A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

The no‐arbitrage relation between futures and spot prices implies an analogous relation between futures and spot daily ranges. The long‐memory features of the range‐based volatility estimators are analyzed, and fractional cointegration is tested in a semi‐parametric framework. In particular, the no‐arbitrage condition is used to derive a long‐run relationship between volatility measures and to justify the use of a fractional vector error correction model (FVECM) to study their dynamic relationship. The out‐of‐sample forecasting superiority of FVECM, with respect to alternative models, is documented. The results highlight the importance of incorporating the long‐run equilibrium in volatilities to obtain better forecasts, given the information content in the volatility of futures prices. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:77–102, 2013     

The Modern Census: Evolution,Examples and Evaluation

A national census provides important information on a country's population that is used in government planning and to underpin the national statistical system. Therefore, the quality of such information is paramount but is not as simple as the crude accuracy of population totals. Furthermore, changes in the pace and nature of modern life, such as the growing geographical mobility of the population, increasingly pose challenges to census practice and data quality. More recently, even the need for a census has been questioned on grounds of financial austerity and widespread availability of alternative population information sources. This article reviews how the modern census originated and how it evolved to confront these challenges, driven by indicators of quality and needs of users, and provides reflections on the future of the census within the national statistical infrastructure. To illustrate our discussions, we use case studies from a diverse range of national contexts. We demonstrate the implications that a country's needs, circumstances and experiences have on the census approach and practice while identifying the fundamental demographic assumptions.     

Sustainable Bonuses: Sign of Corporate Responsibility or Window Dressing?

Despite a strong plea for integrating sustainability goals into traditional corporate bonus schemes, a comprehensive implementation of these systems has been lacking until recently. This article explores four illustrative cases from the Netherlands, where several multinationals started to pioneer with sustainable bonuses in the past few years. The article examines the setups and the different elements of bonus programmes used, in terms of performance criteria (focusing in particular on external vs. internal benchmarking), their link to specific stakeholders, type and size of bonuses, target levels and transparency. While sustainable bonuses signal corporate awareness of responsibility vis-à-vis society and stakeholders, credibility varies considerably depending on these elements. Our case evidence sheds some light on the extent to which sustainable bonuses may be a credible sign of corporate responsibility or rather just another perverse mechanism meant to keep up bonus levels (window dressing). A definite assessment is hampered by the emergent state and lack of full transparency—while ‘justified’ by companies for competitive reasons, this raises questions. Insights are offered to appraise current and future systems and provide directions for further research.     

THE TRANSMISSION MECHANISM IN GOOD AND BAD TIMES

Does the transmission of economic policies and structural shocks vary with the state of the economy? We answer this question using a strategy based on quantile regressions, which account for endogenous regressors and state‐dependent parameters. An application to U.S. real activity and interest rate reveals pervasive asymmetries in the propagation mechanism across good and bad times. During periods when real activity is above its conditional average, the estimates of the degree of forward‐lookingness and interest rate semi‐elasticity are significantly larger (in absolute value) than the estimates associated with below‐average periods. Results are robust to alternative strategies to model state‐dependent parameters.     

Tax Competition,Investment Irreversibility and the Provision of Public Goods

This article studies the effects of tax competition on the provision of public goods under business risk and partial irreversibility of investment. As will be shown, the provision of public goods changes over time and also depends on the business cycle. In particular, under source‐based taxation, in the short term, public goods can be optimally provided during a downturn. The converse is true during a recovery: in this case, they are underprovided. In the long term, however, tax competition does not affect capital accumulation. This means that the provision of public goods is unaffected by taxation.     

Strategies and pitfalls in the infrastructure development of airports: A comparison of Milan Malpensa and Berlin Brandenburg International airports

The paper analyses two airport investment projects in Europe: the completed investment at Milan Malpensa Airport and the investment at Berlin Brandenburg International. The two facilities were chosen because of similarities in their market environments. The paper examines the history of the projects, their objectives, demand forecasts, assessment methodologies and the strategies of the main carriers that use them. A comparison between expectations and outcomes for Malpensa a decade after its opening allows examination of the validity of the parameters used in the decision-making. The criteria being used to assess the investment in Berlin Brandenburg International are explored.     

Arguing over Goals for Negotiation: Adopting an Assumption-Based Argumentation Decision Support System

Computational models of argumentation has been put forward as a promising approach to support decision making. In this context several recent works have proposed argumentation-based frameworks for decision making. In this paper we describe an application based on an argumentation-based mechanism for decision-making to concede. Adopting the assumption-based approach of argumentation, we propose an argumentation framework in which preferences are attached to goals. Arguments are defined as tree-like structures. Our framework is equipped with a computational counterpart for solving a decision problem, modeling the intuition that high-ranked goals are preferred to low-ranked goals which can be withdrawn. In this way, our framework suggests some decisions and provides an interactive and intelligible explanation of this choice. Our implementation, called MARGO, has been used for service selection within the ArguGRID project. We illustrate our approach with an industrial application, and illustrate the operation of the system with a running example.     

Speed of adjustment in cointegrated systems

This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of half-life, which are shown to convey different information, except in the univariate AR(1) case. We present likelihood-based inference on long-run half-lives, regarded as discrete functions of parameters in the VAR model. It is shown how asymptotic confidence regions can be defined. An empirical illustration concerning speed of adjustment to purchasing-power parity is provided.