A wavelet-based assessment of market risk: The emerging markets case

The measurement of market risk poses major challenges to researchers and different economic agents. On one hand, it is by now widely recognized that risk varies over time. On the other hand, the risk profile of an investor, in terms of investment horizon, makes it crucial to also assess risk at the frequency level. We propose a novel approach to measuring market risk based on the continuous wavelet transform. Risk is allowed to vary both through time and at the frequency level within a unified framework. In particular, we derive the wavelet counterparts of well-known measures of risk. One is thereby able to assess total risk, systematic risk and the importance of systematic risk to total risk in the time-frequency space. To illustrate the method we consider the emerging markets case over the last twenty years, finding noteworthy heterogeneity across frequencies and over time, which highlights the usefulness of the wavelet approach.     

The limits of the welfare state

The purpose of this paper is to discuss the links between the welfare state and economic development using Swedish data between 1970 and 1995. Our main arguments are that political decisions give rise to long-term structural changes in welfare that do not follow structural changes in the economy. Changes in the business cycle may strengthen or weaken these long-term effects. The main results point to the rising problem that face a society with a high degree of labor participation, universal coverage in social insurance, and a relatively low growth rate. There is a hidden labor market problem in social insurance. The redistribution policy is based on a short-run perspective affecting long-run effects negatively. The process in political decision may be considered as a source of government failure.     

MultiFactor Valuation of Floating Range Notes

Under a one-factor Gaussian Heath-Jarrow-Morton model, Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) have provided explicit pricing solutions for range notes contracts. The present paper generalizes such closed-form solutions for the context of a multifactor Gaussian HJM framework.     

Survey Into the Seafood Consumption Preferences and Patterns in the Portuguese Population: Education,Age, and Health Variability

A survey into the seafood consumption preferences and patterns in the Portuguese population was carried out. Consumers were asked to state their preferences toward different kinds of fish products, to indicate their consumption frequencies of a total of 23 products, to mention the average meal portion, and to inform about the usual culinary treatments applied to the raw products. It was observed that the sensory characteristics of each product and cultural habits seem to influence serving size. For horse mackerel and canned sardines, an inverse correlation between education level and consumption frequency was found. Moreover, the consumption frequency of soaked cod, the main salted and dried fish in the Portuguese market, decreased with higher education. Older consumers were much fonder of wild fish and much more unwilling to consume farmed fish than the younger ones. It was also found that obese people deviate from other weight groups in that their preferences and consumption quantities are displaced to foods other than seafood.     

Is retention beneficial to low-achieving students? Evidence from Portugal

The role of retention as an educational tool to overcome under-achievement is a hotly debated issue, especially given that the results in the literature are not consensual. The Portuguese case is particularly well suited to study this issue: all students must take standardized national exams at specific grades. Moreover, the available dataset tracks the performance of students over time. Therefore, we are able to measure the impact of students’ retention on their subsequent academic performance since we can control for each student’s initial level of ability at the moment of retention. We use a propensity score matching approach, in which retained and promoted 4th grade students are matched according to their socioeconomic characteristics and the scores obtained in national exams. To address potentially remaining endogeneity biases, we also use the culture of retention at school level as an instrumental variable. The results suggest that in some situations retentions may have on average a positive impact on future achievement. However, in the cases where statistically significant impacts are found, the estimated magnitudes are relatively small. Our results are relevant for countries with high retention rates that are considering alternative educational policies to promote students’ achievement.     

The chief strategy officer

They're nominally and ultimately responsible for strategy, but today's CEOs have less and less time to devote to it. As a result, CEOs are appointing "chief strategy officers"--executives specifically tasked with creating, communicating, executing, and sustaining a company's strategic initiatives. In this article, three authors from Accenture share the results of their research on this emerging organizational role. The typical CSO or top strategy executive is not a pure strategist, conducting long-range planning in relative isolation. Most CSOs consider themselves doers first, with the mandate, credentials, and desire to act as well as advise. They are seasoned executives with a strong strategy orientation who have usually worn many operations hats before taking on the role. Strategy executives are charged with three critical jobs that together form the very definition of strategy execution. First, they must clarify the company's strategy for themselves and for every business unit and function, ensuring that all employees understand the details of the strategic plan and how their work connects to corporate goals. Second, CSOs must drive immediate change. The focus of the job almost always quickly evolves from creating shared alignment around a vision to riding herd on the ensuing change effort. Finally, a CSO must drive decision making that sustains organizational change. He or she must be that person who, in the CEO's stead, can walk into any office and test whether the decisions being made are aligned with the strategy and are creating the desired results. When decisions below the executive suite aren't being made in accordance with strategy, much of the CSO's job involves learning why and quickly determining whether to stay the course or change tack.     

Incorporating Behavioral Anomalies in Strategic Models

Behavioral decision researchers have documented a number of anomalies that seem to run counter to established theories of consumer behavior from microeconomics that are often at the core of analytical models in marketing. A natural question therefore is how equilibrium behavior and strategies would change if models were to incorporate these anomalies in a consistent way. In this paper we identify several important and generalizable anomalies that modelers may want to incorporate in their models. We briefly discuss each phenomenon, identify a key unresolved issue and outline a research agenda to be pursued.     

Green operations strategy of a luxury car manufacturer

This paper investigates the strategic environmental decisions of a luxury car manufacturer. Through case study research, the investigation sheds light on why and how the company is adopting green technologies. Being pressured by different stakeholders to become greener, luxury car manufacturers carry significant opportunities for environmental improvement given the nature of their manufacturing processes and products. Because of their low-volume production, manufacturers may be able to increase output and still reduce overall emissions when compared to high-volume manufacturers. In the case study company this was found to be possible only because of new ideas brought by a change in ownership. Luxury manufacturers may also be a test-bed for the development and experimentation of green technologies as part of a strategic approach to environmental initiatives. This paper contributes to the fields of green technology adoption and operations strategy in automotive manufacturing groups.     

Economic evaluation of rehabilitation: The quality of life approach using EuroQol

By using resources in a health care alternative activity, the objective for improved health requires the valuation of competing health care programs to inform resource allocation and facilitate prioritization. A measure of health status is used as an outcome of rehabilitation. This paper uses the EuroQol/EQ-5 as an instrument to measure health-related quality of life. Health status is used to determine values that correspond to preferences of the general public. This analysis assumes the existence of a structural problem where the performance of the rehabilitation program and the prognosis behind the definition of need for rehabilitation are determined simultaneously.