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 .     

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)     

La flexibilité, une arme contre le chômage? Analyse empirique du marché du travail espagnol

L'Espagne a connu en 2010 et 2012 deux réformes majeures du marché du travail. Celles-ci reposaient sur l'idée qu'il suffisait d'accroître la flexibilité du travail et de décentraliser la négociation collective pour faire baisser le chômage (thèse de la flexibilité). Les auteurs estiment pour leur part que le comportement du chômage dépend largement de la demande et de la structure sectorielle de l'économie (thèse structurelle). Ils évaluent l'apport de ces deux hypothèses dans une analyse reposant sur des données de panel de niveau infranational. Leurs résultats tendent à infirmer la thèse de la flexibilité et font ressortir le rôle primordial des facteurs cycliques et structurels.     

‘The whole is always smaller than its parts’ – a digital test of Gabriel Tardes' monads

In this paper we argue that the new availability of digital data sets allows one to revisit Gabriel Tarde's (1843–1904) social theory that entirely dispensed with using notions such as individual or society. Our argument is that when it was impossible, cumbersome or simply slow to assemble and to navigate through the masses of information on particular items, it made sense to treat data about social connections by defining two levels: one for the element, the other for the aggregates. But once we have the experience of following individuals through their connections (which is often the case with profiles) it might be more rewarding to begin navigating datasets without making the distinction between the level of individual component and that of aggregated structure. It becomes possible to give some credibility to Tarde's strange notion of ‘monads’. We claim that it is just this sort of navigational practice that is now made possible by digitally available databases and that such a practice could modify social theory if we could visualize this new type of exploration in a coherent way.     

The Differentiation of Social Demands in Europe. The Social Basis of the European Models of Capitalism

This paper tests the impact of various determinants of the preference for two key elements of the European social models: redistribution and trade unions, using individual data from the first round of the European Social Survey. The basic hypothesis is that the main determinant of an individual’s support for these elements of the European models is the social position of the individual in terms of income, status and risks attached to their labour market insertion. The paper also considers the relative importance of less ‘materialist’ influences such as religion or other cultural determinants. The estimations show that ‘materialist’ determinants are by far the most important influences on individual preferences, contrary to what most social theories of modernisation contend.

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A Note on the Dimensionality of Quality of Life Scales: An Illustration with the Satisfaction with Life Scale (SWLS)

A case is made that measures used in quality of life and happiness research will be essentially unidimensional: inherently tapping minor dimensions. This is illustrated using Diener’s Satisfaction with Life Scale (SWLS). It is shown that the SWLS does not meet the standard of strict unidimensionality, but that the interpretation of the total scale score is not compromised because the additional dimensions are relatively minor. In the context of the example, a multi-step strategy is described that allows researchers to test for essential unidimensionality. Throughout the article, essential unidimensionality is contrasted with the received view of strict unidimensionality and confirmatory factor analysis methods.

Usability of car stereo

Automotive sound systems vary widely in terms of functions and way of use between different brands and models what can bring difficulties and lack of consistency to the user. This study aimed to analyze the usability of car stereo commonly found in the market. Four products were analyzed by task analysis and after use reports and the results indicate serious usability issues with respect to the form of operation, organization, clarity and quality of information, visibility and readability, among others.     

Examination of computer task exposures in radiologists: a work systems approach

Radiologists are intensive computer users as they review and interpret radiological examinations using the Picture Archiving and Communication Systems (PACS). Since their computer tasks require the prolonged use of pointing devices, a high prevalence of Musculoskeletal Disorders (MSDs) is reported. The first phase of this study involved conducting a Cognitive Work Analysis in conjunction with a Participatory Ergonomics approach to perform a total work system analysis. We also conducted an ergonomic survey as well as collected computer use data, specifically for the mouse and keyboard. The goal of the study was to reduce the physical exposures for radiologists. This paper presents Phase I results describing the analyses and redesign process of the radiologists tasks, training design, computer use, and selected survey results.