Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

A new literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of UHF-GARCH models to forecast future volatilities on irregularly spaced data. We also compare the out-sample performance of these generalized autoregressive conditional heteroskedastic (GARCH) models with the realized volatility method. We propose a procedure to account for the time deformation problem and show how to use these models for computing daily Value at Risk (VaR).     

Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

We present a modified version of the non parametric Hawkes kernel estimation procedure studied in Bacry and Muzy [arXiv:1401.0903, 2014] that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that this method allows us to estimate faithfully a power-law decreasing kernel over at least six decades. We then propose a eight-dimensional Hawkes model for all events associated with the first level of some asset order book. Applying our estimation procedure to this model, allows us to uncover the main properties of the coupled dynamics of trade, limit and cancel orders in relationship with the mid-price variations.     

Labour Costs and the Size of Government

Given inelastic demand for labour‐intensive public services, the size of government depends positively on labour costs. OECD data exhibit a strong statistical association between government size and the business‐sector labour share of income. When the labour share is instrumented with measures of technological change, institutional variation and predetermined data it continues to positively impact government size. In contrast, transfer spending is unaffected by the labour share. The evidence is consistent with the idea that the recent decline in the labour share has contributed to the slowdown in the growth of government witnessed in much of the post‐war era.     

Patienten strukturiert entlassen

Interprofessionelle Zusammenarbeit und Prozesssteuerung - Seit der erfolgreichen Implementierung des Nationalen Expertenstandards „Entlassungsmanagement in der Pflege“ 2003 haben sich viele Kliniken ausführlich mit der strukturierten und standardisierten Entlassung von Patienten befasst. Jetzt ist dieser Standard aktualisiert und den ver?nderten Rahmenbedingungen angepasst worden.     

A model of working time under utility competition in the labor market

The text develops a model of wage and working-time setting by profit-maximizing firms in a competitive labor market with homogeneous workers. Emphasis is placed on the role played by fixed costs of labor and of workers' varying effectiveness in time. Competition among firms implies a constraint on the utility level associated to the labor contract. The model contributes to explain insiders' rationing and other contemporary stylized facts, and lends itself to a particular approach to the problem of evaluating the consequences of mandatory working-time reductions.     

Trust,confidence and economic crisis

This article explores the role of trust and confidence in economic life, and their relevance to the current financial crisis. It outlines a recent history of research and debate on the relationship between social trust and economic prosperity, before introducing more recent data on trust against the backdrop of the financial downturn. It goes on to distinguish the informal and social bases of trust from three key formal mechanisms of economic confidence (information, contract, regulation), linking this distinction to Akerlof and Shiller’s revival of Keynes’ discussion of the “animal spirits” that animate economic behaviour. Finally the policy dimensions are considered.     

An Incentive‐Compatible Condorcet Jury Theorem*

We consider a group of individuals who face a binary collective decision. Each group member holds some private information, and all agree about what decision should be taken in each state of nature. However, the state is unknown, and members can differ in their valuations of the two types of mistakes that might occur, and in their prior beliefs about the true state. For a slightly randomized majority rule, we show that informative voting by all voters is the unique Nash equilibrium, that this equilibrium is strict, and that the Condorcet asymptotic efficiency result holds in this setting.     

Healthcare resource utilization and costs associated with venous thromboembolism recurrence in patients with cancer

Abstract

Objective: Patients with cancer are at high risk for developing primary but also recurrent venous thromboembolism (VTE). This study examined healthcare utilization (HRU) and costs related to VTE recurrence among cancer patients.

Methods: Medical and pharmacy claims from the Humana Database were used to compare HRU (outpatient visits, emergency room visits, hospitalizations, and hospitalization days) and healthcare costs among cancer patients with a single VTE event (between 01/2013 and 06/2015) and those with recurrent VTE during the follow-up period (from initiation of anticoagulant therapy until end of eligibility or data availability). All-cause and VTE-related HRU and costs were evaluated using Poisson regression, and healthcare costs were compared using mean differences reported as per-patient-per-year (PPPY).

Results: Of 2,428 newly diagnosed cancer patients who developed VTE, 413 (17.1%) experienced recurrent VTE during the follow-up period (mean = 9 months). Patients with recurrent VTE had higher all-cause and VTE-related HRU and costs compared to those without recurrence. Patients with recurrent VTE also had over 3.19-times more VTE-related hospitalizations (RR [95% CI]?=?3.19 [2.93–3.47]), and 3.88-times more VTE-related hospitalization days (RR [95% CI]?=?3.88 [3.74–4.02]) than patients without a VTE recurrence. Total VTE-related healthcare costs were $39,641 PPPY among patients with recurrent VTE, $29,142 higher compared to those without recurrence ($10,499 PPPY). This difference was mainly driven by hospitalization costs.

Conclusion: Recurrent VTE among cancer patients is associated with significant HRU and healthcare costs, notably hospitalizations. Strategies to reduce VTE recurrence in patients with cancer can contribute to reducing healthcare cost.     

Wage differentials across sectors in Europe

Using a unique harmonized linked employer–employee dataset, this paper analyses the structure and determinants of inter‐industry wage differentials in Central and Eastern European countries (Czech Republic, Latvia, Lithuania and Poland) and compares them to those observed in Western European states. Findings show substantial differences in earnings across sectors in all countries, even when controlling for a wide range of employee, job and employer characteristics. The hierarchy of sectors in terms of wages appears to be quite similar in Eastern and Western European countries, although the former tend to have higher levels of dispersion of inter‐industry wage differentials.