Refined Inference on Long Memory in Realized Volatility

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about d by higher order theory. Standard asymptotic theory has an O(n^-1/2) error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of o(n^-1/2). The new formula is independent of unknown parameters, is simple to calculate and user-friendly. The method is applied to test whether the reported long memory parameter estimates of Andersen et al. (2001) and Martens et al. (2004) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory, and generally confirms earlier findings.     

Wer das Stabilisieren vergisst: Warum eine schöne Abschlusspräsentation noch kein gutes Ende bedeutet

Many organizational change projects fail — despite a well thought out concept, professional project management and a binding implementation timetable. The reason why the expected success doesn’t materialize often lies with the missing maintenance. Once the project is officially completed and the client and project manager withdraw, the manner in which the organization will take up these changes is seldom systematically dealt with. Difficulties often arise when no discrete stabilizing measures are planned. We have derived four central action areas which will be clarified by way of practical examples. It will also be shown what is important to pay attention to in the stabilization phase so that a lasting success of the organizational change project can be ensured.     

Consumption and Saving Behavior of Older and Younger Baby Boomers in Korea

The 1998 Korean Survey of Family Income and Expenditures was used to examine the overall consumption and saving behavior of Korean baby boomers and compared the differences in consumption and saving behavior between older and younger boomers. The t -test results indicated that the younger boomers allocated a significantly higher percentage of their expenditures on food away from home, household appliances, transportation and communication than did the older boomers, whereas the older boomers spent higher amounts and allocated larger budget shares on their children's education than did the younger boomers. The results of Ordinary Least-Squares (OLS) regression analysis showed that, holding other factors constant, older boomers not only spent significantly more in the total consumption expenditures and education expenditures, but older boomers also saved significantly less than did younger boomers.     

Automobile prices and protection: The U.S.-Japan trade restraint

We examine the effects of the U.S.-Japan trade restraint on automobile prices and quality upgrading, for both Japanese imports and American small cars. From April 1981 to April 1984 the suggested retail price of all Japanese models increased by 15.8 percent, or 5.3 percent per year. We find that nearly the entire amount of this rise can be explained by the upgrading of individual models. This upgrading may benefit consumers who would purchase a luxury import in any case, but harms those who desire the basic imports. In addition to upgrading, we conclude that a second cost of the trade restraint has been to prevent the yen depreciation from being passed onto American consumers, in terms of lower imported auto prices. For U.S. small cars we find a 9.1 percent rise in the suggested retail price, or 3 percent per year, with a fraction of this amount due to model upgrading. If the yen depreciation had led to lower import prices without the trade restraint, then we expect that U.S. auto prices would have been lower, too.     

Strategic planning in smaller rapid growth companies

The research reported in this article is based on a study of the strategic planning practices of the 500 fastest growing privately held smaller companies in the United States ranked according to percentage of sales increases from 1978 to 1982.^p1 Based on the information provided, a clear picture emerges regarding the actual role of strategic planning in rapid growth companies.     

Privatization of refuse removal and labor costs

We examine the labor-cost savings associated with privatization by comparing earnings and employment trends of public and private sector refuse workers. Findings suggest that high union earnings for workers in the public sector are a source of labor-cost savings in the refuse industry. Evidence on job changers does not indicate that earnings for this group of workers are a compensating differential. Metropolitan area employment findings suggest that municipalities are less likely to use union refuse workers in the public sector when a relatively small percentage of area residents belong to a union. The authors thank Jacqueline Agesa, Keith Bender, Maria Crawford, and Richard Perlman for valuable suggestions. Research assistance from Eric Blackburn is greatly appreciated.     

Empirical Non-Parametric Control Charts: Estimation Effects and Corrections

Owing to the extreme quantiles involved, standard control charts are very sensitive to the effects of parameter estimation and non-normality. More general parametric charts have been devised to deal with the latter complication and corrections have been derived to compensate for the estimation step, both under normal and parametric models. The resulting procedures offer a satisfactory solution over a broad range of underlying distributions. However, situations do occur where even such a large model is inadequate and nothing remains but to consider non- parametric charts. In principle, these form ideal solutions, but the problem is that huge sample sizes are required for the estimation step. Otherwise the resulting stochastic error is so large that the chart is very unstable, a disadvantage that seems to outweigh the advantage of avoiding the model error from the parametric case. Here we analyse under what conditions non-parametric charts actually become feasible alternatives for their parametric counterparts. In particular, corrected versions are suggested for which a possible change point is reached at sample sizes that are markedly less huge (but still larger than the customary range). These corrections serve to control the behaviour during in-control (markedly wrong outcomes of the estimates only occur sufficiently rarely). The price for this protection will clearly be some loss of detection power during out-of-control. A change point comes in view as soon as this loss can be made sufficiently small.     

Dementia Problem Behavior and the Production of Informal Caregiving Services

Informal caregivers of individuals with Alzheimer's disease spend a considerable amount of time providing care. In this paper, we use Grossman's health production and Becker's time allocation models to develop a model of informal care provision to elderly dementia patients. In our model, time inputs produce caregiving services, which provides utility to the caregiver, but reduces leisure. We assume that time is less productive of services on the margin as the disease progresses. In this framework, an increase in patients' disease severity does not necessarily increase informal caregiver time input. The cost of formal care establishes a reservation price for informal caregiving. When the costs of informal caregiving rise above this reservation level, the patient is institutionalized. We test empirically the effect of deterioration in the patients' condition, proxied by both disease severity and dementia problem behavior, on informal caregiving time. We find that dementia-related problem behaviors and functional limitations significantly increase inputs of informal caregiving time. Patients' problem behavior exerts a modifying effect on functional limitations, and patients' comorbidities have no effect on informal caregiving time.     

Deposit Insurance,Institutions, and Bank Interest Rates

Many recent institutional reforms of the financial system have relied on the introduction of an explicit scheme of deposit insurance. This instrument aims at two main targets, contributing to systemic stability and protecting depositors. However, it may also affect the interest rate spread in the banking system, which can be viewed as an indicator of either inefficiency or market power in this financial segment. This paper provides an empirical investigation of the effect of deposit insurance and other institutional and economic variables on bank interest rates across countries. We find that deposit insurance increases the lending–deposit spread in banking. The main effect seems to arise not from the deposit side though, but from an increase in the lending rate. We interpret this result as evidence of the presence of moral hazard problems related to this instrument. We also find that higher quality of institutions is associated with lower spreads, thus contributing to eroding sources of market power in the banking sector.