Determinants of absenteeism in a large Danish bank

An empirical study of the determinants of absenteeism in a large Danish bank is performed. The study is based on information from approx. 7,000 employees in 500 different units. Based on a review of the absence literature a model combining the psychological and economic approaches to absence studies is constructed. The model is based on hedonic theory and uses the frequency metric when measuring absence. The results of the empirical study show that there is indeed a significant negative relationship between job satisfaction and absence. Furthermore, the study shows that demographic variables for both employees and employers play an important role for the frequency of absence. One very interesting result is that the absenteeism for employees is very clearly related to observed absence by the unit manager.     

Deviations from long-run equilibria and probabilities of devaluations: An empirical analysis of Danish realignments

Deviations from Long-Run Equilibria and Probabilities of Devaluations — An Empirical Analysis of Danish Realignments. — The probabilities of realignments between the Danish krone and the D-mark are investigated for the 1979–1995 period. Two multivariate systems are estimated. In the I (1) systems, the deviations from the cointegration relations are used as explanatory variables when determining the probabilities of exchange rate changes. It is found that real imbalances in the economy have to a large extent determined the probabilities of central parity changes. Furthermore, the probabilities of central parity changes have been significantly lower after 1983.     

Phases and dynamics in the development of EU industrial relations regulation

In this article the authors discuss whether it is possible to identify the existence of a European IR-system. They try to identify important phases and dynamics in the emergence of what is termed the European IR-model. It is argued that traditional IR-theory should be combined with theories which allow more extensive consideration of politological and institutional phenomena when analysing IR developments at pan-European level.     

Second Generation Models of Currency Crises

Until the beginning of the 1990s, currency crises were typically analyzed within the framework of a generation of models that assumed that the foreign exchange reserves of a country that was running a fixed exchange rate policy were falling (because the government was running a deficit on its budget that was financed by printing money). When the foreign exchange reserves reached a lower bound, a speculative attack on the fixed exchange rate was launched. Today, this theory is no longer the benchmark when explaining the occurrence of a currency crisis. Actually, a new generation of models that seeks to take explicitly into account the costs and benefits associated with the maintenance of a fixed exchange rate has emerged. This paper surveys these 'second generation models of currency crises'. This generation of models emphasizes that it is an endogenous decision if a government chooses to abandon a policy of fixed exchange rates. The survey pays special attention to the fact that the second generation of currency crises models often generates multiple equilibria for the rate of devaluation given one state of the economic fundamentals. A currency crisis can thus occur even if no secular trend in economic fundamentals can be identified, as in recent currency crises.     

Appreciating Stockbroking: Constructing Conceptions to Make Sense of Performance

ABSTRACT The performance of individual stockbrokers differs. This paper aims to make sense of these differences. In a study of 14 stockbrokers, the high performing brokers described their working life in a systematically different way, compared to the low performing brokers. The brokers gave different and conflicting accounts of what, from an outsider's viewpoint, seemed to be very similar work and working conditions. The brokers’ different accounts are interpreted and reconstructed into two opposing conceptions of stockbrokers’ world of working. In an ideal typical sense these two conceptions make sense of, and maybe even explain the stockbrokers’ different levels of performance.     

Semiparametric inference in a GARCH-in-mean model

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and GARCH-type underlying volatility is introduced. Based on the profile likelihood approach, it does not rely on any initial parametric estimator of the conditional mean function, and it is under stated conditions consistent, asymptotically normal, and efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An application to daily stock market returns suggests that the risk-return relation is indeed nonlinear.     

Interest Rate Dynamics and Consistent Forward Rate Curves

We consider as given an arbitrage‐free interest rate model M, and a parametrized family of forward rate curves G. We study the question as to when the given family G is consistent with the dynamics of the interest rate model M, in the sense that M actually will produce forward rate curves belonging to G. We allow the interest rate model to be driven by a multidimensional Wiener process, as well as by a marked point process, and we give necessary and sufficient conditions for consistency. As test cases, we study some popular models, obtaining both positive and negative results about consistency. We also introduce a natural exponential‐polynomial family of forward rate curves, and for this family we give necessary and sufficient conditions for the existence of consistent interest rate models with deterministic volatility functions.     

A Model for Positively Correlated Count Variables

An α-permanental random field is briefly speaking a model for a collection of non-negative integer valued random variables with positive associations. Though such models possess many appealing probabilistic properties, many statisticians seem unaware of α-permanental random fields and their potential applications. The purpose of this paper is to summarize useful probabilistic results, study stochastic constructions and simulation techniques, and discuss some examples of α-permanental random fields. This should provide a useful basis for discussing the statistical aspects in future work.