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Selected AbstractsRisk assessment for nonindigenous pests: 1.DIVERSITY AND DISTRIBUTIONS, Issue 5 2001Mapping the outputs of phenology models to assess the likelihood of establishment Abstract This paper demonstrates the use of phenology models mapped over the landscape as a tool in support of risk assessments for nonindigenous plant pests. Drawing on the relationship between pest development and temperature, the approach uses gridded sequential interpolated temperatures at a resolution of 1 km, linked with phenology models, to predict the potential for a pest to develop throughout the landscape. The potential for establishment of Colorado beetle (Leptinotarsa decemlineata) in England and Wales was used as an illustration. The likelihood of the pest completing a single generation during a 30-year period (1961,90) was computed. Summaries of phenology, based firstly upon point temperature series from weather stations and secondly upon temperatures interpolated across the landscape, were compared. The results revealed that the use of point data led to a 70% likelihood of over-estimating the area at risk from year to year. In the case of average long-term risk however, the point-based and landscape-wide distributions of establishment potential were similar. We demonstrate how the use of phenology models running on a daily time scale provides date based results, so allowing outputs to be tied in with periods in the cropping cycle. The application of daily data in computing the phenological results, unlike the main body of published work on pest risk assessment which uses averaged monthly data, reflects more fully the underlying variability and degrees of sensitivity of the pest to changes in weather. [source] Determination of bankfull discharge magnitude and frequency: comparison of methods on 16 gravel-bed river reachesEARTH SURFACE PROCESSES AND LANDFORMS, Issue 11 2006O. Navratil Abstract Bankfull discharge is identified as an important parameter for studying river morphology, sediment motion, flood dynamics and their ecological impacts. In practice, the determination of this discharge and its hydrological characteristics is not easy, and a choice has to be made between several existing methods. To evaluate the impact of the choice of methods, five bankfull elevation definitions and four hydrological characterizations (determination of duration and frequency of exceedance applied to instantaneous or mean daily data) were compared on 16 gravel-bed river reaches located in France (the catchment sizes vary from 10 km2 to 1700 km2). The consistency of bankfull discharge estimated at reach scale and the hydraulic significance of the five elevation definitions were examined. The morphological definitions (Bank Inflection, Top of Bank) were found more relevant than the definitions based on a geometric criterion. The duration of exceedance was preferred to recurrence intervals (partial duration series approach) because it is not limited by the independency of flood events, especially for low discharges like those associated with the Bank Inflection definition. On average, the impacts of the choice of methods were very important for the bankfull discharge magnitude (factor of 1·6 between Bank Inflection and Top of Bank) and duration of exceedance or frequency (respectively a factor 1·8 and 1·9 between mean daily and instantaneous discharge data). The choice of one combination of methods rather than another can significantly modify the conclusions of a comparative analysis in terms of bankfull discharge magnitude and its hydrological characteristics, so that one must be cautious when comparing results from different studies that use different methods. Copyright © 2006 John Wiley & Sons, Ltd. [source] On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital MarketsECONOMIC NOTES, Issue 2 2008Alexandros E. Milionis The examination for the possible existence of predictive power in the moving average trading rule has been used extensively to test the hypothesis of weak form market efficiency in capital markets. This work focuses mainly on the study of the variation of the moving average (MA) trading rule performance as a function of the length of the longer MA. Empirical analysis of daily data from NYSE and the Athens Stock Exchange reveal high variability of the performance of the MA trading rule as a function of the MA length and on some occasions the series of successive trading rule total returns is non-stationary. These findings have direct implications in weak form market efficiency testing. Indeed, given this high variability of the performance of the MA trading rule, by just finding out that trading rules with some specific combinations of MA lengths can or cannot beat the market, as is the case in most of the published work thus far, is not enough evidence for or against the existence of weak form market efficiency. Results also show that on average in about three out of four cases trading rule signals are false, a fact that leaves a lot of space for improved trading rule performance if trading rule signals are combined with other information (e.g. filters, or volume of trade). Finally, some evidence of enhanced trading rule performance for the shorter MA lengths was found. This enhanced performance is partly attributed to the higher probability that a trading rule signal is not a whipsaw, as well as to the larger number of days out-of-the-market which are associated with shorter MA lengths. [source] A simulation tool for designing nutrient monitoring programmes for eutrophication assessments,ENVIRONMETRICS, Issue 1 2010Janet Heffernan Abstract This paper describes a simulation tool to aid the design of nutrient monitoring programmes in coastal waters. The tool is developed by using time series of water quality data from a Smart Buoy, an in situ monitoring device. The tool models the seasonality and temporal dependence in the data and then filters out these features to leave a white noise series. New data sets are then simulated by sampling from the white noise series and re-introducing the modelled seasonality and temporal dependence. Simulating many independent realisations allows us to study the performance of different monitoring designs and assessment methods. We illustrate the approach using total oxidised nitrogen (TOxN) and chlorophyll data from Liverpool Bay, U.K. We consider assessments of whether the underlying mean concentrations of these water quality variables are sufficiently low; i.e. below specified assessment concentrations. We show that for TOxN, even when mean concentrations are at background, daily data from a Smart Buoy or multi-annual sampling from a research vessel would be needed to obtain adequate power. Copyright © 2009 Crown Copyright [source] Macroeconomic News and Stock Returns in the United States and GermanyGERMAN ECONOMIC REVIEW, Issue 2 2006Norbert Funke Stock markets; macroeconomic news Abstract. Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results. [source] Environmental change and the phenology of European aphidsGLOBAL CHANGE BIOLOGY, Issue 8 2007RICHARD HARRINGTON Abstract Aphids, because of their short generation time and low developmental threshold temperatures, are an insect group expected to respond particularly strongly to environmental changes. Forty years of standardized, daily data on the abundance of flying aphids have been brought together from countries throughout Europe, through the EU Thematic Network ,EXAMINE'. Relationships between phenology, represented by date of first appearance in a year in a suction trap, of 29 aphid species and environmental data have been quantified using the residual maximum likelihood (REML) methodology. These relationships have been used with climate change scenario data to suggest plausible changes in aphid phenology. In general, the date of first record of aphid species in suction traps is expected to advance, the rate of advance varying with location and species, but averaging 8 days over the next 50 years. Strong relationships between aphid phenology and environmental variables have been found for many species, but they are notably weaker in species living all year on trees. Canonical variate analysis and principal coordinate analysis were used to determine ordinations of the 29 species on the basis of the presence/absence of explanatory variables in the REML models. There was strong discrimination between species with different life cycle strategies and between species feeding on herbs and trees, suggesting the possible value of trait-based groupings in predicting responses to environmental changes. [source] Improving interpolation of daily precipitation for hydrologic modelling: spatial patterns of preferred interpolatorsHYDROLOGICAL PROCESSES, Issue 23 2009Daniel Kurtzman Abstract Detailed hydrologic models require high-resolution spatial and temporal data. This study aims at improving the spatial interpolation of daily precipitation for hydrologic models. Different parameterizations of (1) inverse distance weighted (IDW) interpolation and (2) A local weighted regression (LWR) method in which elevation is the explanatory variable and distance, elevation difference and aspect difference are weighting factors, were tested at a hilly setting in the eastern Mediterranean, using 16 years of daily data. The preferred IDW interpolation was better than the preferred LWR scheme in 27 out of 31 validation gauges (VGs) according to a criteria aimed at minimizing the absolute bias and the mean absolute error (MAE) of estimations. The choice of the IDW exponent was found to be more important than the choice of whether or not to use elevation as explanatory data in most cases. The rank of preferred interpolators in a specific VG was found to be a stable local characteristic if a sufficient number of rainy days are averaged. A spatial pattern of the preferred IDW exponents was revealed. Large exponents (3) were more effective closer to the coast line whereas small exponents (1) were more effective closer to the mountain crest. This spatial variability is consistent with previous studies that showed smaller correlation distances of daily precipitation closer to the Mediterranean coast than at the hills, attributed mainly to relatively warm sea-surface temperature resulting in more cellular convection coastward. These results suggest that spatially variable, physically based parameterization of the distance weighting function can improve the spatial interpolation of daily precipitation. Copyright © 2009 John Wiley & Sons, Ltd. [source] Dynamics of suspended sediment transport at field-scale drain channels of irrigation-dominated watersheds in the Sonoran Desert, southeastern CaliforniaHYDROLOGICAL PROCESSES, Issue 16 2007Peng Gao Abstract Suspended sediment is a major source of pollution in irrigation-dominated watersheds. However, little is known about the process and mechanisms of suspended sediment transport in drain channels directly connected to agricultural fields. This paper explains sediment dynamics using averaged 5 min flow discharge Q (m3 s,1) and suspended sediment concentration C (mg l,1) collected during one crop season in a small catchment containing a first-order drain channel and its connected six agricultural fields within the Salton Sea watershed. The statistical properties and average trends of Q and C were investigated for both early (i.e. November) and late (i.e. January) stages of a crop season. Further in-depth analysis on sediment dynamics was performed by selecting two typical single-field irrigation events and two multiple-field irrigation events. For each set of irrigation events, the process of suspended sediment transport was revealed by examining hydrograph and sediment graph responses. The mechanisms underlying suspended sediment transport were investigated by analysing the types of corresponding hysteresis loop. Finally, sediment rating curves for both hourly and daily data at early and late stages and for the entire crop season were established to seek possible sediment-transport predictive model(s). The study suggests that the complicated processes of suspended sediment transport in irrigation-dominated watersheds require stochastic rather than deterministic forecasting. Copyright © 2007 John Wiley & Sons, Ltd. [source] Development of a spatial synoptic classification scheme for western EuropeINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 15 2007Donna Bower Abstract This paper presents a new spatial air-mass climatology for western Europe (WE) based upon the analysis of daily data for 48 climate stations for the period 1974,2000. Referred to as the spatial synoptic classification for western Europe (SSCWE), the new air-mass climatology not only facilitates the examination of both spatial and temporal climate variations but also provides, for the first time, a physically based synoptic classification for a wide variety of applications at the western European scale. The SSCWE is based on the philosophy of the spatial synoptic classification (SSC), which was first introduced to the synoptic climatological community in the mid-1990s and later refined as the SSC2 for application across North America. As for the SSC2, establishing the physical characteristics for six generic air masses is the basis of the SSCWE. In this paper, the procedures for identifying air-mass characteristics are described and an analysis of the spatial and temporal variation of the six generic air-mass types across western Europe is presented. Copyright © 2007 Royal Meteorological Society [source] Remote weather associated with North Pacific subtropical sea level high propertiesINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 5 2007Richard Grotjahn Abstract Remote events influencing North Pacific (NP) subtropical high properties in monthly and daily data are identified. Variability in the NP during summer is far more strongly dominated by midlatitude events than in South Pacific (SP); low-pass filtering is required to see tropical associations. The dominant pattern in composites, correlations, and regressions is a midlatitude wave train. A stronger NP high was led by higher sea-level pressure (SLP) just east of Japan and lower SLP over central Canada and to a lesser extent over western tropical Pacific. Various mechanisms have been proposed to force the NP high: (1)Heating over southwestern North America (with cooling off the west coast). However, higher temperatures over North America follow stronger SLP over the NP high and occur much further east than postulated. Higher SLP occurs where temperatures are lower over western North America and adjacent ocean. Thermal pattern is consistent with temperature advection between NP high and Canadian low. (2)Precipitation over and near Central America. However, SLP increase on the SE side of the high is led by higher SLP (and higher outgoing longwave radiation (OLR)) along the west coast of Mexico and Central America. Normalized regressions find a very weak lower OLR in North American monsoon preceding stronger NP high, but the region is much smaller in size and magnitude than other significant areas. (3)Precipitation over Indonesia and southeast Asia. Statistics provide some support for lower SLP and OLR over Indonesia preceding higher SLP in the center, west, and northwest sides of NP high. The lower SLP and OLR appear to migrate into southeast Asia, perhaps independently, perhaps from stronger NP high. (4)The NP high has a strong connection to El Niño during winter, but no significant link during summer. Only the south side of NP high appears (weakly) linked to the Madden Julian oscillation (MJO). Copyright © 2006 Royal Meteorological Society [source] Remote weather associated with South Pacific subtropical sea-level high propertiesINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 7 2004Richard Grotjahn Abstract The subtropical highs in sea-level pressure (SLP) are little studied and incompletely understood. In recent years, three groups of theories, i.e. tropical divergent circulations, subtropical Rossby wavetrains, and midlatitude frontal cyclone interactions, have been proposed for remote maintenance of these highs. The latter is presented here as a remote forcing of these highs for the first time in the reviewed literature. The focus of the study is upon illuminating associations between these mechanisms and the South Pacific subtropical high in SLP (SP high). Precipitation, outgoing longwave radiation, velocity potential, and divergent winds are used as proxy markers for the remote forcing mechanisms. The tools used include composites, one-point correlations, autocorrelations, cross-correlations, and cross-spectra. Observational evidence, in monthly and daily data, is examined that appears to support each mechanism. Associations seen in monthly data are better understood in daily data at various lags. Convection over Amazonia, coordinated with suppressed convection in the western tropical Pacific, leads to enhanced SLP on the tropical side of the high. Midlatitude weather systems are the strongest influence upon the maximum SLP and the SLP on the higher latitude side of the high. The western side is associated with both middle-and lower-latitude phenomena, such as the South Pacific convergence zone. Various properties of the high have a strong period around 45 days. Associations to the Madden,Julian oscillation and El Niño,southern oscillation are explored and are strong only for the tropical side of the SP high. Copyright © 2004 Royal Meteorological Society [source] Statistical downscaling relationships for precipitation in the Netherlands and North GermanyINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 1 2002Björn-R. Abstract The statistical linkage of daily precipitation to the National Centers for Environment Prediction (NCEP) reanalysis data is described for De Bilt and Maastricht (Netherlands), and for Hamburg, Hanover and Berlin (Germany), using daily data for the period 1968,97. Two separate models were used to describe the daily precipitation at a particular site: an additive logistic model for rainfall occurrence and a generalized additive model for wet-day rainfall. Several dynamical variables and atmospheric moisture were included as predictor variables. The relative humidity at 700 hPa was considered as the moisture variable for rainfall occurrence modelling. For rainfall amount modelling, two options were compared: (i) the use of the specific humidity at 700 hPa, and (ii) the use of both the relative humidity at 700 hPa and precipitable water. An application is given with data from a time-dependent greenhouse gas forcing experiment using the coupled ECHAM4/OPYC3 atmosphere,ocean general circulation model for the periods 1968,97 and 2070,99. The fitted statistical relationships were used to estimate the changes in the mean number of wet days and the mean rainfall amounts for the winter and summer halves of the year at De Bilt, Hanover and Berlin. A decrease in the mean number of wet days was found. Despite this decrease, an increase in the mean seasonal rainfall amounts is predicted if specific humidity is used in the model for wet-day rainfall. This is caused by the larger atmospheric water content in the future climate. The effect of the increased atmospheric moisture is smaller if the alternative wet-day rainfall amount model with precipitable water and relative humidity is applied. Except for an anomalous change in mean winter rainfall at Hanover, the estimated changes from the latter model correspond quite well with those from the ECHAM4/OPYC3 model. Despite the flexibility of generalized additive models, the rainfall amount model systematically overpredicts the mean rainfall amounts in situations where extreme rainfall could be expected. Interaction between predictor effects has to be incorporated to reduce this bias. Copyright © 2002 Royal Meteorological Society [source] Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH modelINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2010Anastassios A. Drakos Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or idiosyncratic sources. The econometric analysis is based on the estimation of a class of five GARCH models under alternative assumptions with respect to the error distribution. The main findings of our analysis are: first, based on a battery of diagnostic tests it is shown that the normal mixture asymmetric GARCH (NM-AGARCH) models perform better in modeling the volatility of stock returns. Second, it is shown that with the use of the Kupiec's tests for in-sample and out-of-sample forecasting performance the evidence is mixed as the choice of the appropriate volatility model depends on the trading position under consideration. Third, at the 99% confidence interval the NM-AGARCH model with skewed Student-distribution outperforms all other competing models both for in-sample and out-of-sample forecasting performance. This increase in predictive performance for higher confidence intervals of the NM-AGARCH model with skewed Student-distribution makes this specification consistent with the requirements of the Basel II agreement. Copyright © 2010 John Wiley & Sons, Ltd. [source] On portfolio optimization: How and when do we benefit from high-frequency data?JOURNAL OF APPLIED ECONOMETRICS, Issue 4 2009Qianqiu Liu We examine how the use of high-frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise when based upon intraday returns rather than daily returns. Using the framework of a professional investment manager who wishes to track the S&P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high-frequency data depend upon the rebalancing frequency and estimation horizon. If the portfolio is rebalanced monthly and the manager has access to at least the previous 12 months of data, daily data have the potential to perform as well as high-frequency data. However, substantial improvements in the portfolio optimization decision from high-frequency data are realized if the manager rebalances daily or has less than a 6-month estimation window. These findings are robust to transaction costs. Copyright © 2009 John Wiley & Sons, Ltd. [source] Value-at-risk for long and short trading positionsJOURNAL OF APPLIED ECONOMETRICS, Issue 6 2003Pierre Giot In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled. Thus, VaR for traders having both long and short positions is not adequately modelled using usual normal or Student distributions. We suggest using an APARCH model based on the skewed Student distribution (combined with a time-varying correlation in the multivariate case) to fully take into account the fat left and right tails of the returns distribution. This allows for an adequate modelling of large returns defined on long and short trading positions. The performances of the univariate models are assessed on daily data for three international stock indexes and three US stocks of the Dow Jones index. In a second application, we consider a portfolio of three US stocks and model its long and short VaR using a multivariate skewed Student density. Copyright © 2003 John Wiley & Sons, Ltd. [source] Tax Clientele Effects in the Term Structure of UK Interest RatesJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2001Eric J. Levin This paper tests for tax clientele effects in the term structure of UK interest rates. Five empirical models of the term structure of interest rates, incorporating tax effects, are estimated with daily data covering the period 31 March, 1995 to 3 August, 1995. In May 1995, the British government announced its intention to eliminate the tax exemption on capital gains from government bonds, but subsequently in July 1995 backtracked on some of its initial proposals. This period therefore forms the basis of a crude natural experiment in the sense that it provides an opportunity to examine tax clientele effects ,before' and ,after' an event which should have levelled greatly the taxing of government bonds. The empirical analysis suggests large tax clientele effects. However, there is little evidence of tax-specific term structures of interest rates. [source] Forecasting high-frequency financial data with the ARFIMA,ARCH modelJOURNAL OF FORECASTING, Issue 7 2001Michael A. Hauser Abstract Financial data series are often described as exhibiting two non-standard time series features. First, variance often changes over time, with alternating phases of high and low volatility. Such behaviour is well captured by ARCH models. Second, long memory may cause a slower decay of the autocorrelation function than would be implied by ARMA models. Fractionally integrated models have been offered as explanations. Recently, the ARFIMA,ARCH model class has been suggested as a way of coping with both phenomena simultaneously. For estimation we implement the bias correction of Cox and Reid (1987). For daily data on the Swiss 1-month Euromarket interest rate during the period 1986,1989, the ARFIMA,ARCH (5,d,2/4) model with non-integer d is selected by AIC. Model-based out-of-sample forecasts for the mean are better than predictions based on conditionally homoscedastic white noise only for longer horizons (, > 40). Regarding volatility forecasts, however, the selected ARFIMA,ARCH models dominate. Copyright © 2001 John Wiley & Sons, Ltd. [source] Global Daily Reference Evapotranspiration Modeling and Evaluation,JOURNAL OF THE AMERICAN WATER RESOURCES ASSOCIATION, Issue 4 2008G.B. Senay Abstract:, Accurate and reliable evapotranspiration (ET) datasets are crucial in regional water and energy balance studies. Due to the complex instrumentation requirements, actual ET values are generally estimated from reference ET values by adjustment factors using coefficients for water stress and vegetation conditions, commonly referred to as crop coefficients. Until recently, the modeling of reference ET has been solely based on important weather variables collected from weather stations that are generally located in selected agro-climatic locations. Since 2001, the National Oceanic and Atmospheric Administration's Global Data Assimilation System (GDAS) has been producing six-hourly climate parameter datasets that are used to calculate daily reference ET for the whole globe at 1-degree spatial resolution. The U.S. Geological Survey Center for Earth Resources Observation and Science has been producing daily reference ET (ETo) since 2001, and it has been used on a variety of operational hydrological models for drought and streamflow monitoring all over the world. With the increasing availability of local station-based reference ET estimates, we evaluated the GDAS-based reference ET estimates using data from the California Irrigation Management Information System (CIMIS). Daily CIMIS reference ET estimates from 85 stations were compared with GDAS-based reference ET at different spatial and temporal scales using five-year daily data from 2002 through 2006. Despite the large difference in spatial scale (point vs. ,100 km grid cell) between the two datasets, the correlations between station-based ET and GDAS-ET were very high, exceeding 0.97 on a daily basis to more than 0.99 on time scales of more than 10 days. Both the temporal and spatial correspondences in trend/pattern and magnitudes between the two datasets were satisfactory, suggesting the reliability of using GDAS parameter-based reference ET for regional water and energy balance studies in many parts of the world. While the study revealed the potential of GDAS ETo for large-scale hydrological applications, site-specific use of GDAS ETo in complex hydro-climatic regions such as coastal areas and rugged terrain may require the application of bias correction and/or disaggregation of the GDAS ETo using downscaling techniques. [source] Summer predation rates on ungulate prey by a large keystone predator: how many ungulates does a large predator kill?JOURNAL OF ZOOLOGY, Issue 4 2008J. W. Laundré Abstract Estimates of predation rates by large predators can provide valuable information on their potential impact on their ungulate prey populations. This is especially the case for pumas Puma concolor and its main prey, mule deer Odocoileus hemionus. However, only limited information on predation rates of pumas exist where mule deer are the only ungulate prey available. I used VHF telemetry data collected over 24-h monitoring sessions and once daily over consecutive days to derive two independent estimates of puma predation rates on mule deer where they were the only large prey available. For the 24-h data, I had 48 time blocks on female pumas with kittens, 43 blocks on females without kittens and 30 blocks on males. For the daily consecutive data, the average number of consecutive days followed was 51.5±4.2 days. There were data on five female pumas with kittens, five pregnant females and nine females without kittens. Predation rates over an average month of 30 days from the 24-h monitoring sessions were 2.0 mule deer per puma month for males (15.1 days per kill), 2.1 mule deer per puma month (14.3 days per kill) for females without kittens and 2.5 mule deer per puma month (12.0 days per kill) for pregnant females and females with kittens. For the consecutive daily data, females without kittens had an estimated predation rate of 2.1±0.14 mule deer per puma month (14.9±0.90 days per kill). Pregnant and females with kittens had predation rates of 2.7±0.18 and 2.6±0.21 mule deer per puma month, respectively (11.4±0.72 and 12.0±1.1 days per kill, respectively). Predation rates estimated in this study compared with those estimated by energetic demand for pumas in the study area but were lower than other field derived estimates. These data help increase our understanding of predation impacts of large predators on their prey. [source] Returns and volatility in the NYMEX Henry Hub natural gas futures marketOPEC ENERGY REVIEW, Issue 3 2006Apostolos Serletis In this paper we use autoregressive conditional heteroscedasticity-type models to investigate the determinants of returns and volatility in the New York Mercantile Exchange Henry Hub natural gas futures contract market. Using daily data for the period that natural gas has been traded on the exchange, we find significant evidence of seasonal and open interest effects in both, returns and volatility. [source] Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approachesTHE JOURNAL OF FUTURES MARKETS, Issue 1 2010Sung Yong Park Bollerslev's (1990, Review of Economics and Statistics, 52, 5,59) constant conditional correlation and Engle's (2002, Journal of Business & Economic Statistics, 20, 339,350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models are usually used to estimate time-varying hedge ratios. In this study, we extend the above model to more flexible ones to analyze the behavior of the optimal conditional hedge ratio based on two (BGARCH) models: (i) adopting more flexible bivariate density functions such as a bivariate skewed- t density function; (ii) considering asymmetric individual conditional variance equations; and (iii) incorporating asymmetry in the conditional correlation equation for the DCC-based model. Hedging performance in terms of variance reduction and also value at risk and expected shortfall of the hedged portfolio are also conducted. Using daily data of the spot and futures returns of corn and soybeans we find asymmetric and flexible density specifications help increase the goodness-of-fit of the estimated models, but do not guarantee higher hedging performance. We also find that there is an inverse relationship between the variance of hedge ratios and hedging effectiveness. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:71,99, 2010 [source] International evidence on alternative models of the term structure of volatilitiesTHE JOURNAL OF FUTURES MARKETS, Issue 7 2009Antonio Díaz The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at-the-money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices produces some instability in parameter estimates. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:653,683, 2009 [source] New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchangeTHE JOURNAL OF FUTURES MARKETS, Issue 9 2006M. Illueca Additional evidence is provided on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed by T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys (2003). Findings reveal not only a significant increase in spot trading activity, but also the existence of a significant jump in spot volatility at index futures expiration. Moreover, the importance of the data frequency considered is analyzed. Our research reveals that the use of GARCH methodology from daily data does not have the ability to statistically assess such expiration-day effect. Additional empirical evidence is provided for the S&P 500 stock index futures market. Neither unconditional nor conditional realized volatility has a significant increase at expiration for the U.S. market, suggesting that this effect is specific for the Spanish market, at least for the period analyzed. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:923,938, 2006 [source] Cross-market correlations and transmission of informationTHE JOURNAL OF FUTURES MARKETS, Issue 11 2002Salim M. Darbar We investigate characteristics of cross-market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information in a market affects subsequent cross-market conditional correlations in the sample period following the stock market crash of 1987, but there is little evidence of such a relationship in the precrash period. In the postcrash period, we also find evidence that the prime rate of interest affects daily correlations between futures returns. Furthermore, we find that conditional correlations between currency futures and other markets decline steeply a few months before the crash and revert to normal dynamics after the crash. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1059,1082, 2002 [source] Simultaneous Atlantic,Pacific blocking and the Northern Annular ModeTHE QUARTERLY JOURNAL OF THE ROYAL METEOROLOGICAL SOCIETY, Issue 636 2008Tim Woollings Abstract A synoptic situation termed ,high-latitude blocking' (HLB) is shown to occur frequently in both the Atlantic and Pacific sectors, and to result in flow anomalies very similar to those associated with the negative phase of the Northern Annular Mode (NAM) in the respective sector. There is a weak but significant link between the occurrence of HLB in the two sectors, with Atlantic HLB tending to lead Pacific HLB by 1,3 days. This link arises from rare events in which both sectors are almost simultaneously affected by a large-scale wave-breaking event which distorts the polar trough over Northern Canada. In several cases the tropospheric wave-breaking occurs in tandem with a large-scale disturbance of the stratospheric polar vortex. There is, therefore, a physical link between the Atlantic and Pacific sectors, but analysis suggests that this does not contribute to determining the pattern of the NAM, as conventionally defined from monthly mean data. However, an alternative version of the NAM, derived directly from daily data, does appear to reflect this physical link. These conflicting results highlight the sensitivity of the NAM to the period over which data are averaged. Copyright © 2008 Royal Meteorological Society [source] International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan*ASIAN ECONOMIC JOURNAL, Issue 1 2008Han-Min Hsing F32; F41; G15 Using daily data from between 1993 and 2003, covered interest differential and cointegration tests are applied to examine short-run and long-run international capital mobility for Japan, Singapore and Taiwan, and, for comparison purposes, the UK. Despite the high short-run mobility in Japan (Singapore and Taiwan), being slightly (significantly) lower than in the UK, perfect long-run mobility exists in all three Asian economies, especially when the Asian currency crisis is excluded. Different short-run and long-run mobility implies the existence of a response lag in the financial market. As expected, although the impulse response reaches the significant long-run equilibrium level shortly after the shock in the UK, lagged responses appear in the three Asian economies, particularly in Singapore and Taiwan. [source] Influence of ADB Bond Issues and US Bonds on Asian Government Bonds*ASIAN ECONOMIC JOURNAL, Issue 4 2007Masahiro InoguchiArticle first published online: 2 JAN 200 F33; F35; F36; G12; G15 This article examines whether there is a correlation between the government bond markets of Asian countries and those of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia, the present paper uses the daily data of government bonds to examine two questions: whether government bond yields in Hong Kong, Singapore and Thailand correlate with US government bond yields, and whether bonds in these Asian countries are influenced by ADB bond issues. The present study analyzes these issues by demonstrating the fluctuations in bond yields and carrying out an estimation using the exponential generalized autoregressive conditional heteroskedasticity model. The results substantiate that there is indeed a correlation between Asian and US bond markets, and that ADB bond issuance in local markets can contribute to the development of Asian bond markets. [source] | ||||||||||||||||||||||||||||