A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

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.

Environmental evaluation of agri-environment schemes using participatory approaches: experiences of testing the Agri-Environmental Footprint Index

The Agri-Environment Footprint Index (AFI) has been developed as a generic methodology to assess changes in the overall environmental impacts from agriculture at the farm level and to assist in the evaluation of European agri-environmental schemes (AES). The methodology is based on multicriteria analysis (MCA) and involves stakeholder participation to provide a locally customised evaluation based on weighted environmental indicators. The methodology was subjected to a feasibility assessment in a series of case studies across the EU. The AFI approach was able to measure significant differences in environmental status between farms that participated in an AES and nonparticipants. Wider environmental concerns, beyond the scheme objectives, were also considered in some case studies and the benefits for identification of unintentional (and often beneficial) impacts of AESs are presented. The participatory approach to AES valuation proved efficient in different environments and administrative contexts. The approach proved to be appropriate for environmental evaluation of complex agri-environment systems and can complement any evaluation conducted under the Common Monitoring and Evaluation Framework. The applicability of the AFI in routine monitoring of AES impacts and in providing feedback to improve policy design is discussed.

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.

Pollination ecology in the 21st century: key questions for future research

To inspire new ideas in research on pollination ecology, we list the most important unanswered questions in the field. This list was drawn up by contacting 170 scientists from different areas of pollination ecology and asking them to contribute their opinion on the greatest knowledge gaps that need to be addressed. Almost 40% of them took part in our email poll and we received more than 650 questions and comments, which we classified into different categories representing various aspects of pollination research. The original questions were merged and synthesised, and a final vote and ranking led to the resultant list. The categories cover plant sexual reproduction, pollen and stigma biology, abiotic pollination, evolution of animal-mediated pollination, interactions of pollinators and floral antagonists, pollinator behaviour, taxonomy, plant-pollinator assemblages, geographical trends in diversity, drivers of pollinator loss, ecosystem services, management of pollination, and conservation issues such as the implementation of pollinator conservation. We focused on questions that were of a broad scope rather than case-specific; thus, addressing some questions may not be feasible within single research projects but constitute a general guide for future directions. With this compilation we hope to raise awareness of pollination-related topics not only among researchers but also among non-specialists including policy makers, funding agencies and the public at large.

Electrophysiological and behavioural responses of the pollen beetle, Meligethes aeneus, to volatiles from a non-host plant, lavender, Lavandula angustifolia (Lamiaceae)

A semiochemical based push-pull strategy for control of oilseed rape pests is being developed at Rothamsted Research. This strategy uses insect and plant derived semiochemicals to manipulate pests and their natural enemies. An important element within this strategy is an understanding of the importance of non-host plant cues for pest insects and how such signals could be used to manipulate their behaviour. Previous studies using a range of non-host plants have shown that, for the pollen beetle Meligethes aeneus (Coleoptera: Nitidulidae), the essential oil of lavender, Lavandula angustifolia (Lamiaceae), was the most repellent. The aim of this study was to identify the active components in L. angustifolia oil, and to investigate the behaviour of M. aeneus to these chemicals, to establish the most effective use of repellent stimuli to disrupt colonisation of oilseed rape crops. Coupled gas chromatography-electroantennography (GC-EAG) and gas chromatography-mass spectrometry (GC-MS) resulted in the identification of seven active compounds which were tested for behavioural activity using a 4-way olfactometer. Repellent responses were observed with (±)-linalool and (±)-linalyl acetate. The use of these chemicals within a push-pull pest control strategy is discussed.

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.