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

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

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

Epicatechin induces NF-kappa B, activator rotein-1 (AP-1) and nuclear transcription factor erythroid 2p45-related factor-2 (Nrf2) via phosphatidylinositol-3-kinase/protein kinase B (PI3K/AKT) and extracellular regulated kinase (ERK) signalling in HepG2 cells

The dietary flavonoid epicatechin has been reported to exhibit a wide range of biological activities. The objective of the present study was to investigate the time-dependent regulation by epicatechin on the activity of the main transcription factors (NF-kappa B, activator protein-1 (AP-1) and nuclear transcription factor erythroid 2p45-related factor (Nrf2)) related to antioxidant defence and survival and proliferation pathways in HepG2 cells. Treatment of cells with 10 mu M-epicatechin induced the NF-kappa B pathway in a time-dependent manner characterised by increased levels Of I kappa B kinase (IKK) and phosphorylated inhibitor Of kappa B subunit-a (p-I kappa B alpha) and proteolytic degradation Of I kappa B, which was consistent with an up-regulation of the NF-kappa B-binding activity. Time-dependent activation of the AP-1 pathway, in concert with enhanced c-Jun nuclear levels and induction of Nrf2 translocation and phosphorylation were also demonstrated. Additionally, epicatechin-induced NF-kappa B and Nrf2 were connected to reactive oxygen species intracellular levels and to the activation of cell survival and proliferation pathways, being phosphatidylinositol-3-kinase/protein kinase B (PI3K/AKT) and extracellular regulated kinase (ERK) associated to Nrf2 modulation and ERK to NF-kappa B induction. These data suggest that the epicatechin-induced survival effect occurs by the induction of redox-sensitive transcription factors through a tight regulation of survival and proliferation pathways

Quantum approach to a Bianchi I singularity

The approach of a quantum state to a cosmological singularity is studied through the evolution of its moments in a simple version of a Bianchi I model. In spite of the simplicity, the model exhibits several instructive and unexpected features of the moments. They are investigated here both analytically and numerically in an approximation in which anisotropy is assumed to vary slowly, while numerical methods are also used to analyze the case of a rapidly evolving anisotropy. Physical conclusions are drawn mainly regarding two questions. First, quantum uncertainty of anisotropies does not necessarily eliminate the existence of isotropic solutions, with potential implications for the interpretation of minisuperspace truncations as well as structure-formation scenarios in the early universe. Secondly, back-reaction of moments on basic expectation values is found to delay the approach to the classical singularity.Comment: minor changes, version accepted for publicatio

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