Distributional properties of continuous time processes: from CIR to bates

In this paper, we compute closed-form expressions of moments and comoments for the CIR process which allows us to provide a new construction of the transition probability density based on a moment argument that differs from the historic approach. For Bates’ model with stochastic volatility and jumps, we show that finite difference approximations of higher moments such as the skewness and the kurtosis are unstable and, as a remedy, provide exact analytic formulas for log-returns. Our approach does not assume a constant mean for log-price differentials but correctly incorporates volatility resulting from Ito’s lemma. We also provide R, MATLAB, and Mathematica modules with exact implementations of the theoretical conditional and unconditional moments. These modules should prove useful for empirical research.

     

CAPITAL,LABOR, AND THE FIRM: A STUDY OF GERMAN CODETERMINATION

Under the German corporate governance system of codetermination, employees are legally allocated control rights over corporate assets through seats on the supervisory board—that is, the board of nonexecutive directors. The supervisory board oversees the management board—the board of executive directors—approves or rejects its decisions, and appoints its members and sets their salaries. We empirically investigate the implications of this sort of labor participation in corporate decision making. We find that companies with equal representation of employees and shareholders on the supervisory board trade at a 31% stock market discount as compared with companies where employee representatives fill only one‐third of the supervisory board seats. We show that under equal representation, management board compensation provides incentives that are not conducive to furthering shareholders' interests, possibly because labor maximizes a different objective function than shareholders. We document that, under equal representation, companies have longer payrolls than their one‐third representation peers have. Finally, we provide evidence that shareholders respond to the allocation of control rights to labor by linking supervisory board compensation to firm performance and by leveraging up the firm. (JEL: G32, G34)     

Transforming child and family services in urban communities in South Africa: lessons from the South

Post‐apartheid, South African agencies have been required to shift their services in fundamental ways, including offering services in previously un‐resourced areas, honouring the rights of children and families, ensuring that users, staff and governing bodies are representative of the population and providing developmental social welfare services in place of child protection‐oriented interventions only. A study of urban South African child welfare agencies provides insight into the complex task of managing and leading change. In view of overloaded change agenda and resource constraints, managers focused on effecting incremental change and prioritized the most ‘rewarding’ change efforts. Transforming practice towards a developmental approach was less successful. Structural interventions were also not prioritized. Child welfare agencies internationally face demands to transform in response to the effects of local change and globalization. The study's insights might resonate with agencies working for change in other societal contexts.     

Tree-structured modelling of varying coefficients

Statistics and Computing - The varying-coefficient model is a strong tool for the modelling of interactions in generalized regression. It is easy to apply if both the variables that are modified as...     

The Critical Role of the Initial Stages of Cross-Sector Partnerships and Their Implications for Partnerships’ Outcomes

The paper presents research findings on the initial stages of the life cycle of cross-sector partnerships in the social services. The findings clearly show the importance and impact of the initial stages on the establishment and institutionalization of the partnerships over time. These stages are mainly characterized by clarifying the common goals of the partnership, mobilizing support to achieve the goals, overcoming resistance and relieving fears while convincing opponents to change their attitudes toward the partnership, and formalizing and constructing administrative processes and procedures. Special attention is given to the emotional energy that the management and workers invest in the initial stages in order to overcome barriers as well as ideological, cultural, and procedural gaps between the partner organizations. The relationships between selected organizational properties that typify the initial stages of cross-sector partnerships and the achievement of goals and outcomes are presented, analyzed, and discussed.

     

CUSUM charts for monitoring the mean of a multivariate Gaussian process

In this paper control charts for the mean of a multivariate Gaussian process are considered. Using the generalized likelihood ratio approach and the sequential probability ratio test under an additional constraint on the magnitude of the change various types of CUSUM control charts are derived. It is analyzed under which conditions these schemes are directionally invariant. These charts are compared with several other control schemes proposed in literature. The performance of the charts is studied based on the maximum average delay.     

The influence of parameter estimation on the ARL of Shewhart type charts for time series

In this paper we discuss the behavior of the Shewhart residual chart and the modified Shewhart chart if the parameters of the underlying process are unknown and thus have to be estimated. We focus on the estimation of the variance. For AR models we also consider the estimation of the AR coefficients. The average run length (ARL) of the control chart with estimated parameters is compared with the ARL of the scheme for known parameters and with the ARL for independent variables. Additionally, we give recommendations on the choice of the estimators in the context of Shewhart control schemes.     

Spatio-temporal statistical analysis of the carbon budget of the terrestrial ecosystem

The Net Ecosystem Exchange describes the net carbon dioxide flux between an ecosystem and the atmosphere and is a key quantity in climate change studies and in political negotiations. This paper provides a spatio-temporal statistical framework, which is able to infer the Net Ecosystem Exchange from remotely-sensed carbon dioxide ground concentrations together with data on the Normalized Difference Vegetation Index, the Gross Primary Production and the land cover classification. The model is based on spatial and temporal latent random effects, that act as space–time varying coefficients, which allows for a flexible modeling of the spatio-temporal auto- and cross-correlation structure. The intra- and inter-annual variations of the Net Ecosystem Exchange are evaluated and dynamic maps are provided on a nearly global grid and in intervals of 16 days.     

Public attitudes toward the identification and reporting of alleged maltreatment cases among social groups in Israel

Objectives

To identify what types of behaviors are defined as child maltreatment by the Israeli public, and which types of incidences are seen as justifying reporting to the authorities. The study examines to what extent these views are different among social groups in the Israeli society (e.g., Arabs and ultra-Orthodox).

Methods

A telephone survey was conducted among a representative sample of 812 adults in Israel, with an oversampling of additional 50 ultra-Orthodox Jews. A series of 12 scenarios was presented to respondents who indicated whether each of them was a case of maltreatment and whether it justified reporting to authorities.

Results

There was strong consensus among the participants that some scenarios indicate maltreatment. These scenarios related to all types of maltreatment and were associated with potentially severe harm. The tendency to justify reporting is weaker than the tendency to see them as cases of maltreatment. Further, there is a correspondence (although not a perfect one) between to what extent scenarios are judged as more indicative of maltreatment and the extent to which they are seen as justifying reporting. Both Arabs and ultra-Orthodox Jews tend to see more maltreatment than Jews in general and non ultra-Orthodox Jews in particular, except for using corporal punishment to “educate” an insolent child. No consistent differences were found between these groups in their justification for reporting.

Conclusions

There are indications that the underlying dimension which determines the identification of cases as maltreatment and justifies reporting is the severity of the potential harm to child, rather than the type of maltreatment (i.e., physical, sexual, neglect or emotional). The authors suggest that public campaigns should be tailored to address the different attitudes and perspectives of different social-cultural groups.