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.

Who owned Earls Colne in 1798....or how to squeeze more from the Land Tax

In this important article Richard Hoyle, one of the country’s leading historians of the early modern period, introduces new perspectives on the Land Tax and its use in the analysis of local communities in the late eighteenth and early nineteenth centuries. He uses as his case study the parish of Earls Colne in Essex, on which he has already written extensively with Professor Henry French. The article begins with an overview of the tax itself, explaining its history and the procedures for the collection of revenues – including the numerous changes which took place. The sizeable problems confronting any would-be analyst of the data are clearly identified, and Hoyle observes that because of these apparently insoluble difficulties the potential of the tax returns has never been fully realised. He then considers the surviving documentation in The National Archives, providing an accessible introduction to the sources and their arrangement, and describing the particularly important question o f the redemption of the tax by payment of a lump sum. The extent of redemption (in the years around 1800-1804) is discussed. Hoyle draws attention to the potential for linking the tax returns themselves with the redemption certificates (which have never been subjected to historical analysis and thereby proposes new ways of exploiting the evidence of the taxation as a whole. The article then discusses in detail the specific case of Earls Colne, with tabulated data showing the research potential. Topics analysed include the ownership of property ranked by size of payment, and calculations whereby the amount paid may be used to determine the worth of land and the structure of individual estates. The important question of absentee owners is investigated, and there is a very valuable consideration of the potential for looking at portfolio estate ownership, whereby owners held land in varying proportions in a number of parishes. It is suggested that such studies will allow us to be more aware of the entirety of property ownership, which a focus on a single community does not permit. In the concluding paragraph it is argued that using these sources we may see the rise and fall of estates, gain new information on landownership, landholding and farm size, and even approach the challenging topic of the distribution of wealth.

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.

Asymmetric oligopoly and foreign direct investment: implications for host-country tax-setting

We present a duopoly model with heterogeneous firms that vary in cost-efficiency, each of which can choose to serve a foreign market by either exporting or local production. We do so to analyse the effects of a host-country corporate profit tax on both the scale and composition of FDI, and find that: strategic interaction between oligopolistic firms provides for a pattern of FDI that favours cost-inefficiency to the detriment of host-country welfare; and the host-country tax rate can be optimally used to avoid such patterns of FDI and instead promote direct investment by a relatively cost-efficient firm.