Search Results (3)

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due to Paretian tails. Second, the return processes of very long-lived outliers exhibit long-term memories with Hurst exponents that significantly exceed one half on average. Third, sample-split tests reveal that the memory on average has virtually not changed over time—that is, survivor stocks do not forget. Fourth, and last, the long-term memory of survivor stocks appears to be unrelated to their exposures to traditional asset pricing risk factors. Full article

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index $1<\alpha <2$ are used for assessing the appropriateness of the stable assumption as the innovations process in stable-GARCH-type models for daily stock returns. Overall, there is strong evidence against the stable as the correct innovations assumption for all stocks and time periods, though for many stocks and windows of data, the stable hypothesis is not rejected. Full article

Water bodies are ubiquitous features in Arctic wetlands. Ponds, i.e., waters with a surface area smaller than 104 m2, have been recognized as hotspots of biological activity and greenhouse gas emissions but are not well inventoried. This study aimed to identify common characteristics of three Arctic wetlands including water body size and abundance for different spatial resolutions, and the potential of Landsat-5 TM satellite data to show the subpixel fraction of water cover (SWC) via the surface albedo. Water bodies were mapped using optical and radar satellite data with resolutions of 4mor better, Landsat-5 TM at 30mand the MODIS water mask (MOD44W) at 250m resolution. Study sites showed similar properties regarding water body distributions and scaling issues. Abundance-size distributions showed a curved pattern on a log-log scale with a flattened lower tail and an upper tail that appeared Paretian. Ponds represented 95% of the total water body number. Total number of water bodies decreased with coarser spatial resolutions. However, clusters of small water bodies were merged into single larger water bodies leading to local overestimation of water surface area. To assess the uncertainty of coarse-scale products, both surface water fraction and the water body size distribution should therefore be considered. Using Landsat surface albedo to estimate SWC across different terrain types including polygonal terrain and drained thermokarst basins proved to be a robust approach. However, the albedo–SWC relationship is site specific and needs to be tested in other Arctic regions. These findings present a baseline to better represent small water bodies of Arctic wet tundra environments in regional as well as global ecosystem and climate models. Full article