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.

An analysis of commercial real estate returns: an anatomy of smoothing in asset and index returns

In this article, we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal-based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns at the index level and an ARMA model at the individual property level.

A brief index of affective job satisfaction

This article responds to criticisms that affective job satisfaction research suffers serious measurement problems: Noncomparable measures; studies conceptualizing job satisfaction affectively but measuring it cognitively; and ad hoc measures lacking systematic development and validation, especially across populations by nationality, job level, and job type. We address these problems through a series of qualitative (total N = 28) and quantitative (total N = 901) studies to systematically develop and validate a short affective job satisfaction measure ultimately deriving from Brayfield and Rothe’s (1951) job satisfaction index. Unlike any previous job satisfaction measure, the resulting four-item Brief Index of Affective Job Satisfaction is overtly affective, minimally cognitive, and optimally brief. The new measure also differs from any previous job satisfaction measure in being comprehensively validated not just for internal consistency reliability, temporal stability, convergent and criterion-related validities, but also for cross-population invariance by nationality, job level, and job type.

Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.

Large climate-induced changes in ultraviolet index and stratosphere-to-troposphere ozone flux

Now that stratospheric ozone depletion has been controlled by the Montreal Protocol1, interest has turned to the effects of climate change on the ozone layer. Climate models predict an accelerated stratospheric circulation, leading to changes in the spatial distribution of stratospheric ozone and an increased stratosphere-to-troposphere ozone flux. Here we use an atmospheric chemistry climate model to isolate the effects of climate change from those of ozone depletion and recovery on stratosphere-to-troposphere ozone flux and the clear-sky ultraviolet radiation index—a measure of potential human exposure to ultraviolet radiation. We show that under the Intergovernmental Panel on Climate Change moderate emissions scenario, global stratosphere-to- troposphere ozone flux increases by 23% between 1965 and 2095 as a result of climate change. During this time, the clear-sky ultraviolet radiation index decreases by 9% in northern high latitudes — a much larger effect than that of stratospheric ozone recovery — and increases by 4% in the tropics, and by up to 20% in southern high latitudes in late spring and early summer. The latter increase in the ultraviolet index is equivalent to nearly half of that generated by the Antarctic ‘ozone hole’ that was created by anthropogenic halogens. Our results suggest that climate change will alter the tropospheric ozone budget and the ultraviolet index, which would have consequences for tropospheric radiative forcing, air quality and human and ecosystem health.

An assessment of the MODIS collection 5 leaf area index product for a region of mixed coniferous forest

Canopy leaf area index (LAI), defined as the single-sided leaf area per unit ground area, is a quantitative measure of canopy foliar area. LAI is a controlling biophysical property of vegetation function, and quantifying LAI is thus vital for understanding energy, carbon and water fluxes between the land surface and the atmosphere. LAI is routinely available from Earth Observation (EO) instruments such as MODIS. However EO-derived estimates of LAI require validation before they are utilised by the ecosystem modelling community. Previous validation work on the MODIS collection 4 (c4) product suggested considerable error especially in forested biomes, and as a result significant modification of the MODIS LAI algorithm has been made for the most recent collection 5 (c5). As a result of these changes the current MODIS LAI product has not been widely validated. We present a validation of the MODIS c5 LAI product over a 121 km2 area of mixed coniferous forest in Oregon, USA, based on detailed ground measurements which we have upscaled using high resolution EO data. Our analysis suggests that c5 shows a much more realistic temporal LAI dynamic over c4 values for the site we examined. We find improved spatial consistency between the MODIS c5 LAI product and upscaled in situ measurements. However results also suggest that the c5 LAI product underestimates the upper range of upscaled in situ LAI measurements.

Numerical prediction of atmospheric blocking-A case study

A series of numerical models have been used to investigate the predictability of atmospheric blocking for an episode selected from FGGE Special Observing Period I. Level II-b FGGE data have been used in the experiment. The blocking took place over the North Atlantic region and is a very characteristic example of high winter blocking. It is found that the very high resolution models developed at ECMWF, in a remarkable way manage to predict the blocking event in great detail, even beyond 1 week. Although models with much less resolution manage to predict the blocking phenomenon as such, the actual evolution differs very much from the observed and consequently the practical value is substantially reduced. Wind observations from the geostationary satellites are shown to have a substantial impact on the forecast beyond 5 days, as well as an extension of the integration domain to the whole globe. Quasi-geostrophic baroclinic models and, even more, barotropic models, are totally inadequate to predict blocking except in its initial phase. The prediction experiment illustrates clearly that efforts which have gone into the improvement of numerical prediction models in the last decades have been worth while.

Numerical prediction of atmospheric blocking - A case study

One of the fundamental questions in dynamical meteorology, and one of the basic objectives of GARP, is to determine the predictability of the atmosphere. In the early planning stage and preparation for GARP a number of theoretical and numerical studies were undertaken, indicating that there existed an inherent unpredictability in the atmosphere which even with the most ideal observing system would limit useful weather forecasting to 2-3 weeks.

Beta event-related desynchronization as an index of individual differences in processing human facial expression: further investigations of autistic traits in typically developing adults

The human mirror neuron system (hMNS) has been associated with various forms of social cognition and affective processing including vicarious experience. It has also been proposed that a faulty hMNS may underlie some of the deficits seen in the autism spectrum disorders (ASDs). In the present study we set out to investigate whether emotional facial expressions could modulate a putative EEG index of hMNS activation (mu suppression) and if so, would this differ according to the individual level of autistic traits [high versus low Autism Spectrum Quotient (AQ) score]. Participants were presented with 3 s films of actors opening and closing their hands (classic hMNS mu-suppression protocol) while simultaneously wearing happy, angry, or neutral expressions. Mu-suppression was measured in the alpha and low beta bands. The low AQ group displayed greater low beta event-related desynchronization (ERD) to both angry and neutral expressions. The high AQ group displayed greater low beta ERD to angry than to happy expressions. There was also significantly more low beta ERD to happy faces for the low than for the high AQ group. In conclusion, an interesting interaction between AQ group and emotional expression revealed that hMNS activation can be modulated by emotional facial expressions and that this is differentiated according to individual differences in the level of autistic traits. The EEG index of hMNS activation (mu suppression) seems to be a sensitive measure of the variability in facial processing in typically developing individuals with high and low self-reported traits of autism.