Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecasts.     

Stochastic stability for roommate markets

We show that for any roommate market the set of stochastically stable matchings coincides with the set of absorbing matchings. This implies that whenever the core is non-empty (e.g., for marriage markets), a matching is in the core if and only if it is stochastically stable, i.e., stochastic stability is a characteristic of the core. Several solution concepts have been proposed to extend the core to all roommate markets (including those with an empty core). An important implication of our results is that the set of absorbing matchings is the only solution concept that is core consistent and shares the stochastic stability characteristic with the core.     

Stability and variety - Products, organization and institutionalization in farm tourism

Products, collective organization and institutions are factors that shape farm tourism. The aim of this paper is to present new knowledge of the way these factors are designed and provide lessons for management in the sector. Research findings to date suggest these factors are varied but similarities within findings exist. However, while there have been a number of studies on the importance of each of the factors, few studies focus on the combined impact of them. This study attempts to go some way toward filling this knowledge gap. The empirical cases for the study are derived from three European locations: two regions in the Alps: North Tyrol in Austria and South Tyrol in Italy, and Norway. The breadth and variety of the product range differ. We also find clear contrasts between the cases when it comes to the structure of farm tourism organizations. However, the goals of the organizations are quite similar emphasizing three types of tasks: marketing, competence building and quality assurance. Concerning systems for quality assurance, a type of institutional factor, two cases are similar, while the third case (Norway) has a different (less strict) system. Based on a comparative analysis of the cases we develop a conceptual model showing the interdependence between products, organization and institutions in the farm tourism sector, and the influence of market and location. We provide some examples of application of the findings by various actors and agencies in tourism.     

Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

This paper develops methods for stochastic search variable selection (currently popular with regression and vector autoregressive models) for vector error correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic model. Copyright © 2011 John Wiley & Sons, Ltd.     

Emotional labour and surplus value: the case of holiday ‘reps’

Service organizations are encouraged by the literature [Grönroos, 1996, 1997; 2000; Zeithaml and Bitner, 2000] to consider the manner in which employees perform at the customer/front-line employee interface, as a means to gain competitive advantage. The employee's behaviour requires ‘emotional labour’ [Hochschild, 1983] where the front-line employee has to either conceal or manage actual feelings for the benefit of a successful service delivery. The implication is not necessarily of equality or mutual benefit but of satisfaction for the customer and profit for the management. The article discusses whether the service employee is being exploited in this three-way relationship, and how surplus value accrues and its benefit distributed. Expecting emotional labour from employees can be exploitative, thus increasing the risk of potential deceit, in particular where poor recruitment, training and support recovery accompany the expectations of the emotional labourer. To illustrate this argument, data gathered from in-depth interviews with three holiday ‘reps’ are used.     

Language competencies,policies and practices in multinational corporations: A comprehensive review and comparison of Anglophone,Asian, Continental European and Nordic MNCs

The importance of language differences in multinational companies (MNCs) can hardly be overlooked. This paper therefore provides the first large-scale quantitative overview of language competencies, policies and practices in MNCs. It is based on data from more than 800 subsidiaries, located in thirteen different countries with headquarters in more than 25 different countries, which were aggregated into four distinct home country clusters. This comprehensive study allows us to differentiate prior conceptual or case-based findings according to home, host and corporate languages and to develop managerial implications which vary according to the different country clusters.     

Untersuchung verschiedener Handelsstrategien für Wind- und Solarenergie unter Berücksichtigung der EEG 2012 Novellierung

The new EEG 2012 law opens up for more parties to participate in the trading of wind and solar power, because of the bonus system that now compensates everybody for all market relevant costs, not only the Transmission System Operators. Therefore it can be expected, that the trading of renewable energies by private parties will increase. One of the central questions to be answered is how efficient does a balance responsible party have to be to stay competitive also with a small pool. The quantification of balance costs for different trading strategies is however complex and non-trivial. We propose a methodology in this study that accounts for this fact. Additionally, we analyse and show the requirements and the monetary value of Intra-Day trading for the handling of wind and solar power. The trading strategies proposed in this article make use of an uncertainty band around the forecasts used in the Intra-Day, in order to avoid double trading and thereby reducing the total balancing volume and the associated costs.     

Überschreitet die EZB mit ihren Staatsanleihekäufen ihr Mandat?

The ECB’s government bond purchases have become an issue for the German constitutional court. The authors see the OMT programme as falling within the bounds of its mandate but call for the ECB’s crisis policies to be strictly temporary. They argue that the OMT programme was necessary to safeguard fi nancial stability and that it does not endanger price stability in the short term. Moreover, they present evidence for the breakdown of the monetary policy transmission mechanism in the crisis countries and argue that the conditions for forbidden monetary government fi nancing are not met — provided the ECB sticks to certain conditions. Particularly, the ECB’s government bond purchases must maintain a clear distinction between the primary market and a functioning secondary market.