Short-Run Links in Ecological Footprint: A Dynamic Factor Analysis for the EU

The Ecological Footprint (EFP) is a useful indicator for assessing the progress of environmental performance and offers a solid basis for sustainability studies. In this paper, we contribute to the broadening of its possibilities of investigation by measuring the cross-country links in the EFP in global hectares per capita. The modeling framework is based on the dynamic factor analysis to estimate, in the parametric form, an index that provides information about the short-run dynamics of the EFP in the EU. Following this approach, we identify different patterns in the EFP behavior of the European countries during the period of 1962–2017. The results show stronger links across the EFP of the main European countries: France, Austria, Belgium, Germany, Denmark and the U.K. The proposed analysis gives a better understanding of the links behind environmental degradation in the EU and is applicable for the implementation and design of environmental policies.

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary.

The Role of Environmental Background Processes in Determining Groundwater Level Variability—An Investigation of a Record Flood Event Using Dynamic Factor Analysis

Since groundwater is a major source of water for drinking and for industrial and irrigation uses, the identification of the environmental processes determining groundwater level fluctuation is potentially a matter of great consequence, especially in light of the fact that the frequency of extreme climate events may be expected to increase, causing changes in groundwater recharge systems. In the recent study, data measured at a frequency of one hour were collected from the Szigetköz, an inland delta of the Danube. These were then used to determine the presence, or not, and magnitude of any hidden environmental background factors that may be causing groundwater level fluctuations. Through the application of dynamic factor analysis, it was revealed that changes in groundwater level are mainly determined by (i) the water level of neighboring rivers and (ii) evapotranspiration. The intensity of these factors may also be estimated spatially. If the background factors determined by dynamic factor analysis do indeed figure in the linear model as variables, then the time series of groundwater levels can be said to have been accurately estimated with the use of linear regression. The accuracy of the estimate is indicated by the fact that adjusted coefficient of determination exceeds 0.9 in 80% of the wells. The results, via an enhanced understanding of the reasons for changes in the fluctuation of groundwater, could assist in the development of sustainable water management and irrigation strategies and the preparation for varying potential climate change scenarios.

Distribution and spatio-temporal biomass trends of red mullets across the Mediterranean

The present work examines the spatio-temporal biomass trends of Mullus barbatus and Mullus surmuletus in the Mediterranean Sea through the analysis of a time series of data coming from the Mediterranean International Trawl Surveys (MEDITS), accomplished annually from 1994 to 2015. The biomass of both species showed clear declining trends below 150 to 200 m depth, which were steeper in the case of M. barbatus. Increases in temporal biomass trends were observed for M. barbatus from 2008 onward in most geographic sub-areas (GSAs), while stability was mostly observed for M. surmuletus. For both species, dynamic factor analysis revealed similarities among neighbouring GSAs and the subsequent cluster analysis identified two major GSA groups corresponding to the eastern and western basins of the Mediterranean. Overall, the results suggested that the combined effects of fishing and environmental conditions determine species abundance variations, but the relative importance of each component may vary among areas.