Spatial GARCH: A Spatial Approach to Multivariate Volatility Modeling

Benthic invertebrate communities were investigated as part of the federal Environmental Effects Monitoring programs conducted as required by the amended Pulp and Paper Effluent Regulations (PPER) of the federal Fisheries Act. A Refiner Mechanical (RMP) and larger Kraft pulpmill, both situated on a northern, BC reservoir, discharge secondary-treated effluent within 5 km of each other. Efforts to independently distinguish potential effects associated with these individual discharges were complicated by the proximity of the diffusers, their location within a complex ecological region of a reservoir, and the presence of temporal and spatial confounding influences. A comprehensive examination of the benthic community structure involved the combined assessment of several endpoints (total population numbers, relative proportion of taxonomic groups, and species richness). A tiered, spatial approach, based on a reservoir ecological model (Thornton et al., 1981), was adapted to assess and distinguish community structures and reservoir- and mill-related influences. Results suggested that effects associated with the two different mills could be distinguished based on subtle and distinct differences in benthic community profiles.

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Regional characteristics of the gender employment gap: A spatio-temporal approach

The Economic and Labour Relations Review ◽

10.1177/10353046211023242 ◽

2021 ◽

pp. 103530462110232

Author(s):

Jorge Chica-Olmo ◽

Marina Checa-Olivas ◽

Fernando Lopez-Castellano

Keyword(s):

Gender Gap ◽

Spillover Effect ◽

Jel Codes ◽

Labour Relations ◽

Socioeconomic Characteristics ◽

Regional Characteristics ◽

Spatial Approach ◽

Employment Gap ◽

Diffusion Mechanisms ◽

Spatio Temporal

There is a substantial body of research that recognises the importance of analysing regional characteristics in employment and labour relations that occur in a given geographical context. However, this phenomenon has been scarcely studied from a spatial approach. This article uses a spatio-temporal panel data model to examine the spatial interactions between the gender employment gap and, some labour and socioeconomic characteristics of 727 municipalities of Andalusia, Spain, for the period 2012–2016. The results show that due to spatial diffusion mechanisms, a spatial spillover effect occurs in both the gender gap in employment and in some of the labour and socioeconomic characteristics considered. These findings may be extended to other geographic areas and can be of use for the implementation of regional policies aimed at narrowing the gender employment gap. JEL Codes: R10, J16, E24

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COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

Financial Innovation ◽

10.1186/s40854-021-00253-1 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Afees A. Salisu ◽

Kingsley Obiora

Keyword(s):

Crude Oil ◽

Structural Breaks ◽

Exchange Traded Funds ◽

Modeling Framework ◽

Risk Hedging ◽

Financial Innovations ◽

Oil Market ◽

Price Series ◽

Hedging Effectiveness ◽

Multivariate Volatility

AbstractThis study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies. We employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging ratios. Results show evidence of hedging effectiveness for the financial innovations against oil market risks, with higher hedging performance observed during the pandemic. Overall, we show that sectoral financial innovations provide resilient investment options. Therefore, we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns, especially in similar financial crisis as witnessed during the pandemic. In essence, our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment decisions. Moreover, by exploring the role of structural breaks in the multivariate volatility framework, our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.

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