1,720,988 research outputs found
Skill Specific Unemployment with Imperfect Substitution of Skills
Full text linkA large body of literature explains the inferior position of unskilled workers by imposing a structural shift in the labor force skill composition. This paper takes a different approach by emphasizing the connection between cyclical variations in skilled and unskilled labor markets. Using a stylized business cycle model with search frictions in the respective sub-markets, I find that imperfect substitution between skilled and unskilled labor creates a channel for the variations in the sub-markets. Together with a general labor augment- ing technology shock, it can generate downward sloping Beveridge curves. Calibrating the model to US data yields higher volatilities in the unskilled labor markets and reproduces stylized business cycle facts.business cycle, search frictions, skill specific unemployment, skill substitutability
The Law of Attraction: Bilateral Search and Horizontal Heterogeneity
Full text linkWe study a matching model with heterogeneous agents, nontransferable utility and search frictions. Agents differ along a horizontal dimension (e.g. taste) and a vertical dimension (e.g. income). Agents’ preferences coincide only in the vertical dimension. This approach introduces individual preferences in this literature as seems suitable in applications like labor markets (e.g. regional preferences). We analyze how the notion of assortativeness generalizes to integration or segregation outcomes depending on search frictions. Contrary to results from the purely vertical analysis, here, agents continuously adjust their reservation utility strategies to changing search frictions. The model is easily generalizable in the utility specification, the distribution of taste-related payoffs and the number of vertical types. Extreme utility specifications can be treated as a case of horizontal heterogeneity only.Matching, Horizontal Differentiation , Marriage Markets
A semiparametric factor model for electricity forward curve dynamics
Full text linkIn this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a parsimonious factor representation of the curve. Using closing prices from the Nordic power market Nord Pool we provide empirical evidence that the DSFM is an efficient tool for approximating forward curve dynamics.power market, forward electricity curve, dynamic semiparametric factor model
Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
Full text linkIn this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of trades and average (excess) trading costs per time interval in terms of a four-dimensional multiplicative error model. The latter is augmented to account also for zero observations. We find evidence for significant contemporaneous relationships and dynamic interdependencies between the individual variables. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading intensities and trading costs. Finally, excess trading costs mainly depend on their own history.Multiplicative error models, volatility, liquidity, high-frequency data
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Numerics of Implied Binomial Trees
Full text linkMarket option prices in last 20 years conrmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying assets. In this paper, we describe the numerical construction of IBTs by Derman and Kani (DK) and an alternative method by Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density (SPD). We compare the SPD estimated by the IBT methods with a conditional density computed from a simulated diusion process. In addition, we apply the IBT to EUREX option prices and compare the estimated SPDs. Both IBT methods coincide well with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate, particularly.Implied Tree Models, Implied Volatility, Local Volatility, Option Pricing
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Structural Dynamic Conditional Correlation
Full text linkIn the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in
uences between several variables, this model considers interaction in the structural innovations. Even though this allows for common fundamental driving forces, these cannot explain time variation in correlations of observed variables, which still have to rely on causal transmission eects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples.Simultaneity, Identifcation, EGARCH, DCC
Links between sustainability-related innovation and sustainability management
Full text linkThis paper analyses the link between sustainability-related innovation and sustainability performance and the role that family firms play in this. This theme is particular relevant from a European point of view given the large number of firms that are family-owned. Governments often support environmentally and socially beneficial innovation with various policy instruments with the intention is to increase international competitiveness and simultaneously support sustainable development. In parallel, firms use corporate social responsibility (CSR) and environmental management systems partly in the hope that this will foster such innovation in their organisation. Hence the main research question of this paper is about the association of CSR and environmental management with environmentally and socially beneficial innovation and its determinants. Based on panel data, the paper analyses the link of corporate sustainability performance with sustainability innovation and the effect of being a family firm using panel estimation techniques. The paper discusses the results of the analysis, which point to a moderating role of family firms on the link of sustainability innovation and performance and assesses the policy implications of this insight.sustainability, innovation, management, quantitative methods, family firms
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