Asymptotics for Autocovariances and Integrated Periodograms for Linear Processes Observed at Lower Frequencies

One of the most frequently used class of processes in time series analysis is the one of linear processes. For many statistical quantities, among them sample autocovariances and sample autocorrelations, central limit theorems are available in the literature. We investigate classical linear processes under a nonstandard observation pattern; namely, we assume that we are only able to observe the linear process at a lower frequency. It is shown that such observation pattern destroys the linear structure of the observations and leads to substantially different asymptotic results for standard statistical quantities. Central limit theorems are given for sample autocovariances and sample autocorrelations as well as more general integrated periodograms and ratio statistics. Moreover, for specific autoregressive processes, the possibilities to estimate the parameters of the underlying autoregression from lower frequency observations are addressed. Finally, we suggest for autoregressions of order 2 a valid bootstrap procedure. A small simulation study demonstrates the performance of the bootstrap proposal for finite sample size.     

Übernivellierung der Einnahmen aus der Grunderwerbsteuer im künftigen Finanzausgleich

Fiscal Equalisation in Germany provides substantial fiscal redistribution between federal and state and among state governments. However, there is also a degree of tax autonomy for the individual German states. Since 2007, states can adjust their local rate of the Real Estate Transfer Tax. However, if they keep the rate low, they may suffer revenue losses due to fiscal redistribution. The paper considers whether this effect will also be present in the new rules for fiscal equalization which will come in to effect in 2020.     

LOGISTICS AND SUPPLY CHAIN MANAGEMENT APPLICATIONS WITHIN A GLOBAL CONTEXT: AN OVERVIEW

This paper reviews 726 academic research studies covering logistics and supply chain management (L'SCM) applications within a global context. Articles are analyzed according to their publication year and outlet, common themes, and countries or regions investigated. The sample was drawn from the ABI/INFORM Global database, which includes almost 1,800 journal titles. The review offers a starting point for researchers, graduate students, faculty members or practitioners examining international L'SCM applications. The article also draws attention to the wide array of global L'SCM studies conducted, their settings and viewpoints. Additionally, this paper highlights some of the most interesting works and draws attention to lesser‐researched countries and regions of the world. The overview also provides an introduction for practitioners and managers to what academic research has covered in the area of global L'SCM. Practitioners can use this review as a starting point for the identification of relevant and useful references for their particular task.     

Does one model fit all? Exploring factors influencing the use of blogs,social networks,and wikis in the enterprise

Enterprise social media (ESM) have become increasingly widespread, but many intranet communities barely survive, miss their initially planned targets, or are even terminated. Research on technology acceptance can be a useful approach to improve adoption rates, but more empirical research needs to be conducted to examine factors driving the adoption of enterprise social media. To address this gap, we develop a model of individual ESM adoption, including technological and individual factors based on findings from collaboration and knowledge-sharing research. Because different ESM tools, such as blogs, social networks, and wikis, can be employed for fundamentally different uses, we explain differences between individual adoptions of the three technologies by identifying their uses and gratifications from the perspective of employees. The model is tested in three parallel studies, one for blogs, social networks, and wikis each, among employees of an international technology company in the pre-implementation phase. We find substantial differences between the factors influencing the intention to adopt the three applications. This provides the basis to employ the applications in a more effective way by considering organizational and employee needs.     

Challenges for land system science

While considerable progress has been made in understanding land use change, land system science continues to face a number of grand challenges. This paper discusses these challenges with a focus on empirical land system studies, land system modelling and the analysis of future visions of land system change. Contemporary landscapes are contingent outcomes of past and present patterns, processes and decisions. Thus, empirical analysis of past and present land-use change has an important role in providing insights into the socio-economic and ecological processes that shape land use transitions. This is especially important with respect to gradual versus rapid land system dynamics and in understanding changes in land use intensity. Combining the strengths of empirical analysis with multi-scale modelling will lead to new insights into the processes driving land system change. New modelling methods that combine complex systems thinking at a local level with macro-level economic analysis of the land system would reconcile the multi-scale dynamics currently encapsulated in bottom-up and top-down modelling approaches. Developments in land use futures analysis could focus on integrating explorative scenarios that reflect possible outcomes with normative visions that identify desired outcomes. Such an approach would benefit from the broad and in-depth involvement of stakeholders in order to link scientific findings to political and societal decision-making culminating in a set of key choices and consequences. Land system models have an important role in supporting future land use policy, but model outputs require scientific interpretation rather than being presented as predictions. The future of land system science is strongly dependent on the research community's capacity to bring together the elements of research discussed in the paper, via empirical data collection and analysis of observed processes, computer simulation across scale levels and futures analysis of alternative, normative visions through stakeholder engagement.     

Determinants of bank merger premiums

This study examines the merger premiums paid for a sample of 320 bank acquisitions consummated during the period January 1982 through October 1990. The results of the research indicate that higher merger premiums were paid for, (a) smaller size targets, (b) targets with higher return on common equity ratios (pre-merger), (c) targets with higher leverage as measured by the percentage of primary capital to total capital, (d) targets in a different state than the bidder, and (e) transactions carried out through exchange of stock as opposed to a cash purchase.     

An Analysis of Covariance Risk and Pricing Anomalies

This article examines the link between several well-known assetpricing "anomalies" and the covariance structure of returns.I find size, book-to-market, and momentum strategies exhibita strong, weak, and negligible relation to covariance risk,respectively. A size factor helps predict future volatilityand covariation, improving the efficiency of investment strategies.Moreover, its premium rises following increases in both itsvolatility and covariation with other assets. These effectsare amplified in recessions. No such relations exist for book-to-marketor momentum. These findings may shed light on explanations forthese premia and present a challenging set of facts for futuretheory.     

Strategisches Asset-Liability Management in der Versicherungswirtschaft — Ein Ansatz zur integrierten Bilanzstrukturoptimierung

Asset-Liability Management has gained increased significance within the German insurance industry. This was mainly driven by recent capital market developments. In fact, insurers have encountered challenges to earn given interest guarantees. Regulatory changes also require more sophisticated ALM-tools. Solvency II will change the underlying paradigm and shift balance sheets perception towards a market value oriented view. Especially liabilities will have to be accounted for using the fair value approach. Most ALM-tools appear to be unable to cope with these demands. To improve this current practice, in this paper a Markowitz-approach is employed in order to generate an integrated method for the optimization of assets and liabilities in the life insurance industry. This technique aims to link new regulatory requirements to the latest capital market theory and therefore delivers a procedure for an integrated asset allocation policy in the insurance industry.