Pure jump models for pricing and hedging VIX derivatives

Recent non-parametric statistical analysis of high-frequency VIX data (Todorov and Tauchen, 2011) reveals that VIX dynamics is a pure jump semimartingale with infinite jump activity and infinite variation. To our best knowledge, existing models in the literature for pricing and hedging VIX derivatives do not have these features. This paper fills this gap by developing a novel class of parsimonious pure jump models with such features for VIX based on the additive time change technique proposed in Li et al., 2016a, Li et al., 2016b. We time change the 3/2 diffusion by a class of additive subordinators with infinite activity, yielding pure jump Markov semimartingales with infinite activity and infinite variation. These processes have time and state dependent jumps that are mean reverting and are able to capture stylized features of VIX. Our models take the initial term structure of VIX futures as input and are analytically tractable for pricing VIX futures and European options via eigenfunction expansions. Through calibration exercises, we show that our model is able to achieve excellent fit for the VIX implied volatility surface which typically exhibits very steep skews. Comparison to two other models in terms of calibration reveals that our model performs better both in-sample and out-of-sample. We explain the ability of our model to fit the volatility surface by evaluating the matching of moments implied from market VIX option prices. To hedge VIX options, we develop a dynamic strategy which minimizes instantaneous jump risk at each rebalancing time while controlling transaction cost. Its effectiveness is demonstrated through a simulation study on hedging Bermudan style VIX options.     

Evaluation of the long-term cost-effectiveness of IDegLira versus liraglutide added to basal insulin for patients with type 2 diabetes failing to achieve glycemic control on basal insulin in the USA

Background and aims: IDegLira, a fixed ratio combination of insulin degludec and glucagon-like peptide-1 receptor agonist liraglutide, utilizes the complementary mechanisms of action of these two agents to improve glycemic control with low risk of hypoglycemia and avoidance of weight gain. The aim of the present analysis was to assess the long-term cost-effectiveness of IDegLira vs liraglutide added to basal insulin, for patients with type 2 diabetes not achieving glycemic control on basal insulin in the US setting.

Methods: Projections of lifetime costs and clinical outcomes were made using the IMS CORE Diabetes Model. Treatment effect data for patients receiving IDegLira and liraglutide added to basal insulin were modeled based on the outcomes of a published indirect comparison, as no head-to-head clinical trial data is currently available. Costs were accounted in 2015?US dollars ($) from a healthcare payer perspective.

Results: IDegLira was associated with small improvements in quality-adjusted life expectancy compared with liraglutide added to basal insulin (8.94 vs 8.91 discounted quality-adjusted life years [QALYs]). The key driver of improved clinical outcomes was the greater reduction in glycated hemoglobin associated with IDegLira. IDegLira was associated with mean costs savings of $17,687 over patient lifetimes vs liraglutide added to basal insulin, resulting from lower treatment costs and cost savings as a result of complications avoided.

Conclusions: The present long-term modeling analysis found that IDegLira was dominant vs liraglutide added to basal insulin for patients with type 2 diabetes failing to achieve glycemic control on basal insulin in the US, improving clinical outcomes and reducing direct costs.     

Remittance,Institutions and Investment Volatility Interactions: An Intercontinental Analysis

Generating massive investment for growth and development has been one of the main policy goals of most economies around the globe. Countries, most especially developing ones, are highly susceptible to investment volatility owing largely to the fragile nature of their economies as well as weaknesses in terms of dysfunctional institutions. Therefore, sound economic management suggests the need to better understand possible sources for mitigating the adverse effects of investment volatility. Remittances have been identified as important capital flows which do a good job of dousing macroeconomic volatilities. It is on this basis that the study sought to uncover the causal relationship between remittances and investment volatility via the intermediating role of institutions. Using a panel of 70 countries and the system Generalized Method of Moments (GMM) estimator, three insightful outcomes come to the fore. First, remittances played countercyclical roles across the estimated regressions. Second, institutional quality had no significant role in mitigating investment volatility and lastly, the interactive terms of both remittances and institutions significantly mitigated the negative impacts of investment volatility with the exception of the political component of the institutional architecture. Policy suggestions are drawn based on our results.     

The importance of firing costs and the Hosios condition in search models with endogenous job destruction

We construct a DSGE search model with endogenous job destruction, incorporating wage rigidities, firing costs and unemployment benefit. We investigate the most important factors in matching the model’s cyclical properties with empirical data, particularly those of job creation rates (JCR) and job destruction rates (JDR). Firing costs assist significantly in explaining the procyclicality of JCR, the negative correlation of JCR and JDR, and the persistence of vacancies. They also decrease the counter-cyclicality of job turnover. We also postulate that the Hosios condition helps explain the negative correlation of JCR and JDR and vacancies’ persistence. Varying wage rigidities and unemployment income, however, do not improve the results.     

The effects of regional trade integration and renewable energy transition on environmental quality: Evidence from South Asian neighbors

Improving environmental quality across South Asia has become one of the utmost important policy agendas of the concerned governments. The susceptibility of the majority of the South Asian countries to multifaceted climate change adversities has motivated the need to identify the factors that can function to ensure environmental sustainability across South Asia. Although several studies have highlighted the importance of globalization and cleaner energy use in tackling the environmental degradaton issues of the South Asian countries, very little is known regarding the impacts of regional trade and renewable energy transition in this regard. Hence, this paper aims to scrutinize the effects of enhancing intra-regional trade integration and undergoing renewable energy transition on per capita carbon dioxide emissions in the context of six South Asian nations between 1990 and 2016. The results from the recently developed cross-sectionally augmented autoregressive distributed lag regression approach, accounting for cross-sectional dependency and slope heterogeneity issues, reveal that facilitating trade among the South Asian neighbors reduces carbon emissions in both the short and long run. Moreover, enhancing the share of renewable energy in the aggregate energy consumption figures is also found to reduce carbon dioxide emissions in both the short and long run. Furthermore, both regional trade integration and renewable energy transition are found to jointly reduce carbon dioxide emissions in South Asia. The results also authenticate the existence of the environmental Kuznets curve hypothesis, while financial development and urbanization are found to boost carbon dioxide emissions only in the long run.     

Well-being effects of self-employment: A spatial inquiry

Our paper presents an empirical analysis of entrepreneurial well-being using a large-scale longitudinal household survey from the UK that tracks almost 50,000 individuals across seven waves over the period 2009–2017, as well as a number of exploratory case studies. We contribute to the existing literature by investigating how entrepreneurial well-being varies across locations along the urban-rural continuum, and across wealthy-deprived neighbourhoods. We use a Coarsened Exact Matching (CEM) approach to compare the well-being outcomes of individuals who switch into self-employment from waged employment, and show that entrepreneurial well-being, in the form of job satisfaction, is significantly higher for those living in semi-urban locations, relative to those living in urban and rural locations. We argue that semi-urban locations provide an optimal combination of ease of doing business and quality of life. Our results also show that individuals in wealthy neighbourhoods who switch into self-employment experience higher job satisfaction than otherwise comparable individuals living in materially deprived neighbourhoods, although the latter experience greater levels of life satisfaction following the switch.     

科技哲学视角下的P2P观察思考与展望

网络信贷起源于英国,2007年引入到中国,模式从最初的资产抵押到纯信用借贷,人群从普通工薪阶层覆盖到在校大学生,形式从最初的现金业务拓展到购物消费分期。行业背后的投资来源也逐步广泛随着网贷的不断发展,诸多问题相继产生,值得我们深入探讨。     

Predictors of export performance in developing economies: a longitudinal analysis of Moroccan SMEs

Purpose: To help increase understanding of the export performance, we investigate the influence of firm size, research and development (R&D), advertising expenditures and network relationships, and develop a conceptual model to increase export intensity. Design/methodology/approach: The research involved a four-year longitudinal study of export performance of 168 exporting SMEs in Morocco (672 observations). The two-stage least square estimation (G2SLS) was used to test the hypotheses. Findings: The findings of the two-stage least square estimation (G2SLS) suggest that export sales and domestic sales are interdependent and influence each other. R&D expenditures and network affiliation have positive and significant impact on export sales, while advertising expenditure has a negative and significant influence on export sales. Research limitations/implications: Readers should use caution in generalizing the findings unless verified in other developing contexts. Practical implications: The findings of this study are useful for managers and export policy makers in developing countries. A proper understanding of the predictors of export performance may help them encourage the growth and diversification of exports that is so vital for developing countries. Originality/value: Export performance is a key element in the field of international marketing. Unfortunately, the literature exhibits a lack of empirical studies in developing countries, particularly in Maghreb regions. The empirical testing of the theoretical model in a developing economy is a significant contribution to fill the needed gap in the literature toward generalizing findings.     

EQUALITY OF OPPORTUNITY: EAST VS. WEST GERMANY

The case of German reunification has been subject to extensive research on earnings inequality and labour market integration. However, little is known about the development of equality of opportunity (EOp) in East and West Germany after 1990. Using German micro data, we empirically analyse how circumstances beyond the sphere of individual control relate to inequality in East and West Germany. Our results show that EOp is larger in East than in West Germany. However, despite increasing income inequality, EOp remained surprisingly constant.     

The antecedents of digital collaboration through an enhanced digital platform for destination management: A micro-DMO perspective

While the tourism sector shifts towards digital transformation, Destination Management Organisations (DMOs) often struggle to adapt to their changing technological environment. This study explores the antecedents of digital collaboration and develops a framework for micro-DMOs to enhance effective destination management through digital technologies. An integrated sequential qualitative approach was adopted by conducting multi-phase interviews, in addition to designing and trialling a real-world trial digital platform. The research provides empirical evidence that digital collaboration is essential for micro-DMOs, necessitating them to transform their current “websites” into digital platforms which act as a hub for business stakeholders to actively be involved in. Antecedents of successful digital collaboration include mutuality, trust, control, and leadership which may be manifested differently from non-digital collaboration. Additionally, the study identifies three aspects for digital collaboration; marketing, networking and knowledge sharing that demands specific attention. Our results have theoretical, methodological, and practical implications for academia, industry and policymakers.