Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Urbanization impacts on mammals across urban-forest edges and a predictive model of edge effects

With accelerating rates of urbanization worldwide, a better understanding of ecological processes at the wildland-urban interface is critical to conserve biodiversity. We explored the effects of high and low-density housing developments on forest-dwelling mammals. Based on habitat characteristics, we expected a gradual decline in species abundance across forest-urban edges and an increased decline rate in higher contrast edges. We surveyed arboreal mammals in sites of high and low housing density along 600 m transects that spanned urban areas and areas turn on adjacent native forest. We also surveyed forest controls to test whether edge effects extended beyond our edge transects. We fitted models describing richness, total abundance and individual species abundance. Low-density housing developments provided suitable habitat for most arboreal mammals. In contrast, high-density housing developments had lower species richness, total abundance and individual species abundance, but supported the highest abundances of an urban adapter (Trichosurus vulpecula). We did not find the predicted gradual decline in species abundance. Of four species analysed, three exhibited no response to the proximity of urban boundaries, but spilled over into adjacent urban habitat to differing extents. One species (Petaurus australis) had an extended negative response to urban boundaries, suggesting that urban development has impacts beyond 300 m into adjacent forest. Our empirical work demonstrates that high-density housing developments have negative effects on both community and species level responses, except for one urban adapter. We developed a new predictive model of edge effects based on our results and the literature. To predict animal responses across edges, our framework integrates for first time: (1) habitat quality/preference, (2) species response with the proximity to the adjacent habitat, and (3) spillover extent/sensitivity to adjacent habitat boundaries. This framework will allow scientists, managers and planners better understand and predict both species responses across edges and impacts of development in mosaic landscapes.

Employability and job status as moderators of the effects of job insecurity on work outcomes

Despite greater use of temporary employment contracts, little is known about how employees react to job length uncertainty. Individual careers within the safety of one or two primary organisations are no longer the norm. This study investigates the effects of job insecurity and employment status (temporary/permanent) on work outcomes. Three hundred and ninety-one employees (122 temporary and 269 permanent) in low to medium level non-academic positions from two Australian universities completed a survey. The results show that a belief that comparable employment is easily available did not alleviate the negative effects of job insecurity. Work attitudes for temporaries and permanents though were differentially influenced by employee perceptions of their own employability.