Forecasting value at risk and expected shortfall with mixed data sampling

I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon. I perform a comprehensive comparison of out-of-sample VaR and ES forecasts with established models for a wide range of financial assets and backtests. The MIDAS-based models significantly outperform traditional GARCH-based forecasts and alternative conditional quantile specifications, especially in terms of multi-day forecast horizons. My analysis advocates models that feature asymmetric conditional quantiles and the use of the Asymmetric Laplace density to jointly estimate VaR and ES.     

Paradigm Shifts in Social Housing after Welfare-State Transformation: Learning from the German Experience

Welfare-state transformation and entrepreneurial urban politics in Western welfare states since the late 1970s have yielded converging trends in the transformation of the dominant Fordist paradigm of social housing in terms of its societal function and institutional and spatial form. In this article I draw from a comparative case study on two cities in Germany to show that the resulting new paradigm is simultaneously shaped by the idiosyncrasies of the country's national housing regime and local housing policies. While German governments have successively limited the societal function of social housing as a legitimate instrument only for addressing exceptional housing crises, local policies on providing and organizing social housing within this framework display significant variation. However, planning and design principles dominating the spatial forms of social housing have been congruent. They may be interpreted as both an expression of the marginalization of social housing within the restructured welfare housing regime and a tool of its implementation according to the logics of entrepreneurial urban politics.     

品牌标识的隐性设计线索对消费者品牌创造性感知的影响

从品牌标识的隐性设计线索特征视角切入，基于图底反转原理和溢出效用，本文研究旨在探究品牌标识的隐性设计线索对消费者品牌创造性感知的作用机理。三个实验研究结果表明：品牌标识的隐性设计线索比显性设计线索更能够增加消费者品牌创造性感知，且此效用成立的条件为：消费者自主发现隐性设计线索。同时，消费者的感知有趣性中介了此效用。此外，产品视觉审美集中度正向强化了品牌标识的隐性设计线索对品牌创造性感知的影响作用。     

基于中医体质学的康复花园参与性设计 健康增益评价研究

以“PlanT”康复花园的场所设计及志愿者参与性活 动设计为疗愈方法，通过循证实验设计，采用中医体质量表评 价健康增益。研究结果表明：其花园参与性设计对志愿者有不 同的健康增益效果。26.67%的志愿者在参与活动后，曾由偏 颇体质转为平和体质，其中有16.67%转为平和体质并持续到 活动结束。活动结束时，在各体质的亚量表中，志愿者平和质 得分显著高于活动前，8种偏颇体质得分整体均有下降，其中5 种与活动前得分有极显著差异，2种有显著差异。调查问卷结果 表明：志愿者主观认为康复花园参与性设计对健康有明显增益 作用。选择9月采集中医体质量表数据，将实验组与对照组进行 对比，得到实验组转为平和质的人数较对照组高14%，实验组 中有2种体质在活动前后的亚量表分数有显著差异，对照组均无 显著差异。研究表明，康复花园参与性设计对本案例45~70岁 人群的健康增益有效。     

兼容性制度竞争:双层对冲与地区制度的嵌套设计北大核心

地区制度的兴起增加了全球治理机制的复杂性。竞争性多边主义理论强调制度竞争会导致国际机制的碎片化和规则冲突。制度聚合理论则认为制度背景会强化规则的一致性,甚至形成制度服从。这种冲突—聚合的二分法不足以分析地区制度与多边制度之间关系的复杂现实。作者提出一个双层对冲的分析框架,以解释地区制度与核心多边制度间的联系机制;一方面,地区成员要通过建立地区制度寻求外部选项,实现对现有多边制度的制衡。另一方面,地区成员又离不开现有多边制度,需要借用现有的多边制度资源来解决地区制度建设中的机会主义问题。为了实现双层对冲,地区成员国会根据地区制度的系统冲击效应和投资报偿结构,设计不同的制度嵌套。作者比较了金融救助领域的欧洲稳定机制、清迈倡议多边化以及拉美储备基金等地区金融安排,其结果符合预期。双层对冲框架下的兼容性制度竞争有利于推动国际制度的渐进变迁,限制了大国在国际秩序转型中的冲突烈度,为世界政治的和平权力转移提供了可能。     

Fiscal rules and budget forecast errors of Italian municipalities

We study the impact of the domestic stability pact on the accuracy of budget forecasts of Italian municipalities. Identification of the causal effect exploits a quasi-natural experiment generated by the removal in 2001 of the fiscal restraints on budget decisions for municipalities with fewer than 5000 inhabitants and by stricter budgetary restrictions and severe penalties for noncompliers in 2002. We find that relaxing fiscal rules had a sizeable impact on budget forecast errors, especially in 2002. In fact, revenue (expenditure) forecast errors for municipalities with fewer than 5000 inhabitants became 26% (22%) larger than in the past.     

Dress for success: the effect of exhibitors’ dress conformity and self-construal on attendees’ approach behavior

ABSTRACT

The purpose of the current study is to investigate how attendees’ approach behavior is influenced by exhibitors’ dress conformity. A 2 × 2 between-subjects quasi-experimental design was utilized for this study. Our results showed that conforming dress for exhibitors can lead to a higher level of approach behavior of trade show attendees as compared with nonconforming dress, and the effect of exhibitors’ dress styles on approach behavior is moderated by attendees’ self-construal. Findings of this study provide significant insights for trade show exhibitors and attendees.     

Fairness perception of ancillary fees: Industry differences and communication strategies

This study examines fairness perception of ancillary fees across different industries, and ways to communicate ancillary fees in a way that reduces customers' feeling that they are being unfairly treated. Through surveys and consumer experiments, we show that consumers’ perception of fairness decreases as the level of ancillary fees increases, with differences across industries. Also, when the customer is given a cue that the ancillary fees are necessary for low base prices, fairness perception increases, explained by the “dual entitlement” concept. Another effective communication strategy is early disclosure, as opposed to late disclosure which decreases fairness perception and willingness to recommend.     

The effect of specific discount pattern in terms of price promotions on perceived price attractiveness and purchase intention: An experimental research

This study aims to investigate consumer perceptions and reactions in terms of specific discount patterns (fixed price, 40% discount, discount from 500 TL to 300 TL and 20% + 25% discount) in price promotion. According to the results, specific discount patterns in price promotion have a significant effect on perceived price attractiveness and purchase intention. When the specific discount patterns in price promotion and gender interaction were analyzed in terms of perceived price attractiveness, the scenario of the “discount from TL 500 to TL 300” significantly differentiated from both the control scenario (fixed price) and experimental scenarios for female. For males, no significant difference was found between the control and experimental scenarios. In terms of purchase intention, a significant difference was found between the fixed price scenario and the discount scenario from 500 TL to 300 TL and between the fixed price and 20% + 25% discount scenario. The theoretical managerial implications of the study were discussed, and future research suggestions were presented.     

Discretionary effort of regional hospitality small business employees: Impact of non-monetary work factors

This research examines the impact of non-monetary work environment factors on employee discretionary effort within the hospitality sector in the South West Region of Western Australia. Limited qualitative research has previously examined the factors that drive employee discretionary effort especially in the regional hospitality sector. Semi-structured interviews were conducted with 20 hospitality employees using purposive sampling. While the findings are preliminary, they do highlight important aspects of discretionary effort within a regional context. Critically, two previously un-identified factors, employees’ professional identity and perception of the hospitality sector have been found to have important implications for employees’ discretionary effort and need to be further explored. Additionally, the findings support the direct influence of organisational culture, job design, interpersonal relationships, on discretionary effort. Finally, the research confirms that a paternalistic leadership approach has a significant influence on hospitality employees’ discretionary effort. Theoretical and practical implications and directions for future research are outlined.