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This article presents a Bayesian reliability modelling approach for wind turbines that incorporates the effect of time‐dependent variables. Namely, the technique is used to explore the effect of annual services on wind turbine failure intensity through time for turbines within a currently operational wind farm. In the operator's experience, turbines seemed to fail more frequently after scheduled maintenance was performed; however, this is an unexplored effect in the literature. Additionally, the effects of seasonality, year of operation and position in the array on failure intensity are explored. These features were included in a Cox‐like model formulation which allows for time‐dependent covariates. Inference was performed via Bayes rule. Results show a spike in failure intensity reaching 1.57 times the baseline in the six days directly proceeding annual servicing, after which failure intensity is reduced compared to baseline. Also observed is a significant year‐on‐year reduction of failure intensity since the introduction of the site's data management system in 2018, a clear preference for modelling time to failure via a Weibull distribution and a dependence on location in the array with respect to the prominent wind direction. Results also show the benefit of employing a Bayesian regime, which provides easily interpretable uncertainty quantification. [ABSTRACT FROM AUTHOR]

Financial markets are expected to predict macroeconomic conditions as movement in the former depends upon expectations of future performance for the latter. However, existing evidence is mixed. We argue that this arises because the stock return and term structure series typically used in studies, fail to sufficiently capture investor risk preferences. For US data, we use the variance risk premium (VRP) and default yield (DFY) to better capture such a risk measure and demonstrate that these variables exhibit greater evidence of predictive power for key macroeconomic series. In addition to VRP and DFY, we include further variables that may also capture market risk. Given similar dynamics between different risk measures and the potential for multicollinearity in estimation, we consider variable combinations. Using results obtained through predictive regressions, out‐of‐sample forecasting and a probit model designed to capture periods of expansion and contraction, we show that these combination variables can predict future movements in macroeconomic conditions as well as results using individual variables. Of key interest, combinations that include the VRP and DFY are preferred across all macro‐series. [ABSTRACT FROM AUTHOR]

Background: Distinguishing primary bloodstream infections (BSIs) related to central venous access devices (CVADs) from those that occur through other mechanisms, such as a damaged mucosal barrier, is difficult. Methods: Secondary analysis was conducted on data from patients with CVADs that were collected for a large, randomized trial. Patients were divided into two groups: those who received parenteral nutrition (PN)–containing intravenous lipid emulsion (ILE) and those who did not have PN‐containing ILE. This study investigated the influence of PN‐containing ILE (ILE PN) on primary BSIs in patients with a CVAD. Results: Of the 807 patients, 180 (22%) received ILE PN. Most (627/807; 73%) were recruited from the hematology and hematopoietic stem cell transplant unit, followed by surgical (90/807; 11%), trauma and burns (61/807; 8%), medical (44/807; 5%), and oncology (23/807; 3%). When primary BSI was differentiated as a central line‐associated BSI (CLABSI) or mucosal barrier injury laboratory‐confirmed BSI (MBI‐LCBI), the incidence of CLABSI was similar in the ILE PN and non–ILE PN groups (15/180 [8%] vs 57/627 [9%]; P = 0.88) and the incidence of MBI‐LCBI was significantly different between groups (31/180 [17%] ILE PN vs 41/627 [7%] non–ILE PN; P < 0.01). Conclusion: Our data indicate that twice as many primary BSIs in ILE PN patients are due to MBIs than CVADs. It is important to consider the MBI‐LCBI classification, as some CLABSI prevention efforts aimed at CVADs for the ILE PN population may be better directed to gastrointestinal tract protection interventions. [ABSTRACT FROM AUTHOR]

Purpose/objectives: Dental students' levels of engagement and comprehension were assessed using tactile learning (with physical teeth) versus virtual learning (using computer images) in a dental histology course. Differences in engagement and comprehension by learning preferences were also examined. Methods: One hundred first‐year dental students were randomly divided into twenty teams of five students. Conditions were counterbalanced such that half the students were given physical tooth models (Group A) while the other half were given access to virtual images of tooth models (Group B) during the first session. Conditions were switched for a second session. Both groups completed the same learning exercise and formative assessment (quiz) after each session. A survey assessed students' learning preferences and attitudes. Results: There were no differences by group assignment in both formative assessment scores and learning preferences (p > 0.10). For all students, comprehension of material was significantly higher in the tactile condition (with physical teeth) compared to the virtual experience (p = 0.01), but there was no difference in engagement between conditions (p = 0.35). Students who preferred learning with physical tooth models had higher engagement when using the physical tooth models compared to those who preferred virtual tooth models (p = 0.04), and significantly more positive attitudes toward physical tooth models (p's < 0.0001). Conclusion: Results suggest that for dental students, learning activities involving handling physical teeth may produce greater comprehension than viewing virtual images of teeth on a screen. More research is needed to determine the circumstances when virtual images can be substituted for physical models or be a beneficial adjunct method. [ABSTRACT FROM AUTHOR]

This article presents a Bayesian data-modelling approach to assessing operational efficiency at offshore wind farms. Input data are provided by an operational database provided by a large offshore wind farm which employs an advanced data management system. We explore the combination of datasets making up the database, using them to train a Bayesian hierarchical model which predicts weekly lost production from corrective maintenance and time-based availability. The approach is used to investigate the effect of technician work shift patterns, specifically addressing a strategy involving night shifts for corrective maintenance which was employed at the site throughout the winter. It was found that, for this particular site, there is an approximate annual increase in time-based technical availability of 0.64%. We explore the effect of modelling assumptions on cost savings; specifically, we explore variations in failure rate, price of electricity, number of technicians working night shift, extra staff wages, months of the year employing 24/7 working and extra vessel provision. Results vary quite significantly among the scenarios investigated, exemplifying the need to consider the question on a farm-by-farm basis. [ABSTRACT FROM AUTHOR]

Group A streptococcal (GAS) infection is associated with a spectrum of autoimmune diseases including acute rheumatic fever/rheumatic heart disease (ARF/RHD) and neurobehavioral abnormalities. Antibodies against GAS M proteins cross‐react with host tissue proteins in the heart and brain leading to the symptomatology observed in ARF/RHD. As throat carriage of Streptococcus dysgalactiae subspecies equisimilis (SDSE) has been reported to be relatively high in some ARF/RHD endemic regions compared with GAS, and both SDSE and GAS express coiled‐coil surface protein called M protein, we hypothesized that streptococci other than GAS can also associated with ARF/RHD and neurobehavioral abnormalities. Neurobehavioral assessments and electrocardiography were performed on Lewis rats before and after exposure to recombinant GAS and SDSE M proteins. Histological assessments were performed to confirm inflammatory changes in cardiac and neuronal tissues. ELISA and Western blot analysis were performed to determine the cross‐reactivity of antibodies with host connective, cardiac and neuronal tissue proteins. Lewis rats injected with M proteins either from GAS or SDSE developed significant cardiac functional and neurobehavioral abnormalities in comparison to control rats injected with phosphate‐buffered saline. Antibodies against GAS and SDSE M proteins cross‐reacted with cardiac, connective and neuronal proteins. Serum from rats injected with streptococcal antigens showed higher immunoglobulin G binding to the striatum and cortex of the brain. Cardiac and neurobehavioral abnormalities observed in our experimental model were comparable to the cardinal symptoms observed in patients with ARF/RHD. Here for the first time, we demonstrate in an experimental model that M proteins from different streptococcal species could initiate and drive the autoimmune‐mediated cardiac tissue damage and neurobehavioral abnormalities. [ABSTRACT FROM AUTHOR]

We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR model excluding it, all markets support further extensions of the HAR‐IV model. More accurate forecasts are found using overnight returns in all markets except the UK, the volatility of realized volatility in the US, and the leverage effect in five markets. A value‐at‐risk exercise supports the economic significance of our findings. [ABSTRACT FROM AUTHOR]

This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for 12 international countries. The results, using linear, probit, time‐ and regime‐varying in‐sample regressions and out‐of‐sample forecasting, confirm the view that both financial markets exhibit predictive power for future output growth. Moreover, there is notable variation within the strength of the predictive relation, for example, predictive power increases during the financial crisis period. Results suggest that while the term structure arguably exhibits stronger predictive power, both series contain distinct predictive information. Notably, predictive power emanating from the stock return series appears stronger over shorter (up to four‐quarter) time horizons, while the term structure series exhibits more consistent predictive power over a range of horizons. Considering different regimes, we observe that the bond market exhibits greater predictive power for a flatter yield curve and lower stock prices relative to fundamentals, while the stock market exhibits greater predictive power for a steeper yield curve and higher relative stock prices. This suggests that the two financial markets exhibit different information content for future output growth. This view is further supported by forecast results whereby a model that includes both financial series outperforms a model that only includes one. Forecast encompassing tests further support the view that stock returns contain additional information over that presented by the term structure alone. [ABSTRACT FROM AUTHOR]

Psychological Sense of Community (PSOC) represents a formative conceptual offering of Community Psychology to the social sciences. Nearly five decades ago, PSOC offered a window into the influence of ecological factors to understanding the emotional and behavioral well‐being of members of disenfranchised and underserved segments of the population, especially members of minority and low‐income subgroups. Our discipline's founders viewed PSOC as one promising vehicle for pursuing the desired paradigmatic shift from individual to systemically focused interventions to achieve intended outcomes of the emerging community mental health movement. This Commentary reflects the authors' shared thoughts to the adoption of PSOC by conservative spokespersons to explain the resistance of some to the diversification of the population and growing voice of progressive advocates. [ABSTRACT FROM AUTHOR]

This paper investigates the relationship between wind turbine main‐bearing loads and the characteristics of the incident wind field in which the wind turbine is operating. For a 2‐MW wind turbine model, fully aeroelastic multibody simulations are performed in 3D turbulent wind fields across the wind turbine's operational envelope. Hub loads are extracted and then injected into simplified drivetrain models of three types of main‐bearing configuration. The main‐bearing reaction loads and load ratios from the simplified model are presented and analysed. Results indicate that there is a strong link between wind field characteristics and the loading experienced by the main bearing(s), with the different bearing configurations displaying very different loading behaviours. Main‐bearing failure rates determined from operational data for two drivetrain configurations are also presented. [ABSTRACT FROM AUTHOR]

The widely expressed G‐protein coupled receptors (GPCRs) are versatile signal transducer proteins that are attractive drug targets but structurally challenging to study. GPCRs undergo a number of conformational rearrangements when transitioning from the inactive to the active state but have so far been believed to adopt a fairly conserved inactive conformation. Using 19F NMR spectroscopy and advanced molecular dynamics simulations we describe a novel inactive state of the adenosine 2A receptor which is stabilised by the aminotriazole antagonist Cmpd‐1. We demonstrate that the ligand stabilises a unique conformation of helix V and present data on the putative binding mode of the compound involving contacts to the transmembrane bundle as well as the extracellular loop 2. [ABSTRACT FROM AUTHOR]

To respond to the market turmoil following the demise of Lehman Brothers in September 2008, the majority of European countries imposed short‐selling restrictions on their equity markets. Such a regulatory intervention is likely to have impact on the price formation process and information transmission between markets. We find that the long‐run cointegrating relation between the high‐ and low‐risk country groups in Europe broke down as the crisis emerged and the regulatory remedy failed to correct this. Furthermore, we find the information transmission between markets has reversed from the high‐risk to low‐risk markets in the period following the Lehman demise and imposition of the ban. Further, we notice a similar reversal in the spillover of both return and volatility processes between the different risk‐level country groups. We, therefore, conclude that, overall, the 2008 short‐selling ban had an adverse impact on information transmission between the identified country portfolios in both the long and short run. Notably, the ban did not restore the pre‐crisis transmission channels. [ABSTRACT FROM AUTHOR]

Background: Recommendations prescribe daily intravenous administration set (IVAS) replacement for parenteral nutrition (PN) comprising intravenous fat emulsions (IVFE) due to risk of micro-organism growth and resultant central-line associated bloodstream infections (CLABSIs), but system disconnection for this practice may allow contamination and CLABSIs.Materials and Methods: Laboratory experiments and model development were used to simulate PN administration after contamination from healthcare workers' hands. This study observed the growth of micro-organisms known to cause CLABSIs in a variety of PN and other IV fluids and developed a model to investigate the effect of delaying IVAS replacement on microbial growth for up to 7 days.Results: Micro-organisms grew at different rates and were affected by solution type. In static experiments, growth was supported in IVFE and all-in-one PN, but suppressed in 50% glucose. Growth patterns were consistent over time for Staphylococcus epidermidis, Staphylococcus aureus, and Candida albicans in IVFE, all-in-one PN, and 0.9% sodium chloride in both static and dynamic experiments. C. albicans grew exponentially to clinically significant numbers in all-in-one PN and IVFE IVAS after 30 hours, but negligible growth of S. epidermidis or S. aureus occurred for 7 days.Conclusion: All-in-one PN and IVFE support the C. albicans growth after minimal initial contamination, with micro-organisms migrating from the fluid bag to the central venous access device. Improved aseptic nontouch technique during clinical practice is vital to prevent contamination. Daily IVAS replacement of for all-in-one PN and IVFE should continue until the safety of prolonging IVAS replacement is confirmed by randomized trials. [ABSTRACT FROM AUTHOR]

Background: Central venous access devices (CVADs) are used for parenteral nutrition (PN) delivery. We systematically reviewed research-based publications that reported comparative rates of catheter-related bloodstream infection (CRBSI) in patients with CVADs who received PN vs those who did not receive PN therapy.Materials and Methods: The literature search included the Cochrane Library, MEDLINE, CINAHL, and PubMed up to July 14, 2015, to identity studies that compared patients with a CVAD who did and did not have PN therapy.Results: Eleven observational studies were identified, comprising 2854 participants with 6287 CVADs. Six studies produced significant results in favor of non-PN, 4 studies showed no evidence of a difference between PN and non-PN, and 1 study produced significant results in favor of PN when analyzed per patient with multiple CVADs. Incidence ranged from 0 to 6.6 CRBSIs per 1000 CVAD days in the PN patients and 0.39 to 3.6 CRBSIs per 1000 CVAD days in the non-PN patients. The Cochrane risk of bias assessment tool for nonrandomized studies of interventions was used. Eight studies were rated as moderate risk of bias, 2 as serious, and 1 as critical.Conclusion: The data presented in this systematic review are not sufficient to establish whether patients receiving PN are more at risk of developing CRBSI than those who do not. Future PN studies needs to adjust for baseline imbalances and improve quality and reporting. [ABSTRACT FROM AUTHOR]

Different configurations of gearbox, generator and power converter exist for offshore wind turbines. This paper investigated the performance of four prominent drive train configurations over a range of sites distinguished by their distance to shore. Failure rate data from onshore and offshore wind turbine populations was used where available or systematically estimated where no data was available. This was inputted along with repair resource requirements to an offshore accessibility and operation and maintenance model to calculate availability and operation and maintenance costs for a baseline wind farm consisting of 100 turbines. The results predicted that turbines with a permanent magnet generator and a fully rated power converter will have a higher availability and lower operation and maintenance costs than turbines with doubly fed induction generators. This held true for all sites in this analysis. It was also predicted that in turbines with a permanent magnet generator, the direct drive configuration has the highest availability and lowest operation and maintenance costs followed by the turbines with two-stage and three-stage gearboxes. Copyright © 2016 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

We investigate the information content of implied volatility forecasts for stock index return volatility. Using different autoregressive models, we examine whether implied volatility forecasts contain information for future volatility beyond that in GARCH and realized volatility models. Results show implied volatility follows a predictable pattern and confirm the existence of a contemporaneous relationship between implied volatility and index returns. Individually, implied volatility performs worse than alternate forecasts, however, a model that combines an asymmetric GARCH model with implied and realized volatility through (asymmetric) ARMA models is preferred model for forecasting volatility. This evidence is further supported by consideration of value-at-risk. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1127-1163, 2016 [ABSTRACT FROM AUTHOR]

Determining and understanding offshore wind turbine failure rates and resource requirement for repair are vital for modelling and reducing O&M costs and in turn reducing the cost of energy. While few offshore failure rates have been published in the past even less details on resource requirement for repair exist in the public domain. Based on ~350 offshore wind turbines throughout Europe this paper provides failure rates for the overall wind turbine and its sub-assemblies. It also provides failure rates by year of operation, cost category and failure modes for the components/sub-assemblies that are the highest contributor to the overall failure rate. Repair times, average repair costs and average number of technicians required for repair are also detailed in this paper. An onshore to offshore failure rate comparison is carried out for generators and converters based on this analysis and an analysis carried out in a past publication. The results of this paper will contribute to offshore wind O&M cost and resource modelling and aid in better decision making for O&M planners and managers. Copyright © 2015 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

The use of condition monitoring systems on offshore wind turbines has increased dramatically in recent times. However, their use is mostly restricted to vibration based monitoring systems for the gearbox, generator and drive train. A survey of commercially available condition monitoring systems and their associated costs has been completed for the blades, drive train, tower and foundation. This paper considers what value can be obtained from integrating these additional systems into the maintenance plan. This is achieved by running simulations on an operations and maintenance model for a wind farm over a 20 year life cycle. The model uses Hidden Markov Models to represent both the actual system state and the observed condition monitoring state. The CM systems are modelled to include reduced failure types, false alarms, detection rates and 6 month failure warnings. The costs for system failures are derived, as are possible reductions in costs due to early detection. The detection capabilities of the CM systems are investigated and the effects on operational costs are examined. Likewise, the number of failures detected 6 months in advance by the CM systems is modified and the costs reported. [ABSTRACT FROM AUTHOR]

ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity investing may affect the nature of the response to disequilibrium. Results support cointegration between stock and commodity prices, while Bai-Perron tests identify breaks in the forecast regression. Forecasts are computed using a standard fixed (static) in-sample/out-of-sample approach and by both recursive and rolling regressions, which incorporate the effects of changing forecast parameter values. A range of model specifications and forecast metrics are used. The historical mean model outperforms the forecast models in both the static and recursive approaches. However, in the rolling forecasts, those models that incorporate information from the long-run stock price/commodity price relationship outperform both the historical mean and other forecast models. Of note, the historical mean still performs relatively well compared to standard forecast models that include the dividend yield and short-term interest rates but not the stock/commodity price ratio. Copyright © 2014 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation is linked to economic and market factors. Furthermore, the strength and nature of those links are themselves time-varying. The inclusion of this time-variation in the predictive equation increases the predictive power compared to the standard constant parameter predictive model. Evidence is also reported for time-varying dividend growth predictability. Long-horizon predictability is also examined with evidence reported that the nature of the factors affecting time-varying predictability changes with horizon. The results here, while directly contributing to the returns predictability debate, in particular regarding its existence and source, may also inform the discussion that links time-varying expected returns (and risk premium) to economic factors. [ABSTRACT FROM AUTHOR]

We perform a comprehensive examination of the recursive, comparative predictive performance of linear and nonlinear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR) and smooth transition autoregressive (STR) regime switching models and a range of linear specifications including models with GARCH type specifications. Results demonstrate UK asset returns require nonlinear dynamics to be modelled with strong evidence in favour of Markov switching frameworks. Our results appear robust to the choice of sample period, changes in loss functions and to the methodology employed to test for equal predictive accuracy. The key findings extend to a similar sample of US data. [ABSTRACT FROM AUTHOR]

Several operational strategies for offshore wind farms have been established and explored in order to improve understanding of operational costs with a focus on heavy lift vessel strategies. Additionally, an investigation into the uncertainty surrounding failure behaviour has been performed identifying the robustness of different strategies. Four operational strategies were considered: fix on fail, batch repair, annual charter and purchase. A range of failure rates have been explored identifying the key cost drivers and under which circumstances an operator would choose to adopt them. When failures are low, the fix on fail and batch strategies perform best and allow flexibility of operating strategy. When failures are high, purchase becomes optimal and is least sensitive to increasing failure rate. Late life failure distributions based on mechanical and electrical components behaviour have been explored. Increased operating costs because of wear‐out failures have been quantified. An increase in minor failures principally increase lost revenue costs and can be mitigated by deploying increased maintenance resources. An increase in larger failures primarily increases vessel and repair costs. Adopting a purchase strategy can negate the vessel cost increase; however, significant cost increases are still observed. Maintenance actions requiring the use of heavy lift vessels, currently drive train components and blades are identified as critical for proactive maintenance to minimise overall maintenance costs. [ABSTRACT FROM AUTHOR]

This paper examines the behaviour and information content of insiders' trades before and after the credit crunch and, in particular, examines the extent to which some insiders anticipated the market crash and took action to protect their positions. In part, the market crash was brought about by the excessive borrowing of financial institutions. Our results point to the view that a number of insiders, primarily directors, were aware that the excessive use of leverage by financial institutions would ultimately have a detrimental impact on the economy. These insiders acted by selling their shares prior to the market collapse and subsequently buying them back at a lower price. Supportive evidence for the above view is provided through both graphical evidence and regression analysis. In particular, we demonstrate a link between insider behaviour and the rapid decline in share values. Further evidence is also provided of a link between insider behaviour and future risk as measured by the CDS premium. In short, we argue that this selling was not motivated by liquidity or other contrarian strategies but was a result of understanding how higher levels of leverage and excessive trading in new risky derivatives could lead to higher levels of risk, an insight possessed only by a subset of insiders. [ABSTRACT FROM AUTHOR]

Construction of a wind farm without a reliable plant margin forecast can jeopardise potential returns on investment from the outset. Meteorological and topological factors influence the wind characteristics across any site which in turn affects wind farm output, critical for localised generation, and also the dynamic loading of the turbine structure. The models developed in this study follow the generally advocated use of probability density estimation as a means of representing wind resource characteristics but, owing to differences, in characterisation that may be encountered, do not assume a single distribution form across all sites. A mixture modelling approach is adopted that removes the need for choosing distribution forms on a site by site basis. Advancing previous work constructing statistical distributions over congruent wind speed and direction observations of the wind resource characteristics at a given site, the proposed model, as a consequence of using a mixture distribution, captures both recurring regimes in the site behaviour along with their frequency of occurrence. Preliminary results using data sets from a diverse range of locations in Scotland demonstrate the variation in the forms of model learned; comparisons of the model with current and alternate practices are given through visualisation and resource assessment illustrations. [ABSTRACT FROM AUTHOR]

We investigate dividend yield predictability for stock returns and dividend growth for eight countries over the period 1973-2010. We employ panel methods and report evidence of such predictive power over the full sample. An examination by decade reveals that the predictive ability for stock returns and dividend growth varies with time. Indeed, the strength of this predictability switches between returns and dividend growth. In the 1970s only returns were predicted, while in the 1980s only dividend growth was predicted. In the 1990s and 2000s, both variables were predicted, although the coefficient magnitude and strength of the statistical relationship changes. [ABSTRACT FROM AUTHOR]

ABSTRACT While much research related to forecasting return volatility does so in a univariate setting, this paper includes proxies for information flows to forecast intra-day volatility for the IBEX 35 futures market. The belief is that volume or the number of transactions conveys important information about the market that may be useful in forecasting. Our results suggest that augmenting a variety of GARCH-type models with these proxies lead to improved forecasts across a range of intra-day frequencies. Furthermore, our results present an interesting picture whereby the PARCH model generally performs well at the highest frequencies and shorter forecasting horizons, whereas the component model performs well at lower frequencies and longer forecast horizons. Both models attempt to capture long memory; the PARCH model allows for exponential decay in the autocorrelation function, while the component model captures trend volatility, which dominates over a longer horizon. These characteristics are likely to explain the success of each model. Copyright © 2013 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

ABSTRACT Volatility forecasting remains an active area of research with no current consensus as to the model that provides the most accurate forecasts, though Hansen and Lunde (2005) have argued that in the context of daily exchange rate returns nothing can beat a GARCH(1,1) model. This paper extends that line of research by utilizing intra-day data and obtaining daily volatility forecasts from a range of models based upon the higher-frequency data. The volatility forecasts are appraised using four different measures of 'true' volatility and further evaluated using regression tests of predictive power, forecast encompassing and forecast combination. Our results show that the daily GARCH(1,1) model is largely inferior to all other models, whereas the intra-day unadjusted-data GARCH(1,1) model generally provides superior forecasts compared to all other models. Hence, while it appears that a daily GARCH(1,1) model can be beaten in obtaining accurate daily volatility forecasts, an intra-day GARCH(1,1) model cannot be. Copyright © 2011 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

This is a response to the Nowell and Boyd () article printed in this journal titled: Viewing Community as Responsibility as Well as Resource: Deconstructing the Theoretical Roots of Psychological Sense of Community. In that article, they argued that the McMillan theory of Sense of Community is a simplistic, needs-based theory that excludes responsibility as a part of Sense of Community. They base their critique of McMillan's theory on March and Olsen's many articles. In this article, McMillan responds. He argues that Nowell and Boyd () have yet to understand his theory and that they use a false dichotomy to critique it. He suggests that Third Position Thinking (Newbrough, ; Newbrough & McMillan, ) would help undo false dichotomies and provide a better description of the juxtaposition of human values. McMillan contends that responsibility is an inherent part of his theory. © 2011 Wiley Periodicals, Inc. [ABSTRACT FROM AUTHOR]

We use data on 57 firms over the period 1980-2007 to investigate profit persistence. We extend the literature by considering whether the parameter governing persistence varies between positive and negative profits (relative to normal). Thus, we are able to differentiate between entry and exit as conduits of the competitive model. Such information may be of importance to policy-makers in establishing competition legislation. We find firms with profits above normal are firms that have high barriers to entry and exit while firms with below-normal profits have low barriers to entry and exit. [ABSTRACT FROM AUTHOR]

Evidence regarding the validity of the present value model for stock prices has typically been assessed at index level. Moreover, such research typically rejects the model. In contrast research at the firm level is more supportive of the model. This paper, using the present value model as the base for analysis, considers sector level data. Three main objectives motivate the paper. First, to fill the gap in the research noted above. Second, to see if the recent technology bubble affected all other sectors. Third, to examine returns predictability using the present value model adjusted for the presence of bubbles. The results suggest, first, only limited support for the simple present value model, supporting the notion that as data are aggregated then the information content of dividends becomes obscured. Second, that the late 1990s bubble affected all sectors with the exception of the more traditional industrial sectors, which have seen significant price rises following the end of the early 2000s bear market. Third, a regime switching model that incorporates both a fundamental and bubble component demonstrates that when the bubble component is small the dividend yield acts as a reasonable predictor of sector returns, however, when the bubble is large prices become disconnected from dividends. The results here inform our knowledge of the present value model and should be of interest both to researchers attempting to model market behaviour and investors attempting to forecast it. [ABSTRACT FROM AUTHOR]

Recent empirical finance research has suggested the potential for interest rate series to exhibit non-linear adjustment to equilibrium. This paper examines a variety of models designed to capture these effects and compares both their in-sample and out-of-sample performance with a linear alternative. Using short- and long-term interest rates we report evidence that a logistic smooth-transition error-correction model is able to best characterize the data and provide superior out-of-sample forecasts, especially for the short rate, over both linear and non-linear alternatives. This model suggests that market dynamics differ depending on whether the deviations from long-run equilibrium are above or below the threshold value. Copyright © 2007 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique opportunity to examine extant behavioral hypotheses. Results confirm effects such as disposition and/or conservatism with the mispricing negatively related to past returns, but unrelated to future returns. Finally, an orderly weakening of the negative relation to past returns and behavioral effects is observed, suggesting that such effects will diminish as the market matures. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:218–243, 2009 [ABSTRACT FROM AUTHOR]

Since the mid-1990s the dividend yield reached and largely remained at a historically low level, even accounting for the stock market correction in the early 2000s. This appears to suggest that prices are overvalued. However, alternative valuation models based upon comparing bond and equity yields suggest that, if anything, prices are undervalued. This paper seeks to provide answers to this seeming paradox. Preliminary results suggest non-stationarity of the dividend yield and bond yield–equity yield differential, although the yield ratio is possibly stationary, casting doubt on mean reversion. Evidence from structural breakpoint testing suggests that all measures have been subjected to several mean level shifts throughout the sample period, and notably within the last decade, such that each series now fluctuates around a mean level lower than that experienced previously. Thus, the lower dividend yield and lower bond–equity ratio do not necessarily imply equity mispricing but that concepts of pre-existing normal levels no longer apply. In explaining why higher equity prices are supported, we note that the last decade has seen a period of historically low and stable inflation and interest rates. Further, there is a strong positive relationship between inflation and the dividend yield. This more stable economic environment has led to more accurate valuation of stocks and lower required rates of return, thus supporting higher prices. [ABSTRACT FROM AUTHOR]

Newbrough's Third Position is discussed in terms of its utility as a framework within which to understand and resolve interpersonal differences, seemingly irresolvable diametric differences, and conflictual situations. The framework's essential elements and its application is illustrated through the presentation of a series of fictitious scenarios that open with conflict and close with a resolution in which the interested parties feel heard and satisfied. The intent of the commentary is to re-introduce community psychologists to this framework and encourage its consideration, application, and investigation in responding to community-based conflicts and the resolution of seeming impasses. The Third Position is presented as a valuable tool for the community psychologist involved with conflict resolution, community consultation, and community development. © 2008 Wiley Periodicals, Inc. [ABSTRACT FROM AUTHOR]

This paper considers whether the introduction of the mini-futures contract for the Spanish Ibex index affects overall market efficiency. Using linear, non-linear, and fractional integration modeling techniques for the basis term, results of this study suggest the following salient points. First, the equilibrium speed of adjustment is reduced after the introduction of the mini-futures contract. This effect is particularly pronounced in the mini-futures second year when its contracts are more heavily traded. Second, fractional integration tests support longer memory in the basis term after the contract introduction, again particularly in the second year. Third, the relationship between the full-size and mini-futures contracts appears highly efficient, with a quick speed of adjustment and short memory. Finally, an examination of the volatility dynamics suggests that in the second year of the mini-futures contract shocks to spot return volatility exhibit longer memory. The results reported here suggest that the increased use of the mini-futures contract after its introduction has had a detrimental impact on price discovery. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 398–415, 2008 [ABSTRACT FROM AUTHOR]

In this commentary, the authors review and critique Prilleltensky's model of psychopolitical validity and wellness. Although the overt recognition of power, oppression, and political forces are viewed most favorably, cautions are also given. Of most importance is the way in which his model is based in an undeclared North American model of psychology and culture. The authors examine the disjuncture between the stated aims of psychopolitical validity and the ways in which different cultures and social systems construe the world. The proposal for a political focus on power and oppression is welcomed, but cautions are offered about the commensurability of different worldviews and practices. © 2008 Wiley Periodicals, Inc.

First-order and second-order models of sense of community (SOC) were tested using confirmatory factor analysis (CFA) of data gathered from a random sample of community residents (n=293) located in the midwestern United States. An 8-item Brief Sense of Community Scale (BSCS) was developed to represent the SOC dimensions of needs fulfillment, group membership, influence, and shared emotional connection. The CFA results for the BSCS supported both the scale's hypothesized first-order and second-order factor structure. The overall BSCS scale and its subscales were also found to be correlated as expected with community participation, psychological empowerment, mental health, and depression. Findings provide empirical support for the BSCS and its underlying multidimensional theory of SOC. Implications of the study are described and directions for future research discussed. © 2007 Wiley Periodicals, Inc. [ABSTRACT FROM AUTHOR]

This paper extends research concerned with the evaluation of alternative volatility forecasting methods under value at risk (VaR) modeling in the context of the Basle Committee adequacy criteria by broadening the class of generalized autoregressive conditional heteroscedasticity models, to include both asymmetric models and long memory models, in addition to the statistical methods commonly used in financial institutions. In the analysis of daily index data for eight emerging stock markets in the Asia – Pacific region, in addition to US and UK benchmark comparators, we find both asymmetric and long memory features to be important considerations in providing improved VaR estimates that minimize occasions when the minimum capital requirement identified by the VaR methodology would have fallen short of actual trading losses. More generally, our results illustrate the importance of adopting the stringent probability level stipulated in the regulatory framework, and of using fully out-of-sample forecast evaluation methods for the identification of forecasting models that mitigate the likelihood of inappropriately small VaRs and consequent regulatory intervention. [ABSTRACT FROM AUTHOR]

Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this article, the authors consider potential nonlinear dynamics within FTSE-100 index and index-futures. Such nonlinearity can be rationalized by the existence of transactions costs or through the interaction between informed and noise traders. They consider several empirical models designed to capture these alternative dynamics. Their empirical results provide evidence of a stationary basis term, and thus cointegration between index and index-futures, and the presence of nonlinear dynamics within that relationship. The results further suggest that noise traders typically engage in momentum trading and are more prone to this behavior type when the underlying market is rising. Fundamental, or arbitrage, traders are characterized by heterogeneity, such that there is slow movement between regimes of behavior. In particular, fundamental traders act more quickly in response to small deviations from equilibrium, but are reluctant to act quickly in response to larger mispricings that are exposed to greater noise trader price risk. [ABSTRACT FROM AUTHOR]

Recent research has suggested that intra-day volatility may possess a component structure, resulting either from the arrival of heterogeneous information or the actions of heterogeneous market agents. This paper reports direct evidence for the existence of such components in S&P500 index and DM/$ exchange rate data. Estimation of a FIGARCH model supports the contention that volatility dynamics result from multiple sources. Using a HARCH conditional variance model which defines volatility components over differing time horizons, confirmatory evidence of heterogeneous components is reported, in which context the impact of high-frequency speculation and noise-trading are particularly apparent. Copyright © 2006 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Recent empirical finance research has reported non-linear dynamics within asset returns. However, much of this extant research has focussed upon asset markets within the US and UK. This paper examines whether such dynamics are also present in a series of six international equity index returns. Using empirical models which are consistent that the theoretical behavioural finance noise trader motivation of non-linearity, whereby market dynamics differ between small and large returns, our results suggest these models improve the in-sample fit and out-of-sample forecast over linear alternatives. Further, the point of regime transition differs between positive and negative returns indicating that noise traders are more likely to engage in trend-chasing behaviour in up markets and anchoring behaviour in down markets. Finally, the forecast gain in the Asia-Pacific markets is greater than in the European markets suggestive that limits to arbitrage are greater perhaps as fundamental traders knowledge of market dynamics and noise trader behaviour is still evolving. [ABSTRACT FROM AUTHOR]