Threshold autoregressive and Markov switching models: an application to commercial real estate

Although financial theory rests heavily upon the assumption that asset returns are normally distributed, value indices of commercial real estate display significant departures from normality. In this paper, we apply and compare the properties of two recently proposed regime switching models for value indices of commercial real estate in the US and the UK, both of which relax the assumption that observations are drawn from a single distribution with constant mean and variance. Statistical tests of the models' specification indicate that the Markov switching model is better able to capture the non-stationary features of the data than the threshold autoregressive model, although both represent superior descriptions of the data than the models that allow for only one state. Our results have several implications for theoretical models and empirical research in finance.

Episodic nonstationarity in exchange rates

We examine a method recently proposed by Hinich and Patterson (mimeo, University of Texas at Austin, 1995) for testing the validity of specifying a GARCH error structure for financial time series data in the context of a set of ten daily Sterling exchange rates. The results demonstrate that there are statistical structures present in the data that cannot be captured by a GARCH model, or any of its variants. This result has important implications for the interpretation of the recent voluminous literature which attempts to model financial asset returns using this family of models.

A measure of persistence in daily pound exchange rates

An alternative procedure to that of Lo is proposed for assessing whether there is significant evidence of persistence in time series. The technique estimates the Hurst exponent itself, and significance testing is based on an application of bootstrapping using surrogate data. The method is applied to a set of 10 daily pound exchange rates. A general lack of long-term memory is found to characterize all the series tested, in sympathy with the findings of a number of other recent papers which have used Lo's techniques.

Entrepreneurship: a personal view

Entrepreneurship studies is a booming area of research with a profusion of concepts and some redundancy in terminology. There is a gap between theory and empiricism which can only be bridged by greater use of formal models.

Comparing the fit between BREEAM assessment and design processes

This paper explores the mapping of the environmental assessment process onto design and construction processes. A comparative case study method is used to identify and account for variations in the ‘fit’ between these two processes. The analysis compares eight BREEAM projects (although relevant to LEED, GreenStar, etc.) and distinguishes project-level characteristics and dynamics. Drawing on insights from literature on sustainable construction and assessment methods, an analytic framework is developed to examine the effect of clusters of project and assessment level elements on different types of fit (tight, punctual and bolt-on). Key elements distinguishing between types include: prior working experience with project team members, individual commitment to sustainable construction, experience with sustainable construction, project continuity, project-level ownership of the assessment process, and the nature and continuity of assessor involvement. Professionals with ‘sustainable’ experience used BREEAM judiciously to support their designs (along with other frameworks), but less committed professionals tended to treat it purely as an assessment method. More attention needs to be paid to individual levels of engagement with, and understanding of, sustainability in general (rather than knowledge of technical solutions to individual credits), to ownership of the assessment process and to the potential effect of discontinuities at the project level on sustainable design.

The dilemma of scope and scale for construction professional service firms

Construction professional service (CPS) firms sell expertise and provide innovative solutions for projects founded on their knowledge, experience, and technical competences. Large CPS firms seeking to grow will often seek new opportunities in their domestic market and overseas by organic or inorganic growth through mergers, alliances, and acquisitions. Growth can also come from increasing market penetration through vertical, horizontal, and lateral diversification. Such growth, hopefully, leads to economies of scope and scale in the long term, but it can also lead to diseconomies, when the added cost of integration and the increased complexity of diversification no longer create tangible and intangible benefits. The aim of this research is to investigate the key influences impacting on the growth in scope and scale for large CPS firms. Qualitative data from the interviews were underpinned by secondary data from CPS firms’ annual reports and analysts’ findings. The findings showed five key influences on the scope and scale of a CPS firm: the importance of growth as a driver; the influence of the ownership of the firm on the decision for growth in scope and scale; the optimization of resources and capabilities; the need to serve changing clients’ needs; and the importance of localization. The research provides valuable insights into the growth strategies of international CPS firms. A major finding of the research is the influence of ownership on CPS firms’ growth strategies which has not been highlighted in previous research.

Modern pollen samples from alpine vegetation on the Tibetan Plateau.

1  A set of 316 modern surface pollen samples, sampling all the alpine vegetation types that occur on the Tibetan Plateau, has been compiled and analysed. Between 82 and 92% of the pollen present in these samples is derived from only 28 major taxa. These 28 taxa include examples of both tree (AP) and herb (NAP) pollen types. 2  Most of the modern surface pollen samples accurately reflect the composition of the modern vegetation in the sampling region. However, airborne dust-trap pollen samples do not provide a reliable assessment of the modern vegetation. Dust-trap samples contain much higher percentages of tree pollen than non-dust-trap samples, and many of the taxa present are exotic. In the extremely windy environments of the Tibetan Plateau, contamination of dust-trap samples by long-distance transport of exotic pollen is a serious problem. 3  The most characteristic vegetation types present on the Tibetan Plateau are alpine meadows, steppe and desert. Non-arboreal pollen (NAP) therefore dominates the pollen samples in most regions. Percentages of arboreal pollen (AP) are high in samples from the southern and eastern Tibetan Plateau, where alpine forests are an important component of the vegetation. The relative importance of forest and non-forest vegetation across the Plateau clearly follows climatic gradients: forests occur on the southern and eastern margins of the Plateau, supported by the penetration of moisture-bearing airmasses associated with the Indian and Pacific summer monsoons; open, treeless vegetation is dominant in the interior and northern margins of the Plateau, far from these moisture sources. 4  The different types of non-forest vegetation are characterized by different modern pollen assemblages. Thus, alpine deserts are characterized by high percentages of Chenopodiaceae and Artemisia, with Ephedra and Nitraria. Alpine meadows are characterized by high percentages of Cyperaceae and Artemisia, with Ranunculaceae and Polygonaceae. Alpine steppe is characterized by high abundances of Artemisia, with Compositae, Cruciferae and Chenopodiaceae. Although Artemisia is a common component of all non-forest vegetation types on the Tibetan Plateau, the presence of other taxa makes it possible to discriminate between the different vegetation types. 5  The good agreement between modern vegetation and modern surface pollen samples across the Tibetan Plateau provides a measure of the reliability of using pollen data to reconstruct past vegetation patterns in non-forested areas.

Exploring expatriate outcomes

This editorial article introduces this special issue of the International Journal of Human Resource Management devoted to the outcomes of expatriate assignments. We set the topic in context. We start by summarizing the traditional view on expatriate outcomes. We then argue that recent developments in the field suggest the need to build a more sophisticated and complex analysis on the topic that incorporates different perspectives (e.g. the organization, the expatriate, their co-workers and their families) and additional types of international experiences and organizations. We then present some difficulties in developing such an analysis. Specifically, using a new typology of complementary relationships among outcomes (i.e. temporal, among-group and among-outcome consistencies), we point out some complications to achieve those relationships. We conclude by introducing the papers in the special edition that all in some way aim to contribute to our understanding of expatriate outcomes.

Industrial relations in South-Eastern Europe: disaggregating the contexts

This study critically evaluates industrial relations (IR) in South-Eastern Europe and points towards future practical and research-oriented opportunities in the region. A survey of organizational policies and practices has been used to explore the state of IR in both private and public organizations in this region. Specifically, the data, collected in 2009–2010 (including the latest changes due to the economic crisis), cover 840 different organizations located in Slovenia, Serbia, Bulgaria, Greece and Cyprus. We discuss the development of ‘regional-specific’ IR policies, the ‘importing’ of varieties of capitalism models, the diffusion of the European Union social model and the role of foreign MNCs in changing IR in the region.

Individual assets, market structure and the drivers of return

Much UK research and market practice on portfolio strategy and performance benchmarking relies on a sector‐geography subdivision of properties. Prior tests of the appropriateness of such divisions have generally relied on aggregated or hypothetical return data. However, the results found in aggregate may not hold when individual buildings are considered. This paper makes use of a dataset of individual UK property returns. A series of multivariate exploratory statistical techniques are utilised to test whether the return behaviour of individual properties conforms to their a priori grouping. The results suggest strongly that neither standard sector nor regional classifications provide a clear demarcation of individual building performance. This has important implications for both portfolio strategy and performance measurement and benchmarking. However, there do appear to be size and yield effects that help explain return behaviour at the property level.

Changing HRM systems in two Russian oil companies: Western hegemony or Russian spetsifika?

We contrast attempts to introduce what were seen as sophisticated Western-style human resource management (HRM) systems into two Russian oil companies – a joint venture with a Western multinational corporation (TNK-BP) and a wholly Russian-owned company (Yukos). The drivers for Western hegemony within the joint venture, heavily influenced by expatriates and the established HRM processes introduced by the Western parent, were counteracted to a significant degree by the Russian spetsifika – the peculiarly Russian way of thinking and doing things. In contrast, developments were absorbed faster in the more authoritarian Russian-owned company. The research adds to the theoretical debate about international knowledge transfer and provides detailed empirical data to support our understanding of the effect of both organizational and cultural context on the knowledge-transfer mechanisms of local and multinational companies. As the analysis is based on the perspective of senior local nationals, we also address a relatively under-researched area in the international HRM literature which mostly relies on empirical data collected from expatriates and those based solely in multinational headquarters.

Globalization and new policy concerns: the WTO and the EU's sustainability criteria for biofuels

The transfer of some decision-making authority from the domestic to the supranational arena as a result of the establishment of the World Trade Organization (WTO) in 1995 potentially changed domestic policy dynamics. The WTO agreements reflect the trade policy concerns addressed in the Uruguay Round in the late 1980s and early 1990s. This article applies and adapts historical institutionalism to explain how international organizations may constrain and facilitate certain domestic policy options. It demonstrates that, while the WTO legal framework has become more receptive of environmental sustainability concerns, the social sustainability concerns that were increasingly entering the debate over biofuel policies were not easily accommodated, and this was seen as a constraint on the content of the European Union’s (EU) policy adopted in 2009. Only the environmental dimension of a broader concept of sustainability was included in the policy design.

Can a climate model reproduce extreme regional precipitation events over England and Wales?

The ability of the HiGEM climate model to represent high-impact, regional, precipitation events is investigated in two ways. The first focusses on a case study of extreme regional accumulation of precipitation during the passage of a summer extra-tropical cyclone across southern England on 20 July 2007 that resulted in a national flooding emergency. The climate model is compared with a global Numerical Weather Prediction (NWP) model and higher resolution, nested limited area models. While the climate model does not simulate the timing and location of the cyclone and associated precipitation as accurately as the NWP simulations, the total accumulated precipitation in all models is similar to the rain gauge estimate across England and Wales. The regional accumulation over the event is insensitive to horizontal resolution for grid spacings ranging from 90km to 4km. Secondly, the free-running climate model reproduces the statistical distribution of daily precipitation accumulations observed in the England-Wales precipitation record. The model distribution diverges increasingly from the record for longer accumulation periods with a consistent under-representation of more intense multi-day accumulations. This may indicate a lack of low-frequency variability associated with weather regime persistence. Despite this, the overall seasonal and annual precipitation totals from the model are still comparable to those from ERA-Interim.

Two-way communication costs and the boundaries of the firm

Casson and Wadeson (International Journal of the Economics of Business, 1998, 5, pp. 5-27) have modelled the dialogue, or conversation, which customers have with their suppliers in order to convey their requirements, while taking production implications into account. They showed that this has important implications for the positioning of the boundaries of the firm. Unfortunately, their model has the restriction that communication is only costly in the direction of customer to supplier. This paper extends their model by introducing two-way communication costs. It shows that the level of communication cost in the direction of supplier to customer is a key additional factor in determining the nature of the dialogue that takes place. It also shows that this has important additional implications for the positioning of the boundaries of the firm. Custom computer software development is used as an example of an application of the theory.