Do fat tails matter in GARCH estimation? Testing market efficiency in two transition economies

The use of the GARCH-class of models is commonplace when examining stockmarket returns. In this paper we use data on stock markets in two transitioneconomies, the Czech Republic and Romania, to demonstrate the importance ofusing the correct GARCH specification. When residuals are characterised by ‘fattails’ or kurtosis, the use of a GARCH-t specification is appropriate. Diagnostictests suggest that the GARCH-t specification is appropriate for modelling stockmarket returns in Romania, whilst the standard GARCH specification is adequatefor the Czech Republic. Using a standard GARCH specification leads torejection of the null hypothesis of market efficiency in Romania, whereas thisnull hypothesis cannot be rejected using the GARCH-t specification. The nullhypothesis of efficiency cannot be rejected in the Czech Republic using eitherspecification. Thus, we find that the presence of ‘fat tails’ can have importantimplications for inference in the analysis of stock market returns

Monopoly rents and price fixing in betting markets

Betting markets provide an ideal environment in which to examine monopoly power due to the availability of detailed information on product pricing. In this paper we argue that the pricing strategies of companies in the UK betting industry are likely to be an important source of monopoly rents, particularly in the market for forecast bets. Pricing in these markets are shown to be explicitly coordinated. Further, price information is asymmetrically biased in favor of producers. We find evidence, based on UK data, that pricing of CSF bets is characterized by a significantly higher markup than pricing of single bets. Although this differential can in part be explained by the preferences of bettors, it is reasonable to attribute a significant part of the differential as being due to monopoly power

A policy response to the e-commerce revolution: the case of betting taxation in the UK

Several environmental changes in the 1990s – including the introduction of a national lottery, the rise of Internet gambling, and the reduction of trade barriers within the EU – induced the UK government to initiate a large-scale review of betting duty. As a result of this review, the government recently announced a significant reduction in betting taxes. They also decided to replace the current general betting duty (GBD), levied as a proportion of betting stakes, with a gross profits tax (GPT), based on the net revenue of bookmakers. We examine the economic rationale behind these decisions and demonstrate how these tax changes have broad implications regarding optimal levels of taxation for other sources of government revenue

The abortion-crime link: evidence from England and Wales

We use panel data from 1983 to 1997 for the 42 police force areas in England and Wales to test the hypothesis that legalizing abortion contributes to lower crime rates. We provide an advance on previous work by focusing on the impact of possible endogeneity of effective abortion rates with respect to crime. Our use of U.K. data allows us to exploit regional differences in the provision of free abortions to identify abortion rates. When we use a similar model and estimation methodology, we are able to replicate the negative association between abortion rates and reported crime found by Donohue and Levitt for the U.S. However, when we allow for the potential endogeneity of effective abortion rates with respect to crime, we find no clear connection between the two.

An evaluation of the USDA ESAP program for converting EM data to electrical conductivity at Goodale Research Farm using a GEM2 and an EM38

Non-Peer Reviewe

Shear bands and cracking of metallic glass plates in bending

The thickness dependence of yielding and fracture of metallic glass plates subjected to bending is considered in terms of the shear band processes responsible for these properties. We argue that the shear band spacing (and length) scales with the thickness of the plate because of strain relaxation in the vicinity of the shear band at the surface. This is consistent with recent measurements of shear band spacing versus sample size. We also argue that the shear displacements in the shear band scale with the shear band length and plate thickness, thus causing cracks to be initiated in thicker plates at smaller bending strains. This leads to fracture bending strains that decrease markedly with increasing plate thickness, consistent with recent experiments. These results suggest that amorphous metals in the form of foams might have superior ductility and toughness

Re-evaluation of the first synthetic estrogen, 1-keto-1,2,3,4-tetrahydrophenanthrene, and bisphenol A, using both the ovariectomised rat model used in 1933 and additional assays

1-Keto-1,2,3,4-tetrahydrophenanthrene (THP-1) was reported by Cook et al in 1933 as the first synthetic estrogen. Estrogenic activity was assessed by the induction of vaginal cornification in ovariectomised rats. The corresponding 4-isomer (THP-4) was shown to be inactive. Both chemicals have been re-synthesised and assessed for hormonal activity. Each chemical bound weakly and to the same extent to isolated estrogen receptors, but only at high concentrations. However, they each lacked estrogenic or anti-estrogenic activity when evaluated in vitro using a yeast hER assay, and both failed to induce vaginal cornification or uterotrophic effects in ovariectomised rats. THP-1, and to a lesser extent THP-4, were shown to possess weak androgenic and anti-androgenic activity in vitro when evaluated using an hAR yeast assay. Estrogenic activity for bisphenol A (BPA) was subsequently demonstrated by Dodds and Lawson (1936) using the same ovariectomised rat protocol, and this activity has been confirmed and supplemented by positive uterotrophic effects for BPA in the same bioassays. The present results illustrate the complexity of deriving conclusions regarding the hormonal activities of chemicals. First, some activities observed in isolated hormonal receptor binding assays may not be expressed in functional hormonal assays. This indicates the need for functional hormonal assays in any screening programme. Second, that activities observed for a chemical in one hormonal assay may not be reflected in related hormonal assays. This indicates the need to define assay protocols with some precision when incorporating them into screening batteries. Finally, that some literature reports of hormonal activity for chemicals may not be capable of independent confirmation under apparently identical conditions of test. This illustrates the need to use lists of hormonally active chemicals with car

Development of primary invasive pneumococcal disease caused by serotype 1 pneumococci is driven by early increased type I interferon response in the lung

The pneumococcus is the world's foremost respiratory pathogen, but the mechanisms allowing this pathogen to proceed from initial asymptomatic colonization to invasive disease are poorly understood. We have examined the early stages of invasive pneumococcal disease (IPD) by comparing host transcriptional responses to an invasive strain and a noninvasive strain of serotype 1 Streptococcus pneumoniae in the mouse lung. While the two strains were present in equal numbers in the lung 6 h after intranasal challenge, only the invasive strain (strain 1861) had invaded the pleural cavity at that time point; this correlated with subsequent development of bacteremia in mice challenged with strain 1861 but not the noninvasive strain (strain 1). Progression beyond the lung was associated with stronger induction of the type I interferon (IFN-I) response in the lung at 6 h. Suppression of the IFN-I response through administration of neutralizing antibody to IFNAR1 (the receptor for type I interferons) led to significantly reduced invasion of the pleural cavity by strain 1861 at 6 h postchallenge. Our data suggest that strong induction of the IFN-I response is a key factor in early progression of invasive serotype 1 strain 1861 beyond the lung during development of IPD