The inter-temporal stability of real estate returns: an empirical investigation

This paper examines one of the central issues in the formulation of a sector/regional real estate portfolio strategy, i.e. whether the means, standard deviations and correlations between the returns are sufficiently stable over time to justify using ex-post measures as proxies of the ex-ante portfolio inputs required for MPT. To investigate these issues this study conducts a number of tests of the inter-temporal stability of the total returns of the 19 sector/regions in the UK of the IPDMI. The results of the analysis reveal that the theoretical gains in sector and or regional diversification, found in previous work, could not have been readily achieved in practice without almost perfect foresight on the part of an investor as means, standard deviations and correlations, varied markedly from period to period.

Maturation of limbic corticostriatal activation and connectivity associated with developmental changes in temporal discounting

Temporal discounting (TD) matures with age, alongside other markers of increased impulse control, and coherent, self-regulated behaviour. Discounting paradigms quantify the ability to refrain from preference of immediate rewards, in favour of delayed, larger rewards. As such, they measure temporal foresight and the ability to delay gratification, functions that develop slowly into adulthood. We investigated the neural maturation that accompanies the previously observed age-related behavioural changes in discounting, from early adolescence into mid-adulthood. We used functional magnetic resonance imaging of a hypothetical discounting task with monetary rewards delayed in the week to year range. We show that age-related reductions in choice impulsivity were associated with changes in activation in ventromedial prefrontal cortex (vmPFC), anterior cingulate cortex (ACC), ventral striatum (VS), insula, inferior temporal gyrus, and posterior parietal cortex. Limbic frontostriatal activation changes were specifically associated with age-dependent reductions in impulsive choice, as part of a more extensive network of brain areas showing age-related changes in activation, including dorsolateral PFC, inferior parietal cortex, and subcortical areas. The maturational pattern of functional connectivity included strengthening in activation coupling between ventromedial and dorsolateral PFC, parietal and insular cortices during selection of delayed alternatives, and between vmPFC and VS during selection of immediate alternatives. We conclude that maturational mechanisms within limbic frontostriatal circuitry underlie the observed post-pubertal reductions in impulsive choice with increasing age, and that this effect is dependent on increased activation coherence within a network of areas associated with discounting behaviour and inter-temporal decision-making.

Spatial and temporal scale issues in determining biomass burning regimes in Bolivia and Peru

ATSR-2 active fire data from 1996 to 2000, TRMM VIRS fire counts from 1998 to 2000 and burn scars derived from SPOT VEGETATION ( the Global Burnt Area 2000 product) were mapped for Peru and Bolivia to analyse the spatial distribution of burning and its intra- and inter-annual variability. The fire season in the region mainly occurs between May and October; though some variation was found between the six broad habitat types analysed: desert, grassland, savanna, dry forest, moist forest and yungas (the forested valleys on the eastern slope of the Andes). Increased levels of burning were generally recorded in ATSR-2 and TRMM VIRS fire data in response to the 1997/1998 El Nino, but in some areas the El Nino effect was masked by the more marked influences of socio-economic change on land use and land cover. There were differences between the three global datasets: ATSR-2 under-recorded fires in ecosystems with low net primary productivities. This was because fires are set during the day in this region and, when fuel loads are low, burn out before the ATSR-2 overpass in the region which is between 02.45 h and 03.30 h. TRMM VIRS was able to detect these fires because its overpasses cover the entire diurnal range on a monthly basis. The GBA2000 product has significant errors of commission (particularly areas of shadow in the well-dissected eastern Andes) and omission (in the agricultural zone around Santa Cruz, Bolivia and in north-west Peru). Particular attention was paid to biomass burning in high-altitude grasslands, where fire is an important pastoral management technique. Fires and burn scars from Landsat Thematic Mapper (TM) and Enhanced Thematic Mapper (ETM) data for a range of years between 1987 and 2000 were mapped for areas around Parque Nacional Rio Abiseo (Peru) and Parque Nacional Carrasco (Bolivia). Burn scars mapped in the grasslands of these two areas indicate far more burning had taken place than either the fires or the burn scars derived from global datasets. Mean scar sizes are smaller and have a smaller range in size between years the in the study area in Peru (6.6-7.1 ha) than Bolivia (16.9-162.5 ha). Trends in biomass burning in the two highland areas can be explained in terms of the changing socio-economic environments and impacts of conservation. The mismatch between the spatial scale of biomass burning in the high-altitude grasslands and the sensors used to derive global fire products means that an entire component of the fire regime in the region studied is omitted, despite its importance in the farming systems on the Andes.

Robustness of mutual information to inter-subject variability for automatic artefact removal from EEG

The externally recorded electroencephalogram (EEG) is contaminated with signals that do not originate from the brain, collectively known as artefacts. Thus, EEG signals must be cleaned prior to any further analysis. In particular, if the EEG is to be used in online applications such as Brain-Computer Interfaces (BCIs) the removal of artefacts must be performed in an automatic manner. This paper investigates the robustness of Mutual Information based features to inter-subject variability for use in an automatic artefact removal system. The system is based on the separation of EEG recordings into independent components using a temporal ICA method, RADICAL, and the utilisation of a Support Vector Machine for classification of the components into EEG and artefact signals. High accuracy and robustness to inter-subject variability is achieved.

Modeling data with structural and temporal correlation using lower level and higher level multilevel models

Novel imaging techniques are playing an increasingly important role in drug development, providing insight into the mechanism of action of new chemical entities. The data sets obtained by these methods can be large with complex inter-relationships, but the most appropriate statistical analysis for handling this data is often uncertain - precisely because of the exploratory nature of the way the data are collected. We present an example from a clinical trial using magnetic resonance imaging to assess changes in atherosclerotic plaques following treatment with a tool compound with established clinical benefit. We compared two specific approaches to handle the correlations due to physical location and repeated measurements: two-level and four-level multilevel models. The two methods identified similar structural variables, but higher level multilevel models had the advantage of explaining a greater proportion of variation, and the modeling assumptions appeared to be better satisfied.

A spatio-temporal structure-based approach to drought characterisation

Drought characterisation is an intrinsically spatio-temporal problem. A limitation of previous approaches to characterisation is that they discard much of the spatio-temporal information by reducing events to a lower-order subspace. To address this, an explicit 3-dimensional (longitude, latitude, time) structure-based method is described in which drought events are defined by a spatially and temporarily coherent set of points displaying standardised precipitation below a given threshold. Geometric methods can then be used to measure similarity between individual drought structures. Groupings of these similarities provide an alternative to traditional methods for extracting recurrent space-time signals from geophysical data. The explicit consideration of structure encourages the construction of summary statistics which relate to the event geometry. Example measures considered are the event volume, centroid, and aspect ratio. The utility of a 3-dimensional approach is demonstrated by application to the analysis of European droughts (15 °W to 35°E, and 35 °N to 70°N) for the period 1901–2006. Large-scale structure is found to be abundant with 75 events identified lasting for more than 3 months and spanning at least 0.5 × 106 km2. Near-complete dissimilarity is seen between the individual drought structures, and little or no regularity is found in the time evolution of even the most spatially similar drought events. The spatial distribution of the event centroids and the time evolution of the geographic cross-sectional areas strongly suggest that large area, sustained droughts result from the combination of multiple small area (∼106 km2) short duration (∼3 months) events. The small events are not found to occur independently in space. This leads to the hypothesis that local water feedbacks play an important role in the aggregation process.

The residual circulation of the Southern Ocean: which spatio-temporal scales are needed?

The Southern Ocean circulation consists of a complicated mixture of processes and phenomena that arise at different time and spatial scales which need to be parametrized in the state-of-the-art climate models. The temporal and spatial scales that give rise to the present-day residual mean circulation are here investigated by calculating the Meridional Overturning Circulation (MOC) in density coordinates from an eddy-permitting global model. The region sensitive to the temporal decomposition is located between 38°S and 63°S, associated with the eddy-induced transport. The ‘‘Bolus’’ component of the residual circulation corresponds to the eddy-induced transport. It is dominated by timescales between 1 month and 1 year. The temporal behavior of the transient eddies is examined in splitting the ‘‘Bolus’’ component into a ‘‘Seasonal’’, an ‘‘Eddy’’ and an ‘‘Inter-monthly’’ component, respectively representing the correlation between density and velocity fluctuations due to the average seasonal cycle, due to mesoscale eddies and due to large-scale motion on timescales longer than one month that is not due to the seasonal cycle. The ‘‘Seasonal’’ bolus cell is important at all latitudes near the surface. The ‘‘Eddy’’ bolus cell is dominant in the thermocline between 50°S and 35°S and over the whole ocean depth at the latitude of the Drake Passage. The ‘‘Inter-monthly’’ bolus cell is important in all density classes and is maximal in the Brazil–Malvinas Confluence and the Agulhas Return Current. The spatial decomposition indicates that a large part of the Eulerian mean circulation is recovered for spatial scales larger than 11.25°, implying that small-scale meanders in the Antarctic Circumpolar Current (ACC), near the Subantarctic and Polar Fronts, and near the Subtropical Front are important in the compensation of the Eulerian mean flow.

Present state of global wetland extent and wetland methane modelling: methodology of a model inter-comparison project (WETCHIMP)

The Wetland and Wetland CH4 Intercomparison of Models Project (WETCHIMP) was created to evaluate our present ability to simulate large-scale wetland characteristics and corresponding methane (CH4) emissions. A multi-model comparison is essential to evaluate the key uncertainties in the mechanisms and parameters leading to methane emissions. Ten modelling groups joined WETCHIMP to run eight global and two regional models with a common experimental protocol using the same climate and atmospheric carbon dioxide (CO2) forcing datasets. We reported the main conclusions from the intercomparison effort in a companion paper (Melton et al., 2013). Here we provide technical details for the six experiments, which included an equilibrium, a transient, and an optimized run plus three sensitivity experiments (temperature, precipitation, and atmospheric CO2 concentration). The diversity of approaches used by the models is summarized through a series of conceptual figures, and is used to evaluate the wide range of wetland extent and CH4 fluxes predicted by the models in the equilibrium run. We discuss relationships among the various approaches and patterns in consistencies of these model predictions. Within this group of models, there are three broad classes of methods used to estimate wetland extent: prescribed based on wetland distribution maps, prognostic relationships between hydrological states based on satellite observations, and explicit hydrological mass balances. A larger variety of approaches was used to estimate the net CH4 fluxes from wetland systems. Even though modelling of wetland extent and CH4 emissions has progressed significantly over recent decades, large uncertainties still exist when estimating CH4 emissions: there is little consensus on model structure or complexity due to knowledge gaps, different aims of the models, and the range of temporal and spatial resolutions of the models.

The future of stakeholder management theory: a temporal perspective

We propose adding a temporal dimension to stakeholder management theory, and assess the implications thereof for firm-level competitive advantage. We argue that a firm’s competitive advantage fundamentally depends on its capacity for stakeholder management related, transformational adaptation over time. Our new temporal stakeholder management approach builds upon insights from both the resource-based view (RBV) in strategic management and institutional theory. Stakeholder agendas and their relative salience to the firm evolve over time, a phenomenon well understood in the literature, and requiring what we call level 1 adaptation. However, the dominant direction of stakeholder pressures can also change, namely, from supporting resource heterogeneity at the firm level to fostering industry homogeneity, and vice versa. When dominant stakeholder pressures shift from supporting heterogeneity towards stimulating homogeneity in industry, the firm must engage in level 2 or transformational adaptation. Stakeholders typically provide valuable resources to the firm in an early stage. Without these resources, which foster heterogeneity (in line with RBV thinking), the firm would not exist. At a later stage, stakeholders also contribute to inter-firm homogeneity via isomorphism pressures (in line with institutional theory thinking). Adding a temporal dimension to stakeholder management theory has far reaching implications for this theory’s practical relevance to senior level management in business.

Spatial and temporal variations of the seasonal sea level cycle in the northwest Pacific

The seasonal sea level variations observed from tide gauges over 1900-2013 and gridded satellite altimeter product AVISO over 1993-2013 in the northwest Pacific have been explored. The seasonal cycle is able to explain 60-90% of monthly sea level variance in the marginal seas, while it explains less than 20% of variance in the eddy-rich regions. The maximum annual and semi-annual sea level cycles (30cm and 6cm) are observed in the north of the East China Sea and the west of the South China Sea respectively. AVISO was found to underestimate the annual amplitude by 25% compared to tide gauge estimates along the coasts of China and Russia. The forcing for the seasonal sea level cycle was identified. The atmospheric pressure and the steric height produce 8-12cm of the annual cycle in the middle continental shelf and in the Kuroshio Current regions separately. The removal of the two attributors from total sea level permits to identify the sea level residuals that still show significant seasonality in the marginal seas. Both nearby wind stress and surface currents can explain well the long-term variability of the seasonal sea level cycle in the marginal seas and the tropics because of their influence on the sea level residuals. Interestingly, the surface currents are a better descriptor in the areas where the ocean currents are known to be strong. Here, they explain 50-90% of inter-annual variability due to the strong links between the steric height and the large-scale ocean currents.