Simple Identification and Specification of Cointegrated Varma Models

We bring together some recent advances in the literature on vector autoregressive moving‐average models, creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a so‐called final moving‐average representation. We prove that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest rates. We find that our method performs well relative to alternative approaches for cointegrated series and methods which do not allow for moving‐average terms. Copyright © 2014 John Wiley & Sons, Ltd.     

Aktuelle Rechtsfragen der Umweltschadensversicherung

The paper provides an overview of current legal issues with regard to the environmental damage insurance, which exists in Germany since 2007. At the center of the observation are limitations of coverage, in particular the requirement of a malfunction of the business operations, the exclusion of qualitative risk changes and the cost deduction clause. In addition, the article deals with some issues of interpretation as well as of delimitation with regard to further insurance policies. By way of introduction the basics of the German Environmental Damage Act (USchadG) and its underlying EU Directive are shown. Finally, the authors discuss the question whether the environmental damage insurance should be configured as an obligatory insurance in the future.     

Using ROC techniques to measure the effectiveness of foreign exchange market interventions

Using as an example data on official Japanese interventions in the yen/dollar market, I show that techniques developed to analyse relative operating characteristic (ROC) curves can be useful to study the forecasting value and effectiveness of interventions.     

The Impact of Family Ownership,Management, and Governance on Innovation

Previous research suggests that the distinctive nature of family firms, including both specific advantages and disadvantages related to their particular agency situation, influences innovation activities. Most studies, however, view family firms as homogeneous entities and thus neglect the heterogeneity of family firms when comparing them with nonfamily firms. One important factor of this firm heterogeneity is family influence in terms of ownership, management, and governance. A data set of large German publicly traded firms between 2000 and 2009 is used to test how these three dimensions of family influence predict innovation input and output. The results show that family participation in management and governance has a negative impact on innovation input and a positive influence on innovation output. This suggests that family members are risk averse and reluctant to invest in innovation, but at the same time do so more effectively.     

The Credit Default Swap market contagion during recent crises: international evidence

Review of Quantitative Finance and Accounting - We test the hypothesis that underwriters set higher gross spreads and deeper offer price discounts in seasoned equity offers of firms exhibiting weak...     

Behavioral Integration as a Relational Governance Mechanism in Family Firms—The Moderating Role of Family Involvement in Management

In this paper we introduce behavioral integration, a construct established in top management team (TMT) research, into the family firm field. TMT research argues that behavioral integration has a positive performance effect as it fosters commitment to the task at hand, joint goals, and mutual trust among TMT members. Because of these specific characteristics, we argue that behavioral integration might act as a relational governance mechanism that positively influences family firm performance. Based on research on family involvement in management, we posit that this positive performance effect of behavioral integration as a relational governance mechanism is particularly pronounced in family firms with a high degree of family involvement in management.     

Chamberlin Meets Ciriacy‐Wantrup: Using Insights from Experimental Economics to Inform Stated Preference Research

Many studies that use stated preference (SP) surveys to estimate the demand for private or public goods can be characterized as experiments, although they are not routinely labeled as such. This paper draws from the broader experimental economics literature to provide insights for SP practitioners and researchers, particularly as it pertains to survey development, mechanism design, external validity, data analysis, and the dissemination of findings.     

Der Flexibilitätsbeitrag in der Arbeitslosenversicherung

The controversy around fixed-term contracts centres around the conflict between the employer’s need for flexibility and the employee’s need for security. The authors propose flexible contributions for employers to the public unemployment insurance system to balance both interests. The employers’ contributions for their temporary staff would increase while the contributions for their permanent staff would in turn decrease slightly. The authors calculate four versions. With regards to the total sum of contributions, the first version holds the contributions received constant while the second version leads to a reduction. They then repeat these two calculations for fixed-term contracts without substantive grounds. The flexibility premium takes into account the higher unemployment risk of employees with fixed-term contracts and establishes monetary incentives for employers to hire employees with permanent contracts.