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The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on short- and long-term asset returns, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.
In this paper, we calculate a transaction–based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box–Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01–1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio. JEL C43, C51, O18, R20.
In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisalbased real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this paper offers an extensive investigation into the distribution of German real estate returns and compares them with and U.S. and U.K. data in the same period. Furthermore, the comovements with bonds and stocks are also examined. In the core, the distributional characteristics for German real estate are comparable to that for the U.S. and U.K.
Funded by the German Ministry for Education and Research (BMBF) a major research project called MiKlip (Mittelfristige Klimaprognose, Decadal Climate Prediction) was launched and global as well as regional predictive ensemble hindcasts have been generated. The aim of the project is to demonstrate for past climate change whether predictive models have the capability of predicting climate on time scales of decades. This includes the development of a decadal forecast system, on the one hand to support decision making for economy, politics and society for decadal time spans. On the other hand, the scientific aspect is to explore the feasibility and prospects of global and regional forecasts on decadal time scales. The focus of this paper lies on the description of the regional hindcast ensemble for Europe generated by COSMO-CLM and on the assessment of the decadal variability and predictability against observations. To measure decadal variability we remove the long term bias as well as the long term linear trend from the data. Further, we applied low pass filters to the original data to separate the decadal climate signal from high frequency noise. The decadal variability and predictability assessment is applied to temperature and precipitation data for the summer and winter half-year averages/sums. The best results have been found for the prediction of decadal temperature anomalies, i.e. we have detected a distinct predictive skill and reasonable reliability. Hence it is possible to predict regional temperature variability on decadal timescales, However, the situation is less satisfactory for precipitation. Here we have found regions showing good predictability, but also regions without any predictive skill.
The prediction of climate on time scales of years to decades is attracting the interest of both climate researchers and stakeholders. The German Ministry for Education and Research (BMBF) has launched a major research programme on decadal climate prediction called MiKlip (Mittelfristige Klimaprognosen, Decadal Climate Prediction) in order to investigate the prediction potential of global and regional climate models (RCMs). In this paper we describe a regional predictive hindcast ensemble, its validation, and the added value of regional downscaling. Global predictions are obtained from an ensemble of simulations by the MPI-ESM-LR model (baseline 0 runs), which were downscaled for Europe using the COSMO-CLM regional model. Decadal hindcasts were produced for the 5 decades starting in 1961 until 2001. Observations were taken from the E-OBS data set. To identify decadal variability and predictability, we removed the long-term mean, as well as the long-term linear trend from the data. We split the resulting anomaly time series into two parts, the first including lead times of 1–5 years, reflecting the skill which originates mainly from the initialisation, and the second including lead times from 6–10 years, which are more related to the representation of low frequency climate variability and the effects of external forcing. We investigated temperature averages and precipitation sums for the summer and winter half-year. Skill assessment was based on correlation coefficient and reliability. We found that regional downscaling preserves, but mostly does not improve the skill and the reliability of the global predictions for summer half-year temperature anomalies. In contrast, regionalisation improves global decadal predictions of half-year precipitation sums in most parts of Europe. The added value results from an increased predictive skill on grid-point basis together with an improvement of the ensemble spread, i.e. the reliability.
Measurement of electrons from heavy-flavour hadron decays in p–Pb collisions at √sNN = 5.02 TeV
(2015)
The production of electrons from heavy-flavour hadron decays was measured as a function of transverse momentum (pT) in minimum-bias p–Pb collisions at √sNN = 5.02 TeV using the ALICE detector at the LHC. The measurement covers the pT interval 0.5 < pT < 12 GeV/c and the rapidity range −1.065 < ycms < 0.135 in the centre-of-mass reference frame. The contribution of electrons from background sources was subtracted using an invariant mass approach. The nuclear modification factor RpPb was calculated by comparing the pT-differential invariant cross section in p–Pb collisions to a pp reference at the same centre-of-mass energy, which was obtained by interpolating measurements at √s = 2.76 TeV and √s = 7 TeV. The RpPb is consistent with unity within uncertainties of about 25%, which become larger for pT below 1 GeV/c. The measurement shows that heavy-flavour production is consistent with binary scaling, so that a suppression in the high-pT yield in Pb–Pb collisions has to be attributed to effects induced by the hot medium produced in the final state. The data in p–Pb collisions are described by recent model calculations that include cold nuclear matter effects.
Under certain conditions, secondary organic aerosol (SOA) particles can exist in the atmosphere in an amorphous solid or semi-solid state. To determine their relevance to processes such as ice nucleation or chemistry occurring within particles requires knowledge of the temperature and relative humidity (RH) range for SOA to exist in these states. In the CLOUD experiment at CERN, we deployed a new in-situ optical method to detect the viscosity of α-pinene SOA particles and measured their transition from the amorphous viscous to liquid state. The method is based on the depolarising properties of laboratory-produced non-spherical SOA particles and their transformation to non-depolarising spherical liquid particles during deliquescence. We found that particles formed and grown in the chamber developed an asymmetric shape through coagulation. A transition to spherical shape was observed as the RH was increased to between 35 % at −10 ◦C and 80 % at −38 ◦C, confirming previous calculations of the viscosity transition conditions. Consequently, α-pinene SOA particles exist in a viscous state over a wide range of ambient conditions, including the cirrus region of the free troposphere. This has implications for the physical, chemical and ice-nucleation properties of SOA and SOA-coated particles in the atmosphere.
We present measurements of the azimuthal dependence of charged jet production in central and semi-central √sNN=2.76 TeV Pb–Pb collisions with respect to the second harmonic event plane, quantified as v2ch jet. Jet finding is performed employing the anti-kT algorithm with a resolution parameter R=0.2 using charged tracks from the ALICE tracking system. The contribution of the azimuthal anisotropy of the underlying event is taken into account event-by-event. The remaining (statistical) region-to-region fluctuations are removed on an ensemble basis by unfolding the jet spectra for different event plane orientations independently. Significant non-zero v2ch jet is observed in semi-central collisions (30–50% centrality) for 20<pTch jet<90 GeV/c. The azimuthal dependence of the charged jet production is similar to the dependence observed for jets comprising both charged and neutral fragments, and compatible with measurements of the v2 of single charged particles at high pT. Good agreement between the data and predictions from JEWEL, an event generator simulating parton shower evolution in the presence of a dense QCD medium, is found in semi-central collisions.
The pseudorapidity (η) and transverse-momentum (pT) distributions of charged particles produced in proton–proton collisions are measured at the centre-of-mass energy √s=13 TeV. The pseudorapidity distribution in |η|<1.8 is reported for inelastic events and for events with at least one charged particle in |η|<1. The pseudorapidity density of charged particles produced in the pseudorapidity region |η|<0.5 is 5.31±0.18 and 6.46±0.19 for the two event classes, respectively. The transverse-momentum distribution of charged particles is measured in the range 0.15<pT<20 GeV/c and |η|<0.8 for events with at least one charged particle in |η|<1. The evolution of the transverse momentum spectra of charged particles is also investigated as a function of event multiplicity. The results are compared with calculations from PYTHIA and EPOS Monte Carlo generators.
The production of K∗(892)0 and ϕ(1020) mesons has been measured in p–Pb collisions at √sNN = 5.02 TeV. K∗0 and ϕ are reconstructed via their decay into charged hadrons with the ALICE detector in the rapidity range - 0.5 < y < 0. The transverse momentum spectra, measured as a function of the multiplicity, have a pT range from 0 to 15 GeV/c for K∗0 and from 0.3 to 21 GeV/c for ϕ. Integrated yields, mean transverse momenta and particle ratios are reported and compared with results in pp collisions at √s = 7 TeV and Pb–Pb collisions at √sNN = 2.76 TeV. In Pb–Pb and p–Pb collisions, K∗0 and ϕ probe the hadronic phase of the system and contribute to the study of particle formation mechanisms by comparison with other identified hadrons. For this purpose, the mean transverse momenta and the differential proton-to-ϕ ratio are discussed as a function of the multiplicity of the event. The short-lived K∗0 is measured to investigate re-scattering effects, believed to be related to the size of the system and to the lifetime of the hadronic phase.