Affine LIBOR models driven by real-valued affine processes

The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative, and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction that makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models, pronounced volatility smiles are possible.     

Analysing non-doctrinal socialization: re-assessing the role of cognition to account for social cohesion in the Religious Society of Friends

To incorporate newcomers into membership, a group employs socialization strategies to transform the characteristics of the newcomers, so that it can admit them with the confidence that their behaviour will not endanger group unity. Analyses of socialization emphasize that novices' interiorization of an institutional definition of group behaviour is a necessary condition to ensure successful socialization. The contemporary Religious Society of Friends in Britain, however, is a non-doctrinal religious movement that avoids defining the content of its beliefs and practices. To analyse the socializing interaction between members and newcomers in this movement in Britain, and among co-religionists in the USA, this inquiry applies a model of socialization that does not include assumptions about the role played by cognition in socialization (Long and Hadden 1983). My results show that: (a) the diffuseness in Friends' collective explanations of institutional conduct supports novices' identification with institutional practice, and (b) experimental and affective components in socialization motivate novices to imitate institutional behaviour despite the fact that Friends have no authoritative explanations of such behaviour. The data suggest that socialization and social cohesion are not necessarily as strongly cognitive-oriented phenomena as they were previously thought to be. This finding has important implications for thinking about social cohesion in postmodern society.     

Telling the other what one knows? Strategic lying in a modified acquiring-a-company experiment with two-sided private information

Theory and Decision - Lying for a strategic advantage is to be expected in commercial interactions. But would this be more or less obvious when lying could come from either party and question...     

Multiple hypothesis tests based On conditional differences in means

Many hypothesis tests are univariate tests and cannot cope with multiple hypothesis without an auxiliary procedure as e. g. the Bonferroni-Holm-procedure. At the same time, there is an urgent need for testing multiple hypothesis due to the very simple existing methods as the Bonferroni-correction or the Bonferroni-Holm-procedure, which suffers from a very small local significance level to detect statistical inferences or the drawback that logical and statistical dependencies among the test statistics are not used, whereby its detection is NP-hard. In honour of this occasion, we present a multiple hypothesis test for i.i.d. random variables based on conditional differences in means, which is capable to cope with multiple hypothesis and does not suffer on such drawbacks as the Bonferroni-correction or the Bonferroni-Holm-procedure. Thereby, the computation time can be neglected.     

L'effet des obstacles aux échanges sur l'emploi généré par les chaînes d'approvisionnement mondiales

Les auteurs étudient l'effet des obstacles aux échanges internationaux de biens et de services sur les marchés du travail des pays producteurs en partant des estimations du BIT sur l'emploi imputable aux chaînes d'approvisionnement mondiales. L'analyse empirique confirme largement les prédictions d'un modèle théorique calibré avec des données de la base WIOD (2000 et 2011). Les obstacles au commerce de produits manufacturés ou de services ont un effet transfrontalier, intrasectoriel et intersectoriel, sur l'emploi, qui reflète l'interdépendance croissante entre pays et secteurs. L'effet intersectoriel s'affirme avec le temps. Les politiques commerciales semblent donc pouvoir avoir des effets externes importants sur les marchés du travail étrangers.     

Empirical Prediction Intervals for County Population Forecasts

Population forecasts entail a significant amount of uncertainty, especially for long-range horizons and for places with small or rapidly changing populations. This uncertainty can be dealt with by presenting a range of projections or by developing statistical prediction intervals. The latter can be based on models that incorporate the stochastic nature of the forecasting process, on empirical analyses of past forecast errors, or on a combination of the two. In this article, we develop and test prediction intervals based on empirical analyses of past forecast errors for counties in the United States. Using decennial census data from 1900 to 2000, we apply trend extrapolation techniques to develop a set of county population forecasts; calculate forecast errors by comparing forecasts to subsequent census counts; and use the distribution of errors to construct empirical prediction intervals. We find that empirically-based prediction intervals provide reasonably accurate predictions of the precision of population forecasts, but provide little guidance regarding their tendency to be too high or too low. We believe the construction of empirically-based prediction intervals will help users of small-area population forecasts measure and evaluate the uncertainty inherent in population forecasts and plan more effectively for the future.     

Exploring Partial Order of European Countries

Partial Order Theory has been recently more and more employed in applied science to overcome the intrinsic disadvantage hidden in aggregation, if a multiple attribute system is available. Despite its numerous positive features, there are many practical cases where the interpretation of the partial order can be rather troublesome. In these cases the analysis of underlying dimensions could be useful to uncover particular data structures. The paper shows a way of addressing the problem with the help of an actual case study, which deals with European opinions on services of general interest. In particular, a partial order of countries is firstly provided and then a method to detect dimensions is discussed and applied. The analysis stems directly from the Partially Order Set (poset) and Lattice theory with particular references to dimension theory and Formal Concept Analysis. The study is eventually able to pinpoint role and relevance of different attributes characterizing EU countries which are used to define the partial order.

缺少的分享——喜马拉雅东部(中国云南西北部)作为“整体社会事实”的分享的仪式语言

中华人民共和国成立以前,云南西北部怒江、独龙江流域居住的独龙族、怒族等邻近族群之间存在着一种共通的"议式语言".这种仪式语言通过宗教祭祀活动以及分享杀牲后的肉食过程体现出来.在这一地域社会中,各种社会、政治和经济关系都依赖于这种仪式语言展开.虽然目前这种分享的仪式日渐式微,但分享的意识依然体现着族群内部的"社会结合"方式.通过独龙族仪式语言的个案分析,旨在与利奇关于克钦社会的"仪式语言"研究进行对话.