An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

The cognitive and the action-oriented elements of competence along the innovation process – evidence from R&D teams in the medical equipment sector

Abstract

Organizations are constantly searching for ways to enhance their innovative capacity and to sustain their competitive advantage. Much of the literature focuses on knowledge as the key driver for this pursuit. Unlike other studies, we define experience and knowledge as two basic elements of competence by borrowing from the experiential and cognitive learning theories and contrast their impact on the innovativeness of R&D teams. Building on the competence based perspective, we posit that the differences in competence inputs explain variations in team innovation performance along the innovation process. To test our assumptions, we analyzed the aggregated knowledge and experience levels for different technology competences of 868 employees in 49 R&D teams in a large contract-engineering corporation in the medical equipment sector. The findings reveal that technology experience is particularly fruitful within innovation implementation and is a driver for successful market introduction. The research contributes to the understanding when competence elements are especially important.     

基于Moran过程的PPP项目承包商机会主义行为演化动态

在PPP项目中，由于政府部门和承包商的目标不一致以及信息不对称等原因的存在，使得在其全寿命周期过程中，承包商的机会主义行为屡见不鲜。本文基于随机演化博弈理论，建构基于Moran过程的博弈模型，旨在探讨推动PPP项目承包商不采取机会主义行为策略的有利条件。研究表明，承包商数目不断扩大，通过降低承包商之间的举报成本，增大惩处力度，可使降低机会主义行为发生概率的效果显著。进一步，借助数值算例，对研究结果进行验证并给出相应的管理对策。     

基于任务技术匹配的“互联网+回收”价值共创行为研究

本文根据修改后的任务技术匹配模型，采用多项式回归和响应面分析法，对互联网回收平台的任务技术匹配度与消费者的心理距离及价值共创行为间的关系进行分析。本文的结果表明当任务特征与技术特征水平一致时，高度匹配对心理距离的影响大于低度匹配；当任务特征与技术特征水平不一致时，匹配过度对心理距离的影响大于匹配不足；心理距离在任务技术匹配度与价值共创行为间起中介作用。该研究丰富了任务技术匹配模型的理论成果，对促进电子废弃物规范化回收有一定启发意义。     

润肤霜的制备工艺及其性能研究

使用混合膜生成法和瞬间成皂法配制润肤霜,论文通过单因素试验法探究了1618醇的含量、乳化温度和乳化时间对润肤霜性能的影响。通过对试验数据进行分析得出如下结论:1618醇含量为4.0%、乳化温度为75~80℃、乳化时间为7~9min时产品质量合格,满足QB/T 1857—2013《润肤膏霜》中对性能的要求。     

A capabilities perspective on the joint effects of internationalization time,speed, geographic scope and managers’ competencies on SME survival

This study examines the effect of key internationalization contingencies on SME survival. We argue early internationalization increases the probability of firm failure, while international experience reduces it. However, the survival odds among international new ventures may be improved by their post-entry international expansion scope and speed, and by managers’ competencies. These internationalization facets provide firms with opportunities to develop and exploit their resources and capabilities, and thus enhance their survival chances. Drawing on a sample of 271 manufacturers followed between 2005 and 2014, we find results that provide support to most of our arguments, and hold theoretical and managerial relevance.     

Double continuation regions for American and Swing options with negative discount rate in Lévy models

In this paper, we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate that arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this case a double continuation region arises and we identify the two critical prices. We also generalize this result to multiple stopping problems of Swing type, that is, when successive exercise opportunities are separated by i.i.d. random refraction times. We conduct an extensive numerical analysis for the Black–Scholes model and the jump‐diffusion model with exponentially distributed jumps.     

Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds

In this paper, we study the excursions of Bessel and Cox–Ingersoll–Ross (CIR) processes with dimensions . We obtain densities for the last passage times and meanders of the processes. Using these results, we prove a variation of the Azéma martingale for the Bessel and CIR processes based on excursion theory. Furthermore, we study their Parisian excursions, and generalize previous results on the Parisian stopping time of Brownian motion to that of the Bessel and CIR processes. We obtain explicit formulas and asymptotic results for the densities of the Parisian stopping times, and develop exact simulation algorithms to sample the Parisian stopping times of Bessel and CIR processes. We introduce a new type of bond, the zero‐coupon Parisian bond. The buyer of such a bond is betting against zero interest rates, while the seller is effectively hedging against a period where interest rates fluctuate around 0. Using our results, we propose two methods for pricing these bonds and provide numerical examples.     

Cognitive foundations of firm internationalization: A systematic review and agenda for future research

Managerial cognition has a fundamental role in the internationalization of firms. However, there exists no coherent understanding of how prior research has examined and captured the cognitive foundations of internationalization. This paper provides a systematic review of this body of literature. The review identifies three main streams of research that, overall, consists of nine more specific research areas. We show that especially the areas addressing (1) managerial learning, (2) characteristics of upper echelons, (3) intra-organizational perceptions, and (4) external actors’ perceptions provide opportunities for the further advancement of internationalization literature. For harnessing these opportunities, we find that the microfoundational approach could support the empirical examination of the cognitive foundations and would notably contribute to the Uppsala model-based theorization of the firm internationalization process.