Detecting Co‐Movements in Non‐Causal Time Series

This paper introduces the notion of common non‐causal features and proposes tools to detect them in multivariate time series models. We argue that the existence of co‐movements might not be detected using the conventional stationary vector autoregressive (VAR) model as the common dynamics are present in the non‐causal (i.e. forward‐looking) component of the series. We show that the presence of a reduced rank structure allows to identify purely causal and non‐causal VAR processes of order P>1 even in the Gaussian likelihood framework. Hence, usual test statistics and canonical correlation analysis can be applied, where either lags or leads are used as instruments to determine whether the common features are present in either the backward‐ or forward‐looking dynamics of the series. The proposed definitions of co‐movements are also valid for the mixed causal—non‐causal VAR, with the exception that a non‐Gaussian maximum likelihood estimator is necessary. This means however that one loses the benefits of the simple tools proposed. An empirical analysis on Brent and West Texas Intermediate oil prices illustrates the findings. No short run co‐movements are found in a conventional causal VAR, but they are detected when considering a purely non‐causal VAR.     

Building responses to sustainable development challenges: A multistakeholder collaboration framework and application to climate change

The affirmation of open innovation and collaborative systems is enabling unprecedented opportunities to create business value while facilitating multistakeholder conversation on sustainability issues. In particular, platform‐based models are emerging as organization archetypes able to facilitate cooperative dynamics among industrial actors, policy makers, academicians, scientists, and citizens. In this article, we use interdisciplinary business management and collaborative innovation literature to build the conceptual framework of a multisided platform as a collaboration environment gathering actors willing to define responses to sustainable development challenges. We present five dimensions or “genes,” that is, the focus and strategic intent or orientation of the platform (what), the participating sides, actors and groups (who), the actions, flows and coordination mechanisms (how), and the value drivers, benefits and externalities (why), and the rules regulating the affiliation and interaction processes (governance). We also present and discuss 30 subtopics or management items that are associated with the five dimensions defined. We then apply the conceptual model to analyze a case in the climate change endeavor and to show how competitive and cooperative dynamics can be virtuously integrated to provide individual‐ and company‐driven responses to a timely socioenvironmental issue. The article provides a new perspective on collaboration to enhance social development, and it offers theoretical and practitioner insights for a broad interdisciplinary audience including scholars, practitioners, business, and platform managers.     

(Non‐)Participation in deliberation at work: a case study of online participative decision‐making

Social media are implemented by organisations to enhance productivity and knowledge sharing among employees, but they can also support group deliberation and employee voice. This paper presents a case study of an online deliberation initiative involving the discussion of a contentious internal policy within an organisation of around 550 knowledge workers. The deliberation process lasted 5 weeks and actively involved 167 employees. Different sources of information (user interaction logs, activity patterns, questionnaire responses) were analysed to investigate the impact of participation, or non‐participation, on the level of satisfaction with the deliberation, and on the understanding of the issue discussed. The findings suggest that (1) interest is a driver for participation, but it does not explain active participation, (2) participation, either active or passive, positively influences the understanding of the issue and (3) satisfaction with the outcome is not related to participation, but it may support participation in future initiatives.     

Making small firms happy? The heterogeneous effect of trade facilitation measures

The different facets of trade facilitation may impact heterogeneously exporters of different size and productivity. Using the cross‐sectional variation in procedures at the border, we identify how red tape affects trade through the extensive and/or the intensive margin and show that small and large exporters are affected differently. We observe that while information availability benefits both small and large exporters, other measures like advance ruling, appeal procedures and the automation of border formalities tend to favor large exporters. This result suggests that trade facilitation policies affect exporters through channels other than simply the fixed or variable cost component of the red tape barriers. Beyond affecting the size and composition of trade flows, uncertainty about the conditions of crossing borders plays an important role in shaping the demography of exporters across different destinations.     

Migration and Regional Trade Agreements: A (New) Gravity Estimation

This paper investigates the role of regional trade agreements (RTAs) on bilateral international migration. Building on a gravity model for migration, our econometric strategy controls for the multilateral resistance to migration and solves the zero migration flows problem by using a censored quantile regression approach. Further, the endogeneity problem of RTAs in migration settlement is addressed by using instrumental variable censored quantile regression. Our results suggest that the presence of a RTA stimulates the migration stocks among member countries. The pro‐migration effect of RTAs is magnified if the agreement includes also provisions easing bureaucratic procedures for visa and asylum among member countries. Finally, we find an asymmetric effect of RTAs across the quantiles of the distribution of migration settlements.     

Irreversible investment and R&D spillovers in a dynamic duopoly

Investments in new production processes usually involve a significant amount of R&D, generating spillovers that lowers the second comer's investment cost. We show that these spillovers substantially affect the equilibrium of the dynamic game. Even for low spillover values, the leader delays her investment until the stochastic fundamental has gone past the level such that the follower's optimal strategy is to invest as soon as he attains the spillover. This bears several interesting implications. First, because the follower invests as he benefits from the spillover, in equilibrium the average time delay between the two investments is short, as it should be expected. Second, in case of a major innovation, an optimal public policy requires an intervention in favor of the investment activity; an increase in uncertainty - delaying the equilibrium - calls for higher subsidization rates. Third, numerical simulations show that the spillover reduces the difference between the leader's and the follower's maximum value functions. Accordingly, our model can help generate realistic market betas.     

Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets

We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61–73] allows us to derive a closed-form formula for the fair value of discretely monitored Asian-style options. Our analysis encompasses the case of commodity price dynamics displaying mean reversion and jointly fitting a quoted futures curve and the seasonal structure of spot price volatility. Four tests are conducted to assess the relative performance of the pricing procedure stemming from our formulae. Empirical results based on natural gas data from NYMEX and corn data from CBOT show a remarkable improvement over the main alternative techniques developed for pricing Asian-style options within the market standard framework of geometric Brownian motion.     

Z-Transform and preconditioning techniques for option pricing

In the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral equations by using a z-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation into a linear system that we solve by iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure in pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to an exponential Lévy process.