Heteroscedasticity In Returns: Arch Effects Versus The Mixture Of Distributions Hypothesis

The main purpose of this thesis is to examine and compare the Mixture of Distributions Hypothesis versus Autoregressive Conditional Heteroscedasticity (ARCH) models as an explanation for the distribution of stock returns and the relationship of returns to measures of trading activity. The conjecture has been made by Lamoureux and Lastrapes, (1990a), that ARCH modelling of stock returns does not contribute any information if a variable representing the rate of flow of information is accounted for in the variance of the stock return. This thesis directly challenges this conjecture.;Three measures of trading activity, namely, the number of intraday changes in the bid-ask quotes, the number of daily transactions, and the volume of shares traded, are examined and the relationship of these variables to the variance of stock returns is studied. These variables are used as proxies for the rate of flow of information about a specific stock and are modelled using both Exponential ARCH, (EARCH), and Generalized ARCH, (GARCH), models. The data sample consists of daily returns and daily trading activity variable data for twenty securities traded on the Toronto Stock Exchange and twenty securities traded on the New York Stock Exchange.;The results of this thesis show that when stock returns are modelled using a GARCH model that the addition of a trading activity variable in the variance portion of the GARCH model renders the ARCH components insignificant. However when the more general EARCH model is utilized, then both the ARCH components and the trading activity variable become significant. These results contradict the results of Lamoureux and Lastrapes and show the limitations of using the GARCH model to model stock returns over an extended period of time. Model selection criteria always select an EARCH model over a GARCH model demonstrating the superiority of EARCH modelling.;Concerning the trading activity variables, the results of this thesis show that the number of changes in the intraday quotes for a stock is the best measure for modelling the rate of flow of information about a specific stock. This conclusion is particularly strong for the Canadian stocks in the sample. The results on the proper trading activity variable to use is more mixed for the American data although changes in quotes is still shown to be preferred.;The results of this thesis are important for both modelling volatility of stock returns and for determining the distribution of stock returns. An accurate knowledge of the distribution of stock returns is critical for testing hypotheses concerning stock market variables, especially in an event study setting

Population Structure and Genetic Diversity of the Boll Weevil (Coleoptera: Curculionidae) on Gossypium in North America

Although the boll weevil, Anthonomus grandis grandis Boheman (Coleoptera: Curculionidae), is a devastating pest in the United States and Mexico, its population structure and genetic diversity in Mexico on wild and cultivated cotton hosts (genus Gossypium) is poorly understood. Past studies using morphology, host use, and distribution records suggest that A.grandis grandis comprises three forms with host-associated characteristics: the southeastern form (from domesticated Gossypium hirsutum L., southeastern United States and northeastern Mexico), the thurberia form (from Gossypium thurberi Todaro, Arizona and northwestern Mexico), and the Mexican form (from multiple Gossypium species and other malvaceous plant genera in the remainder of Mexico and Central America). However, the phylogenetic relationships, host preferences, and distributions of these forms are not completely understood. An alternative hypothesis of an eastern and western form of the boll weevil is suggested by the suspected phylogeographic range expansion from an ancestral distribution in the tropics northward along both Mexican coasts, culminating in the maximally contrasting phenotypes observed in the northeastern and northwestern arms of the current distribution. In this study, we sequenced one mitochondrial and four nuclear genes to gain insight into the evolutionary relationships among the putative forms and their distributions on wild and domesticated cotton hosts. Using models of evolution, we compared the three-form to the two-form classification and to two alternative classifications that incorporate geography and host use traits. The genetic data at most loci provide stronger support for the two-form than the three-form hypothesis, with an eastern and western group separated by the Sierra Madre Occidental mountain range. They do not support separate taxonomic status for boll weevils developing onG. thurberi

Analysis of Bulked and Redundant Accessions of Brassica Germplasm Using Assignment Tests of Microsatellite Markers

This study was conducted to determine if Brassica germplasm bulks created and maintained by the USDA-ARS North Central Plant Introduction Station (NCRPIS) were made with genetically indistinguishable component accessions and to examine newly identified putative duplicate accessions to determine if they can be bulked. Using ten microsatellite primer pairs, we genotyped two bulks of B. rapa L. ssp. dichotoma (Roxb.) Hanelt comprising four accessions and three bulks of B. rapa L. ssp. trilocularis (Roxb.) Hanelt comprising fourteen accessions, as well as four pairs of putatively duplicate accessions of B.␣napus L. Assignment tests on ten individual plants per accession were conducted using a model-based clustering method to arrive at probabilities of likelihood of accession assignment. The assignment tests indicated that one of the two bulks of B. rapa ssp. dichotoma involves genetically heterogeneous accessions. It was observed in the B. rapassp. trilocularis bulks that the component accessions could be differentiated into groups, with misassignments observed most frequent within groups. In B. napus, only one of the four pairs of putative duplicates showed significant genetic differentiation. The other three pairs of putative duplicates lack differences and support the creation of bulks. The results of the assignment tests were in agreement with cluster analyses and tests of population differentiation. Implications of these results in terms of germplasm management include the maintenance and/or re-creation of someBrassica germplasm bulks by excluding those accessions identified as being unique in this study

Institutional management of credit derivatives

The credit derivatives market has grown dramatically in the last three years and with that growth has come new opportunities for financial institutions to take advantage of this market. In this paper, we explore these market developments and lay a conceptual framework for the strategic management of credit derivatives by banking institutions. We argue that the development of the market now means that banks need to choose a strategic path for their credit derivative operations, and more specifically whether they will use the instruments simply as a tool for portfolio management, or participate in the market as a market-maker. The study of credit risk has gained rapidly in importance in recent years, mainly due to the emergence of the credit derivative market. Most of the research and analysis has been focused on the pricing of credit risk and or credit derivatives, while little attention has been given in the academic literature to the structural implications of the developing credit derivative market. Furthermore, even less attention has been paid to the managerial issues that arise with the development of this still relatively new market that has the potential to radically change the allocation, pricing, regulation and management of credit risk. In this paper we attempt to start a dialogue on the management issues of credit derivatives and to lay a conceptual framework for studying the issues. The central conclusion is that a banking institution needs to determine the depth and extent of its operations and more fundamentally determine whether as an institution it will be utilizing the credit derivatives market as an end-user for credit management or as a market maker intending to make a profit from trading and servicing clients. Section one gives a brief overview of credit derivatives. The second section describes the features of this market as it concerns banking as an industry, while section three discusses some of the managerial implications. The fourth and final section concludes and provides some directions for further research and analysis

How public health teams navigate their different roles in alcohol premises licensing:ExILEnS multistakeholder interview finding

Background: In England and Scotland, local governments regulate the sale of alcohol by awarding licences to premises to permit the sale of alcohol for consumption on or off the premises, under certain conditions; without such a licence, alcohol cannot be legally sold. In recent years, many local public health teams have become proactive in engaging with alcohol licensing, encouraging licensing authorities to act in ways intended to improve population health. Objective: This research aimed to explore and understand the approaches and activities of public health stakeholders (i.e. NHS staff and other public health professionals) in seeking to influence local alcohol licensing policy and decisions, and the views of licensing stakeholders (i.e. licensing officers/managers, police staff with a licensing remit, elected members and licensing lawyers/clerks) on the acceptability and effectiveness of these approaches. Participants: Local public health teams in England and Scotland were directly informed about this multisite study. Scoping calls were conducted with interested teams to explore their level of activity in alcohol licensing from 2012 across several categories. Twenty local authority areas with public health teams active in licensing matters were recruited purposively in England (n = 14) and Scotland (n = 6) to vary by region and rurality. Fifty-three in-depth telephone interviews (28 with public health stakeholders and 25 with licensing stakeholders outside health, such as local authority licensing teams/lawyers or police) were conducted. Interview transcripts were analysed thematically in NVivo 12 (QSR International, Warrington, UK) using inductive and deductive approaches. Results: Public health stakeholders’ approaches to engagement varied, falling into three main (and sometimes overlapping) types. (1) Many public health stakeholders in England and all public health stakeholders in Scotland took a ‘challenging’ approach to influencing licensing decisions and policies. Reducing health harms was felt to necessitate a focus on reducing availability and generating longer-term culture change, citing international evidence on the links between availability and alcohol-related harms. Some of these stakeholders viewed this as being a narrow, ‘nanny state’ approach, whereas others welcomed public health expertise and its evidence-based approach and input. (2) Some public health stakeholders favoured a more passive, ‘supportive’ approach, with some reporting that reducing availability was unachievable. They reported that, within the constraints of current licensing systems, alcohol availability may be contained (at least in theory) but cannot be reduced, because existing businesses cannot be closed on availability grounds. In this ‘supportive’ approach, public health stakeholders supplied licensing teams with data on request or waited for guidance from licensing teams on when and how to get involved. Therefore, public health action supported the licensing team in their aim of promoting ‘safe’ and ‘responsible’ retailing of alcohol and/or focused on short-term outcomes other than health, such as crime. (3) Some public health stakeholders favoured a ‘collaborative’ approach in which they worked in close partnership with licensing teams; this could include a focus on containing availability or responsible retail of alcohol, or both. Conclusions: In engaging with alcohol licensing, public health stakeholders adapted their approaches, sometimes resulting in a diminished focus on public health goals. Sampling did not include lower-activity areas, in which experiences might differ. The extent to which current licensing systems enable achievement of public health goals is questionable and the effectiveness of public health efforts merits quantitative evaluation

Factors influencing public health engagement in alcohol licensing in England and Scotland including legal and structural differences:comparative interview analysis

BACKGROUND: Greater availability of alcohol is associated with higher consumption and harms. The legal systems, by which premises are licensed to sell alcohol in England and Scotland, differ in several ways. The 'Exploring the impact of alcohol licensing in England and Scotland' study measured public health team activity regarding alcohol licensing from 2012 to 2019 and identified seven differences between England and Scotland in the timing and type of activities undertaken.OBJECTIVES: To qualitatively describe the seven previously identified differences between Scotland and England in public health approaches to alcohol licensing, and to examine, from the perspective of public health professionals, what factors may explain these differences.METHODS: Ninety-four interviews were conducted with 52 professionals from 14 English and 6 Scottish public health teams selected for diversity who had been actively engaging with alcohol licensing. Interviews focused primarily on the nature of their engagement (n = 66) and their rationale for the approaches taken (n = 28). Interview data were analysed thematically using NVivo. Findings were constructed by discussion across the research team, to describe and explain the differences in practice found.FINDINGS: Diverse legal, practical and other factors appeared to explain the seven differences. (1) Earlier engagement in licensing by Scottish public health teams in 2012-3 may have arisen from differences in the timing of legislative changes giving public health a statutory role and support from Alcohol Focus Scotland. (2) Public Health England provided significant support from 2014 in England, contributing to an increase in activity from that point. (3) Renewals of statements of licensing policy were required more frequently in Scotland and at the same time for all Licensing Boards, probably explaining greater focus on policy in Scotland. (4) Organisational structures in Scotland, with public health stakeholders spread across several organisations, likely explained greater involvement of senior leaders there. (5) Without a public health objective for licensing, English public health teams felt less confident about making objections to licence applications without other stakeholders such as the police, and instead commonly negotiated conditions on licences with applicants. In contrast, Scottish public health teams felt any direct contact with applicants was inappropriate due to conflicts of interest. (6) With the public health objective in Scotland, public health teams there were more active in making independent objections to licence applications. Further in Scotland, licensing committee meetings are held to consider all new applications regardless of whether objections have been submitted; unlike in England where there was a greater incentive to resolve objections, because then a meeting was not required. (7) Finally, Scottish public health teams involved the public more in licensing process, partly because of statutory licensing forums there.CONCLUSIONS: The alcohol premises licensing systems in England and Scotland differ in important ways including and beyond the lack of a public health objective for licensing in England. These and other differences, including support of national and local bodies, have shaped opportunities for, and the nature of, public health engagement. Further research could examine the relative success of the approaches taken by public health teams and how temporary increases in availability are handled in the two licensing systems.FUNDING: This article presents independent research funded by the National Institute for Health and Care Research (NIHR) Public Health Reseacrh programme as award number 15/129/11.</p

Factors influencing public health engagement in alcohol licensing in England and Scotland including legal and structural differences:Comparative interview analysis

BACKGROUND: Greater availability of alcohol is associated with higher consumption and harms. The legal systems, by which premises are licensed to sell alcohol in England and Scotland, differ in several ways. The 'Exploring the impact of alcohol licensing in England and Scotland' study measured public health team activity regarding alcohol licensing from 2012 to 2019 and identified seven differences between England and Scotland in the timing and type of activities undertaken.OBJECTIVES: To qualitatively describe the seven previously identified differences between Scotland and England in public health approaches to alcohol licensing, and to examine, from the perspective of public health professionals, what factors may explain these differences.METHODS: Ninety-four interviews were conducted with 52 professionals from 14 English and 6 Scottish public health teams selected for diversity who had been actively engaging with alcohol licensing. Interviews focused primarily on the nature of their engagement (n = 66) and their rationale for the approaches taken (n = 28). Interview data were analysed thematically using NVivo. Findings were constructed by discussion across the research team, to describe and explain the differences in practice found.FINDINGS: Diverse legal, practical and other factors appeared to explain the seven differences. (1) Earlier engagement in licensing by Scottish public health teams in 2012-3 may have arisen from differences in the timing of legislative changes giving public health a statutory role and support from Alcohol Focus Scotland. (2) Public Health England provided significant support from 2014 in England, contributing to an increase in activity from that point. (3) Renewals of statements of licensing policy were required more frequently in Scotland and at the same time for all Licensing Boards, probably explaining greater focus on policy in Scotland. (4) Organisational structures in Scotland, with public health stakeholders spread across several organisations, likely explained greater involvement of senior leaders there. (5) Without a public health objective for licensing, English public health teams felt less confident about making objections to licence applications without other stakeholders such as the police, and instead commonly negotiated conditions on licences with applicants. In contrast, Scottish public health teams felt any direct contact with applicants was inappropriate due to conflicts of interest. (6) With the public health objective in Scotland, public health teams there were more active in making independent objections to licence applications. Further in Scotland, licensing committee meetings are held to consider all new applications regardless of whether objections have been submitted; unlike in England where there was a greater incentive to resolve objections, because then a meeting was not required. (7) Finally, Scottish public health teams involved the public more in licensing process, partly because of statutory licensing forums there.CONCLUSIONS: The alcohol premises licensing systems in England and Scotland differ in important ways including and beyond the lack of a public health objective for licensing in England. These and other differences, including support of national and local bodies, have shaped opportunities for, and the nature of, public health engagement. Further research could examine the relative success of the approaches taken by public health teams and how temporary increases in availability are handled in the two licensing systems.FUNDING: This article presents independent research funded by the National Institute for Health and Care Research (NIHR) Public Health Reseacrh programme as award number 15/129/11.</p

How public health teams navigate their different roles in alcohol premises licensing: ExILEnS multistakeholder interview findings

Background: In England and Scotland, local governments regulate the sale of alcohol by awarding licences to premises to permit the sale of alcohol for consumption on or off the premises, under certain conditions; without such a licence, alcohol cannot be legally sold. In recent years, many local public health teams have become proactive in engaging with alcohol licensing, encouraging licensing authorities to act in ways intended to improve population health. Objective: This research aimed to explore and understand the approaches and activities of public health stakeholders (i.e. NHS staff and other public health professionals) in seeking to influence local alcohol licensing policy and decisions, and the views of licensing stakeholders (i.e. licensing officers/managers, police staff with a licensing remit, elected members and licensing lawyers/clerks) on the acceptability and effectiveness of these approaches. Participants: Local public health teams in England and Scotland were directly informed about this multisite study. Scoping calls were conducted with interested teams to explore their level of activity in alcohol licensing from 2012 across several categories. Twenty local authority areas with public health teams active in licensing matters were recruited purposively in England (n = 14) and Scotland (n = 6) to vary by region and rurality. Fifty-three in-depth telephone interviews (28 with public health stakeholders and 25 with licensing stakeholders outside health, such as local authority licensing teams/lawyers or police) were conducted. Interview transcripts were analysed thematically in NVivo 12 (QSR International, Warrington, UK) using inductive and deductive approaches. Results: Public health stakeholders’ approaches to engagement varied, falling into three main (and sometimes overlapping) types. (1) Many public health stakeholders in England and all public health stakeholders in Scotland took a ‘challenging’ approach to influencing licensing decisions and policies. Reducing health harms was felt to necessitate a focus on reducing availability and generating longerterm culture change, citing international evidence on the links between availability and alcohol-related harms. Some of these stakeholders viewed this as being a narrow, ‘nanny state’ approach, whereas others welcomed public health expertise and its evidence-based approach and input. (2) Some public health stakeholders favoured a more passive, ‘supportive’ approach, with some reporting that reducing availability was unachievable. They reported that, within the constraints of current licensing systems, alcohol availability may be contained (at least in theory) but cannot be reduced, because existing businesses cannot be closed on availability grounds. In this ‘supportive’ approach, public health stakeholders supplied licensing teams with data on request or waited for guidance from licensing teams on when and how to get involved. Therefore, public health action supported the licensing team in their aim of promoting ‘safe’ and ‘responsible’ retailing of alcohol and/or focused on short-term outcomes other than health, such as crime. (3) Some public health stakeholders favoured a ‘collaborative’ approach in which they worked in close partnership with licensing teams; this could include a focus on containing availability or responsible retail of alcohol, or both. Conclusions: In engaging with alcohol licensing, public health stakeholders adapted their approaches, sometimes resulting in a diminished focus on public health goals. Sampling did not include loweractivity areas, in which experiences might differ. The extent to which current licensing systems enable achievement of public health goals is questionable and the effectiveness of public health efforts merits quantitative evaluation. Study registration: The study is registered with the Research Registry as researchregistry6162. Funding: This project was funded by the National Institute for Health and Care Research (NIHR) Public Health Research programme and will be published in Public Health Research. See the NIHR Journals Library website for further project information