environment schemes

Permanent grassland makes up a greater proportion of the agricultural area in the UK and Ireland than in any other EU country, representing 60% and 72% of UAA respectively (Eurostat 2007). Of the permanent grassland in the UK, approximately half (about 6 million hectares) comprises improved grassland on moist or free-draining neutral soils typical of lowland livestock farms. These swards tend to have low plant species richness and are typically dominated by perennial ryegrass (Lolium perenne). The aim of this paper is to review the ways in which biodiversity of such farmland can be enhanced, focussing on the evidence behind management options in English agri-environment schemes (AES) at a range of scales and utilising a range of mechanisms.

Theoretical perspectives on the development of a meta-methodology for value management

This paper provides a new set of theoretical perspectives on the topic of value management in building procurement. On the evidence of the current literature it is possible to identify two distinct methodologies which are based on different epistemological positions. An argument is developed which sees these two methodologies to be complementary. A tentative meta-methodology is then outlined for matching methodologies to different problem situations. It is contended however that such a meta-methodology could never provide a prescriptive guide. Its usefulness lies in the way in which it provides the basis for reflective practice. Of central importance is the need to understand the problem context within which value management is to be applied. The distinctions between unitary, pluralistic and coercive situations are seen to be especially significant.

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

Case study on the whole life carbon cycle in buildings

Global temperatures are expected to rise by between 1.1 and 6.4oC this century, depending, to a large extent, on the amount of carbon we emit to the atmosphere from now onwards. This warming is expected to have very negative effects on many peoples and ecosystems and, therefore, minimising our carbon emissions is a priority. Buildings are estimated to be responsible for around 50% of carbon emissions in the UK. Potential reductions involve both operational emissions, produced during use, and embodied emissions, produced during manufacture of materials and components, and during construction, refurbishments and demolition. To date the major effort has focused on reducing the, apparently, larger operational element, which is more readily quantifiable and reduction measures are relatively straightforward to identify and implement. Various studies have compared the magnitude of embodied and operational emissions, but have shown considerable variation in the relative values. This illustrates the difficulties in quantifying embodied, as it requires a detailed knowledge of the processes involved in the different life cycle phases, and requires the use of consistent system boundaries. However, other studies have established the interaction between operational and embodied, which demonstrates the importance of considering both elements together in order to maximise potential reductions. This is borne out in statements from both the Intergovernmental Panel on Climate Change and The Low Carbon Construction Innovation and Growth Team of the UK Government. In terms of meeting the 2020 and 2050 timeframes for carbon reductions it appears to be equally, if not more, important to consider early embodied carbon reductions, rather than just future operational reductions. Future decarbonisation of energy supply and more efficient lighting and M&E equipment installed in future refits is likely to significantly reduce operational emissions, lending further weight to this argument. A method of discounting to evaluate the present value of future carbon emissions would allow more realistic comparisons to be made on the relative importance of the embodied and operational elements. This paper describes the results of case studies on carbon emissions over the whole lifecycle of three buildings in the UK, compares four available software packages for determining embodied carbon and suggests a method of carbon discounting to obtain present values for future emissions. These form the initial stages of a research project aimed at producing information on embodied carbon for different types of building, components and forms of construction, in a simplified form, which can be readily used by building designers in optimising building design in terms of minimising overall carbon emissions. Keywords: Embodied carbon; carbon emission; building; operational carbon.

Quantifying the value of ecosystem services: a case study of honeybee pollination in the UK

There is concern that insect pollinators, such as honey bees, are currently declining in abundance, and are under serious threat from environmental changes such as habitat loss and climate change; the use of pesticides in intensive agriculture, and emerging diseases. This paper aims to evaluate how much public support there would be in preventing further decline to maintain the current number of bee colonies in the UK. The contingent valuation method (CVM) was used to obtain the willingness to pay (WTP) for a theoretical pollinator protection policy. Respondents were asked whether they would be WTP to support such a policy and how much would they pay? Results show that the mean WTP to support the bee protection policy was £1.37/week/household. Based on there being 24.9 million households in the UK, this is equivalent to £1.77 billion per year. This total value can show the importance of maintaining the overall pollination service to policy makers. We compare this total with estimates obtained using a simple market valuation of pollination for the UK.

Designing and implementing livestock value chain studies: a practical aid for Highly Pathogenic and Emerging Disease (HPED) control

Value chain studies, including production system and market chain studies, are essential to value chain analysis, which when coupled with disease risk analysis is a powerful tool to identify key constraints and opportunities for disease control based on risk management in a livestock production and marketing system. Several production system and market chain studies have been conducted to support disease control interventions in South East Asia. This practical aid summarizes experiences and lessons learned from the implementation of such value chain studies in South East Asia. Based on these experiences it prioritizes the required data for the respective purpose of a value chain study and recommends data collection as well as data analysis tools. This practical aid is intended as an adjunct to the FAO value chain approach and animal diseases risk management guidelines document. Further practical advice is provided for more effective use of value chain studies in South and South East Asia as part of animal health decision support.