Studying co-movements in large multivariate data prior to multivariate modelling

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in macroeconometrics imply non-parsimonious univariate ARIMA representations.     

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

Exploring factors motivating entrepreneurial intentions: the case of Italian university students

This study aims to identify the factors motivating the intentions of university students to become entrepreneurs. Leveraging data from a survey of 941 Italian students and adopting Ajzen's theory of planned behaviour, this paper employs the structural equation model to identify factors explaining students’ entrepreneurial intentions. The findings show that attitudes, subjective norms and perceived behavioural control positively shape Italian students’ intentions. Moreover, the findings signal that the skills acquired during the university pathway play a crucial role in encouraging students to consider entrepreneurial choices. The paper extends and complements the academic and policy debate in the field of entrepreneurship offering a comprehensive investigation of the factors affecting entrepreneurial intentions. It also allows us to contend that higher education may have an important role to play in fostering the entrepreneurial intentions of young people. This is especially significant given current global economic conditions and the renewed importance of self‐employment strategies.     

A general closed-form spread option pricing formula

We propose a new accurate method for pricing European spread options by extending the lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black–Scholes framework. This is possible via a procedure requiring a univariate Fourier inversion. In addition, we are also able to obtain a new tight upper bound. Our method provides also an exact closed form solution via Fourier inversion of the exchange option price, generalizing the Margrabe (1978) formula. The method is applicable to models in which the joint characteristic function of the underlying assets forming the spread is known analytically. We test the performance of these new pricing algorithms performing numerical experiments on different stochastic dynamic models.     

Complex Reduced Rank Models For Seasonally Cointegrated Time Series

This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum likelihood counterparts. The small sample properties are evaluated by a Monte Carlo study and an empirical example is presented to illustrate the concepts and methods.     

The social value of public information with costly information acquisition

In a beauty contest framework, public authorities decide the accuracy of public information evaluating how it affects individual actions and private information acquisition. More precise public information increases welfare whenever its marginal cost does not exceed that of private information.     

An alternative solution to the Autoregressivity Paradox in time series analysis

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US.     

Assessing the maturity of crowdventuring for corporate entrepreneurship

Corporate entrepreneurship is a process of strategic renewal and development of an existing business through the creation of new products, services, and activities, as well as new competitive postures and independent ventures. The performance of this process, which leverages the creativity and the initiative spirit of employees and managers, thus relies on the capacity of the organization to create favorable conditions for the emergence of such latent entrepreneurial potential. The development of participatory innovation models and collective intelligence offers new insights for conducting research on factors enabling corporate entrepreneurship. In particular, the internal company ‘crowd’ can be investigated with the purpose of studying the conditions under which the corporate entrepreneurship process can be successfully nurtured and conducted. In such view, this article moves from an extended review of corporate entrepreneurship and organizational innovation literature to define the concept of crowdventuring and to present an assessment tool aimed at evaluating the maturity of the crowdventuring process within an organization. The tool, which captures both individual and organization-related factors, is also used for an illustrative application into a multinational IT company. Some implications are drawn at the theory and practitioner levels.     

Aircraft safety analysis using clustering algorithms

In recent years, there have been many cost-benefit studies on aviation safety, which deal mainly with economic issues, omitting some strictly technical aspects. This study compares aircraft accidents in relation to the characteristics of the aircraft, environmental conditions, route, and traffic type. The study was conducted using a database of over 1500 aircraft accidents worldwide, occurring between 1985 and 2010. The data were processed and then aggregated into groups, using cluster analysis based on an algorithm of partition binary ‘Hard c means.’ For each cluster, the ‘cluster representative’ accident was identified as the average of all the different characteristics of the accident. Moreover, a ‘hazard index’ was defined for each cluster (according to annual movements); using this index, it was possible to establish the dangerousness of each ‘cluster’ in terms of aviation accidents. Obtained results allowed the construction of an easy-to-use predictive model for accidents using multivariate analysis.