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Wolfgang Härdle Alexander Korostelev Camille Logeay Eckhard Platen 《Quantitative Finance》2013,13(1):81-92
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A new model for a stock market index process is proposed in which the index is decomposed into an average growth process and an ergodic diffusion. The ergodic diffusion part of the model is not directly observable. A methodology is developed for estimating and testing the coefficient functions of this unobserved diffusion process. The estimation is based on the observations of the index process and uses semiparametric and non-parametric techniques. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index data. 相似文献
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Glen H. Brodowsky Beverlee B. Anderson Camille P. Schuster Ofer Meilich M. Ven Venkatesan 《Journal of Global Marketing》2013,26(4):245-257
ABSTRACT Social time affects the timing and frequency of purchases, the hours consumers patronize businesses, and how long consumers expect products to last. Understanding how culturally based social time attitudes differ will help marketers tailor their offerings and messages to consumers whose concepts of time differ. This exploratory study combined related streams of time literature to examine constructs of social time differences across cultures. Drawing upon a sample of 1377 respondents from six countries representing three cultural groups (Anglo, Latin, and Asian), the study explores the similarity and differences of cultural social time differences among these three groups. 相似文献
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Camille Cornand 《Review of International Economics》2006,14(5):797-817
This paper addresses the question of whether public information destabilizes the economy in the context of signals of a different nature. We present an experimental evaluation of the speculative attack game of Morris and Shin (1998 ). Our objective is two‐fold: to evaluate whether public information destabilizes the economy within a context of signals of different nature and to enlarge upon the results of Heinemann, Nagel, and Ockenfels (2004 ) (HNO). Our evidence suggests that in sessions with both private and common signals, the fact that the common signal plays a focal role enhances the central bank’s welfare: it reduces the probability of crisis and increases its predictability. Therefore, we raise doubts about the policy implications of HNO’s findings. The new policy lesson is that the central bank has more control over the beliefs of traders if it discloses one clear signal when agents also get private information from other sources. 相似文献
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Camille Bronsard 《Economics Letters》1983,12(2):115-119
One proves here that intertemporal strong quasi-concavity implies temporary strong quasi-concavity, without utilizing any separability assumption. 相似文献
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Camille S. Johnson Linda M. Dunn-Jensen Pamela M. Wells 《Journal of Education for Business》2019,94(1):46-56
To be an effective communicator, students need to learn how to select the appropriate means of communication and be aware of potential obstacles. The model of communication process can be an effective framework for students to understand many pitfalls of the communication process. The described activity enables students to experience communication at different levels of richness (e.g., face to face, instant messaging, email) and with varying levels of feedback and noise. After completing the activity, students will understand the importance of precise, rich messages, seeking and providing feedback, and the difficulties that can occur at every step in communication. 相似文献
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Camille Castorina 《Economic Affairs》1985,5(2):58-60
The lessons of the 19th century have been ignored. Professor Castorina, author of a perceptive doctoral thesis on Richard Cobden, in book form as Richard Cobden and Manchester Economists, assesses his insights and their profound impact on the liberating economic expansion of his age. She also indicates his importance for our day. 相似文献
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Peter Flaschel Alfred Greiner Camille Logeay Christian Proano 《Journal of Evolutionary Economics》2012,22(2):235-250
In this paper we investigate, against the background of Goodwin??s (1967) growth cycle model, a dual labor market economy and the consequences of introducing an unemployment benefit system and minimum wages in the second labor market and a maximum wage barrier in the first one. In the framework with free ??hiring?? and firing?? in the both labor markets we show (a) that in fact maximum real wages in the first labor market not only reduce the volatility of this labor market, but also provide global stability to the system dynamics if they are locally explosive, and (b) that larger fluctuations in employment can be made (at least partially) socially acceptable through a (workfare oriented) unemployment benefit system augmented by minimum wage in the low income segment of the labor market. 相似文献