Response speeds of direct and securitized real estate to shocks in the fundamentals

This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United States. To avoid the potential influence of different property mixes and of leverage on the dynamics, we use sector level data and deleveraged NAREIT returns. The findings indicate that REIT returns lead direct real estate returns even when catering for the property type and for leverage. Our estimations suggest that this lead-lag relationship is due to the sluggish reaction of direct real estate prices to unexpected changes both in the fundamentals and in REIT prices. The findings further suggest that the perceived lead-lag relations are not only due to the slow adjustment of sellers' reservation prices, but also due to the sluggish reaction of demand in the direct real estate market.Vector Autoregressive Models, Generalized Impulse Response Functions, Direct Real Estate, Securitized Real Estate, Dynamics

f(R)f(R) quantum cosmology: avoiding the Big Rip

Extended theories of gravity have gathered a lot of attention over the last years, for they not only provide an excellent framework to describe the inflationary era but also yields an alternative to the elusive and mysterious dark energy. Among the different extended theories of gravity, on this work we focus on metric $f(R)$ theories. In addition, it is well known that if the late-time acceleration of the universe is stronger than the one induced by a cosmological constant then some future cosmic singularities might arise, being the Big Rip the most virulent one. Following this reasoning, on this work, we analyse the Big Rip singularity in the framework of $f(R)$ quantum geometrodynamics. Invoking the DeWitt criterium, i. e. that the wave function vanishes at the classical singularity, we proof that a class of solutions to the Wheeler-DeWitt equation fulfilling this condition can be found. Therefore, this result hints towards the avoidance of the Big Rip in metric $f(R)$ theories of gravity.Comment: V1:13 pages. Dedicated to the memory of Prof. Pedro F. Gonzalez-Diaz (our former PhD supervisor). V2: 9 pages (new style), minor clarifications included, no physics changes, 6 references added. Version accepted for publication in Physical Review

Are Securitized Real Estate Returns more Predictable than Stock Returns?

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as such analyses may bias the results. We use a time series approach and thus create a level playing field to compare the predictability of the two asset classes. Forecasts are performed with ARMA and ARMA-EGARCH models and evaluated by comparing the entire empirical distributions of prediction errors, as well as with a trading strategy. The results, based on daily data for the 1990-2007 period, show that securitized real estate returns are generally more predictable than stock returns in countries with mature and well established REIT regimes. ARMA-EGARCH models are found to have portfolio outperformance potential even in the presence of transaction costs, with generally better results for securitized real estate than for stock

Fractional Cointegration Analysis of Securitized Real Estate

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such relationships are characterized by long memory (long-range dependence), short memory (short-range dependence), mean reversion (no long-run effects) or no mean reversion (no long-run equilibrium). The forecasting implications are also considered. Empirical analyses are conducted using data for the U.S., the U.K., and Australia. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such relationships are mainly characterized by short memory although long memory is sometimes present. The use of fractional cointegration for forecasting purposes proves particularly useful since the start of the financial crisi

Spatial productivity spillovers across Spanish municipalities

Whilst a great deal of e¤ort has been dedicated to identification of agglomeration effects on labour productivity, the measurement of spatial productivity spillovers is a question that has been addressed only occasionally along the New Economic Geography literature. We estimate agglomeration effects, nonetheless conditioned to the possible existence of spatial productivity spillovers across Spanish municipalities in year 2001. To this respect, we find that agglomeration effects are in the same order of magnitude than thoseencountered when measured in the standard way. Further, these agglomeration efects coexist with very strong spatial productivity spillovers in a close neighbourhood of 10 km. Finally, these spatial e¤ects are shown to quickly diminish as distance increases.IV estimation, elevation, spatial externalities, productivity, neighbourhood, Spain

The European Map of Job Flows

The European Map of Job Flows (EMJF) is a term used to denote a dataset of meso- and macro-level variables describing different aspect of labour mobility within national labour markets in Europe. In this paper, EMJF is centred on the notion of job “flows”, namely the changes in the level of employment at different breakdowns and levels of aggregation. EMJF is very rich in information content due to the wide variety of possible breakdown of the data and in this sense it is a “map” mostly in the virtual sense, namely, that it is not possible to visualise in the form of geographic maps all the wealth of available information. In terms of its value as a research product and tool, EMJF is mostly an intermediate product in the sense that it is a convenient means to organise the relevant information, which could subsequently be used for different analytical and research purposes. It provides both for cross-sections/snapshots of job flows at different point in time but also it allows their assessment and analysis over longer periods of time. In this sense, EMJF can be widely used for various types of labour-market analysis and research. EMJF’s visual components can also be a convenient tool for policy makers dealing with labour market policies at different level (regional, national or supra-national) in the decision-making process. Here we present a Compilation of a EMJF on the basis of firm-level data In this sense the job flows are built up on the basis of firm-level data for individual countries, following a common methodology. We adopt an approach of establishing such a EMJF on the basis of the AMADEUS dataset developed by the consultancy Bureau van Dijk. The dataset in its most extended version contains balance sheet data and ownership data for almost 14 million firms from 43 different European countries (September 2009 update). For many EU countries the dataset has in principle access to the entire universe of firms which have to report a balance sheet. In terms of countries, the geographic coverage of AMADEUS encompasses information for all the 27 members of the European Union (albeit with different qualities in terms of national coverage) as well as other 16 European countries that complete the geographical and political definition of the continent. Another interesting feature of the database is given by the detailed definition of a firm's location, with data available on the region (NUTS2) and the city in which the firm operates. This project deliverable presents the main results from the final stage of MICRO-DYN work on the EMJF. It discusses the approach to building the EMJF on the basis of AMADEUS data and illustrates the analytical potential of the EMJF as a research tool with a range of Europe-wide analytical exercises. Probably the most important outcome of this research effort is the demonstrated capability to perform meta-analysis at the European level of important labour market characteristics on the basis of firm-level data.job flows, europe, labor market, microdata

EAGLE—A Scalable Query Processing Engine for Linked Sensor Data

Recently, many approaches have been proposed to manage sensor data using semantic web technologies for effective heterogeneous data integration. However, our empirical observations revealed that these solutions primarily focused on semantic relationships and unfortunately paid less attention to spatio–temporal correlations. Most semantic approaches do not have spatio–temporal support. Some of them have attempted to provide full spatio–temporal support, but have poor performance for complex spatio–temporal aggregate queries. In addition, while the volume of sensor data is rapidly growing, the challenge of querying and managing the massive volumes of data generated by sensing devices still remains unsolved. In this article, we introduce EAGLE, a spatio–temporal query engine for querying sensor data based on the linked data model. The ultimate goal of EAGLE is to provide an elastic and scalable system which allows fast searching and analysis with respect to the relationships of space, time and semantics in sensor data. We also extend SPARQL with a set of new query operators in order to support spatio–temporal computing in the linked sensor data context.EC/H2020/732679/EU/ACTivating InnoVative IoT smart living environments for AGEing well/ACTIVAGEEC/H2020/661180/EU/A Scalable and Elastic Platform for Near-Realtime Analytics for The Graph of Everything/SMARTE

Novel Ruthenium-Silver PTA-Based Polymers and Their Behavior in Water

New coordination polymers based on two metal-containing moieties Ru–Ag are synthesized: Na[RuCpX(PTA)-μ-(PTA)-1κP:2κ2N-AgX2]∞ (X = Cl (1), Br (2), I (3)). Characterization is performed by NMR, UV-visible and FT-IR spectroscopy, optical-electron microscopy, and elemental analyses (C, H, N, S). Light scattering is employed to characterize the colloidal particles growth by polymer self-assembling. These structures are stable over a broad range of pH and exhibit thermally-driven swelling, thus resembling a typical thermosensitive hydrogel