Dynamic Harmonic Regression Methods in the Analysis of Stochastic Time Series Exhibiting Strong Trigonometric Components

Journal of Quantitative Economics - Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression...     

Business aviation in Germany: An empirical and model-based analysis

The primary role of large airports is to serve the general public with scheduled and charter air transport services, with a secondary role of providing direct air transport access to regional industry and to firms who operate their own fleets of aircraft. Because of the complexity of slot allocation procedures and increasing runway capacity problems at airports, there is a growing problem in realising this secondary function. Neighbouring regional airports could play a complementary role and cope with some of this growth in traffic. Here we quantify the distribution of growing business aviation demand between airports to explore potential ways of accommodating it at both major and nearby secondary facilities.     

A critical review of climate change risk for ski tourism

Ski tourism is a multi-billion dollar international market attracting between 300 and 350 million annual skier visits. With its strong reliance on specific climatic conditions, the ski industry is regarded as the tourism market most directly and immediately affected by climate change. A critical review of the 119 publications that have examined the climate change risk of ski tourism in 27 countries is provided. This growing and increasingly diverse literature has projected decreased reliability of slopes dependent on natural snow, increased snowmaking requirements, shortened and more variable ski seasons, a contraction in the number of operating ski areas, altered competitiveness among and within regional ski markets, and attendant implications for ski tourism employment and values of vacation property real estate values. The extent and timing of these consequences depend on the rate of climate change and the types of adaptive responses by skiers as well as ski tourism destinations and their competitors. The need to understanding differential climate risk grows as investors and financial regulators increasingly require climate risk disclosure at the destination and company scale. Key knowledge gaps to better assist ski tourism destinations to adapt to future climate risk are identified.     

Productivity and Corporate Governance in Smaller Firms

Our starting point was to argue that the entrepreneur is central to the organisation of production in smaller firms. We also contended that it was crucial to understand how differences in corporate governance structures affect productivity. This is particularly important given that many small firms have relatively unsophisticated and non-complex governance structures. Our results show positive, and significant, effects from the founding entrepreneur, the board of directors and the management team on productivity. We also find that the majority of smaller firms face increasing returns to scale. In total, our results cast serious doubts on the relevance of "black box" theories of production which exclude a role for the entrepreneur.     

Predictability of the U.S. Dollar Index using a U.S. export and import price index-based relative PPP model

We use U.S. export and import price indexes to construct a relative purchasing power parity-based model of the nominal U.S. Dollar Index. The model is successful in predicting the future direction of change in the U.S. Dollar Index over a six-month period up to 68% of the time. Finally, the model, in combination with a simple linear, recursive technique, is able to statistically significantly outperform the random walk in predicting the value of the U.S. Dollar Index at terms of less than four months for the period from 1996 to 2005. The paper provides important implications for investors who are interested in the direction of change in the Dollar’s value, forecasting the level of the U.S. Dollar Index, as well as the extent of over- and undervaluation of the U.S. Dollar, in general.     

OPEC’s Risk Premia and Volatility in Oil Prices

International Advances in Economic Research - This paper discusses a reason for volatility in oil prices. The Organization of Petroleum Exporting Countries’ (OPEC’s) revenues are...     

Multimarket and multiproject collusion

Summary If firms meet in a number of markets, they may respond to an action in one market by reacting in another market. Fear for such retaliation may induce multimarket firms to collude across markets. The paper assesses available theoretical and empirical evidence on the multimarket collusion theory. Moreover, the paper suggests that the theory can be fruitfully applied in the context of European integration. The focus is on collusion by firms which meet in product markets as well as in joint R&D projects. A model develops three propositions, which shed light on the subsequently provided (tentative) evidence on multidimensional contact in an integrating Europe. The discussion may serve as a framework for future research into both the theoretical and the empirical domain with applications to the issue of European integration.We gratefully acknowledge John Hagedoorn for providing access to the MERIT/CATI database, and two referees for their comments. Of course, the usual disclaimer applies     

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the weights represent the stochastic discount factors. In this paper, we investigate the problem of approximating the tail probability of this weighted sum in the case when the losses have Pareto-like distributions and the discount factors are mutually dependent. We also give some simulation results.