Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

The autocorrelations of log-squared, squared, and absolute financialreturns are often used to infer the dynamic properties of theunderlying volatility. This article shows that, in the contextof long-memory stochastic volatility models, these autocorrelationsare smaller than the autocorrelations of the log volatilityand so is the rate of decay for squared and absolute returns.Furthermore, the corresponding sample autocorrelations couldhave severe negative biases, making the identification of conditionalheteroscedasticity and long memory a difficult task. Finally,we show that the power of some popular tests for homoscedasticityis larger when they are applied to absolute returns.     

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original series. However, the heteroscedasticity observed in the stationary transformation should be generated by the transitory and/or the long-run component of the original data. In the former case, the shocks to the variance are transitory and the prediction intervals should converge to homoscedastic intervals with the prediction horizon. We show that, in this case, the prediction intervals constructed from the ARIMA-GARCH models could be inadequate because they never converge to homoscedastic intervals. All of the results are illustrated using simulated and real time series with stochastic levels.     

The 'Hojas de Ganado' of the Monastery of Guadalupe, 1597-1784: an accounting instrument for fundamental economic decisions

This paper examines the development of a new form of accounting system which was introduced at the Monastery of Guadalupe around 1597. Increasing financial pressure on those charged with the management of the economic activities of the Monastery necessitated the development of an accounting system which would enable decision making. The system that was introduced led to the production of documents known as 'Hojas de Ganado', or 'Livestock Sheets'. The nature of the information contained in these sheets suggests a move away from the traditional form of cash accounting, prevalent at the time, towards a more modern system of accounting which enabled the Monastery's management to make decisions, on the basis of profit figures, as to the best way to manage its lands and economic operations.     

The relationship between the migration experience and risk perception: A factor in the decision to become an entrepreneur

This study examines the proposition that the migration experience influences perceptions of risk and, as such, the ‘migrant condition’ is a factor in explaining relatively high rates of entrepreneurship among immigrants in many host countries. The study analyses data obtained from the Global Entrepreneurship Monitor (GEM) Spain 2009 Survey with regard to perceptions of risk in beginning a new venture. The study finds that immigrants to Spain, irrespective of their origin or ethnicity, are less likely than native Spaniards to perceive business creation as a risky situation. Moreover, the findings suggest that the perception of risk has a significant impact on the decision to engage in business start-up activity.     

Big mountain,big name: globalised relations of risk in Himalayan mountaineering

The paper explores how visitors' perception of a destination's heritage management affects satisfaction with actual visits to the sites and overall perception of the destination's cultural image, using Macao as the case setting. The study will also look at how site visit satisfaction influences the intention to revisit and recommend to others. The findings indicated that perception of the quality of heritage interpretation was significantly associated with destination cultural image and site visit satisfaction. However, associations between site visit satisfaction and intention to revisit and recommend were weak. The findings also led to a discussion on whether the labels ‘cultural’ versus ‘non-cultural’ tourists remain stable over time.     

New heights in climbing and tourism: Jordan's Wadi Rum

Climbing tourists, seeking out evermore exciting locations in which to practise their sporting and touristic ‘envelope-pushing’, provide an excellent example for analysis of how foreign places and peoples are enmeshed in individual narratives of othering and ‘selfing’ predicated in no small part on individualised and marketised (mis)conceptions of embodied risk, heavily gendered forms of ‘extremeness’ and ethnic difference. Based on observer-as-participant fieldwork carried out in Wadi Rum, and analyses of marketing publications aimed specifically at rock-climbing tourists, this article explores how this particular landscape is masculinised to appeal to the ‘hard’ [Robinson, V. (2008). Everyday masculinities and extreme sport: Male identity and rock climbing. Oxford: Berg] Western climber, who is invited to experience Rum as hard or extreme play; as a performance of leisure that is unpredictable and unusually dangerous and risky for several reasons. Wadi Rum's ‘soaring sandstone towers’, inhospitable desert environment and Bedouin inhabitants feature heavily in holiday advertisements; the Bedouin people are valorised for both their ‘inherent primitiveness’ and capacity to adapt to, and ultimately conquer, their land's inhospitable summits. It is under these terms that adventure tourist ‘spaces’ become racialised, gendered and often classed and sexualised through various intersecting discourses.     

UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC,BAYESIAN, AND BOOTSTRAP PROCEDURES

The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Depending on the estimation sample size and the forecast horizon, each of these sources may have different effects. We consider asymptotic, Bayesian, and bootstrap procedures proposed to deal with uncertainty and compare their finite sample properties. The results are illustrated constructing fan charts for UK inflation.     

Does international experience help firms to be green? A knowledge-based view of how international experience and organisational learning influence proactive environmental strategies

Early research on environmental strategy in international firms focused predominantly on direct investment as an expansion strategy for multinationals. However, we know relatively little from a strategic management perspective about exporting, which is the most prevalent form of international expansion. For this reason, we examine whether the knowledge that export firms acquire abroad influences their environmental strategies. Using a sample of export firms from the food industry, we show that the number of years spent in developing export activities does not contribute to developing a proactive environmental strategy; however, a more complex experience of environmental international diversification is positively related to a firm's proactive environmental strategy. Finally, organisational learning capability moderates the positive relationship between environmental international diversification and environmental proactivity.     

The impact of firm strategy and foreign ownership on executive bonus compensation in Japanese firms

Building on information-processing perspectives and the Japanese contextual factors, this study investigates the relationships between firm strategy and executive bonus pay as well as the moderating role of foreign ownership on the strategy-compensation relationship in Japanese firms. We focus on R&D investment and product diversification as strategy variables and investigate their direct effects on executive bonus pay. Further, we examine the moderating effects of foreign ownership on the strategy-pay sensitivity. The results, based on a sample of the 148 largest industrial firms in Japan for the 1990-1997 period, show that both R&D investment and product diversification are positively related to executive bonus pay. Our findings also indicate that foreign ownership negatively moderates the relationships between the strategy variables and executive compensation, suggesting that foreign investors play an active monitoring role, reducing cash bonus payments when their invested firms choose to increase R&D or pursue diversification strategy.     

Externalities in appropriation: responses to probabilistic losses

Using an appropriation game setting, we examine individual responses to changes in a groups’ vulnerability to a probabilistic loss (L) of a public good. The probabilistic loss parameter entails losing 10, 50 or 90% of the value of the public good that is maintained through cooperation, where the likelihood of the loss decreases in total group cooperation. By design, the expected marginal net benefits to an individual and the expected harm to others depends endogenously on the individuals’ expectations of group cooperation and exogenously on the magnitude of the loss parameter. We find that individual cooperation is greater when forecasts of total group cooperation are greater and where the magnitude of the probabilistic loss is larger. There is, however, an interesting asymmetry in responses by two subgroups. Subjects who are pessimistic regarding total group cooperation decrease cooperation the higher the magnitude of the probabilistic loss and their decisions are tied systematically to changes in their expectations of other’s cooperation. On the other hand, subjects who are optimistic regarding total group cooperation are found to be more cooperative, but their decisions are not systematically tied to changes in expectations of others’ cooperation.