Central Limit Theorems for the Non‐Parametric Estimation of Time‐Changed Lévy Models

Abstract. Let {Z_t}_{t 0} be a Lévy process with Lévy measure ν and let be a random clock, where g is a non‐negative function and is an ergodic diffusion independent of Z. Time‐changed Lévy models of the form are known to incorporate several important stylized features of asset prices, such as leptokurtic distributions and volatility clustering. In this article, we prove central limit theorems for a type of estimators of the integral parameter β(?):=∫?(x)ν(dx), valid when both the sampling frequency and the observation time‐horizon of the process get larger. Our results combine the long‐run ergodic properties of the diffusion process with the short‐term ergodic properties of the Lévy process Z via central limit theorems for martingale differences. The performance of the estimators are illustrated numerically for Normal Inverse Gaussian process Z and a Cox–Ingersoll–Ross process .     

Second‐order bias‐corrected AIC in multivariate normal linear models under non‐normality

This paper deals with a bias correction of Akaike's information criterion (AIC) for selecting variables in multivariate normal linear regression models when the true distribution of observation is an unknown non‐normal distribution. It is well known that the bias of AIC is $O(1)$ , and there are a number of the first‐order bias‐corrected AICs which improve the bias to $O(n^{-1})$ , where $n$ is the sample size. A new information criterion is proposed by slightly adjusting the first‐order bias‐corrected AIC. Although the adjustment is achieved by merely using constant coefficients, the bias of the new criterion is reduced to $O(n^{-2})$ . Then, a variance of the new criterion is also improved. Through numerical experiments, we verify that our criterion is superior to others. The Canadian Journal of Statistics 39: 126–146; 2011 © 2011 Statistical Society of Canada     

An Empirical Model for Managing Quality in the Electronics Industry

Much of the empirical research in the past two decades has suggested that quality management (QM) is context dependent. This research develops an empirical QM model in a technology‐based sector—electronics manufacturing. Based on quantitative and qualitative investigations of 225 electronics firms in Hong Kong and the Pearl River Delta (PRD) region of China, a path analytic model is developed. The empirical model shows that a typical quality management system (QMS) in the electronics industry is composed of four major modules, namely leadership, cultural elements, operational support systems, and process management. These modules create a series of chain effects on organizational performance, rather than acting as parallel elements with an equal impact. By quantifying their effects on organizational performance and comparing the model to others in the literature, we identify those QM constructs that are context dependent. In electronics manufacturing, process management and customer focus are more important than other elements (e.g., cultural factors) for garnering business results. This study contributes to contingency theory and research by identifying the key constructs and their relationships in a competitive, volatile, and technology‐based industry with complex supply networks.     

Temporary Employment,Working Conditions and Expected Exits from Firms

This paper analyses two issues related to working conditions and temporary employment. First, why do temporary workers exhibit lower scores in objective indicators of working life? Second, what is the influence of working conditions on mobility? Using information for Spanish workers, the results indicate that differences in working conditions remain after controlling for individual, job and firm characteristics: in particular, temporary workers with short job tenure seem to occupy jobs with poorer working conditions. Moreover, there is evidence that workers with worse working life are more likely to expect to leave their current firms.     

Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case

We study the problem of the existence and uniqueness of solutions to the Bellman equation in the presence of unbounded returns. We introduce a new approach based both on consideration of a metric on the space of all continuous functions over the state space, and on the application of some metric fixed point theorems. With appropriate conditions we prove uniqueness of solutions with respect to the whole space of continuous functions. Furthermore, the paper provides new sufficient conditions for the existence of solutions that can be applied to fairly general models. It is also proven that the fixed point coincides with the value function and that it can be approached by successive iterations of the Bellman operator.     

PLATFORM COMPETITION IN TWO‐SIDED MARKETS

Many if not most markets with network externalities are two‐sided. To succeed, platforms in industries such as software, portals and media, payment systems and the Internet, must “get both sides of the market on board.” Accordingly, platforms devote much attention to their business model, that is, to how they court each side while making money overall. This paper builds a model of platform competition with two‐sided markets. It unveils the determinants of price allocation and end‐user surplus for different governance structures (profit‐maximizing platforms and not‐for‐profit joint undertakings), and compares the outcomes with those under an integrated monopolist and a Ramsey planner. (JEL: L5, L82, L86, L96)     

THE LENDER OF LAST RESORT: A TWENTY‐FIRST CENTURY APPROACH

The classical Bagehot conception of a Lender of Last Resort (LOLR) that lends to illiquid banks has been criticized on two grounds: On the one hand, the distinction between insolvency and illiquidity is not clear‐cut; on the other, a fully collateralized repo market allows central banks to provide the adequate aggregate amount of liquidity and leave to the banks the responsibility of lending uncollateralized. The object of this paper is to analyze these issues rigorously by providing a framework in which liquidity shocks cannot be distinguished from solvency ones and then asking whether there is a need for a LOLR and how it should operate in the absence of systemic threats. Determining the optimal LOLR policy requires a careful modeling of the structure of the interbank market and of the closure policy. In our setup, the results depend upon the existence of moral hazard. If the main source of moral hazard is the banks' lack of incentives to screen loans, then the LOLR may have to intervene to improve the efficiency of an unsecured interbank market in crisis periods; if instead the main source of moral hazard is loan monitoring, then the interbank market should be secured and the LOLR should never intervene. (JEL: E58, 628)     

The Measurement of Intellectual Influence

This paper examines the problem of measuring intellectual influence based on data on citations between scholarly publications. We follow an axiomatic approach and find that the properties of invariance to reference intensity, weak homogeneity, weak consistency, and invariance to splitting of journals characterize a unique ranking method. This method is different from those regularly used in economics and other social sciences.     

A Dynamic Theory of Holdup

The holdup problem arises when parties negotiate to divide the surplus generated by their relationship specific investments. We study this problem in a dynamic model of bargaining and investment which, unlike the stylized static model, allows the parties to continue to invest until they agree on the terms of trade. The investment dynamics overturns the conventional wisdom dramatically. First, the holdup problem need not entail underinvestment when the parties are sufficiently patient. Second, inefficiencies can arise unambiguously in some cases, but they are not caused by the sharing of surplus per se but rather by a failure of an individual rationality constraint.     

Bringing Carl Rogers Back In: Exploring the Power of Positive Regard at Work

We draw on Carl Rogers’ client‐centred therapy theory and the theoretical lens of positive work relationships to explain why and how positive regard can be a powerful source for the development of employees’ sense of vitality, job performance and organizational citizenship behaviours (OCBs). We theorize that when employees experience relationships characterized by a high level of regard with their co‐workers they are likely to develop a sense of vitality, which in turn results in enhanced job performance and OCBs. These relationships are examined in both experimental and field studies. The results of these multiple studies provide general support for the power of positive regard in augmenting a sense of vitality and enhancing both job performance and citizenship behaviours.