The covariation for Banach space valued processes and applications

This article focuses on a recent concept of covariation for processes taking values in a separable Banach space $B$ and a corresponding quadratic variation. The latter is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace $\chi $ of the dual of the projective tensor product of $B$ with itself. We also introduce the notion of a convolution type process, which is a natural generalization of the Itô process and the concept of $\bar{\nu }_0$ -semimartingale, which is a natural extension of the classical notion of semimartingale. The framework is the stochastic calculus via regularization in Banach spaces. Two main applications are mentioned: one related to Clark–Ocone formula for finite quadratic variation processes; the second one concerns the probabilistic representation of a Hilbert valued partial differential equation of Kolmogorov type.     

Closed-skew normality in stochastic frontiers with individual effects and long/short-run efficiency

This paper considers the estimation of Kumbhakar et al. (J Prod Anal. doi:10.1007/s11123-012-0303-1, 2012) (KLH) four random components stochastic frontier (SF) model using MLE techniques. We derive the log-likelihood function of the model using results from the closed-skew normal distribution. Our Monte Carlo analysis shows that MLE is more efficient and less biased than the multi-step KLH estimator. Moreover, we obtain closed-form expressions for the posterior expected values of the random effects, used to estimate short-run and long-run (in)efficiency as well as random-firm effects. The model is general enough to nest most of the currently used panel SF models; hence, its appropriateness can be tested. This is exemplified by analyzing empirical results from three different applications.     

Analytic derivatives and the computation of GARCH estimates

In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum likelihood GARCH estimation usually relies on the numerical approximation to the log-likelihood derivatives, on the grounds that an exact analytic differentiation is much too burdensome. We argue that this is not the case and that the computational benefit of using the analytic derivatives (first and second) may be substantial. Furthermore, we make a comparison of various gradient algorithms that are used for the maximization of the GARCH Gaussian likelihood. We suggest the implementation of a globally efficient computation algorithm that is obtained by suitably combining the use of the estimated information matrix with that of the exact Hessian during the maximization process. As this would appear a straightforward extension, we then study the finite sample performance of the exact Hessian and its approximations (that is, the estimated information, outer products and misspecification robust matrices) in inference.     

Relational Contracting in Developed Economies: Lessons From Slot Exchanges in the US Airline Industry

This paper highlights the widespread use of relational contracting in developed economies. While the number of empirical studies on relational practices in developing countries is increasing rapidly, evidence from industries and countries characterised by strong institutions is lagging behind due to data constraints. We argue that technological progress and strong institutions do not diminish the use of relational contracting, and use the US airline industry as a case in point. In particular, we discuss a number of factors (including transaction complexity, existence of collaborative relationships and data availability) that make this industry an ideal setting to study relational contracting in a developed economy. Moreover, we argue that other industries in developed countries share the properties of the US airline industry and, hence, can be used as a basis to investigate relational contracting in future work.     

Characterizing the mission statements of benefit corporations: Empirical evidence from Italy

In 2015, Italy introduced a new legal form—“benefit corporation” (società benefit)—that provides legal status to companies that have one or more common benefit objectives in addition to the profit-seeking goal. Italian benefit corporations are obligated by law to operate in a responsible, sustainable, and transparent way and to include the interests of different stakeholders in their corporate strategy. This study examines the Italian case by applying textual statistical analysis on benefit corporations' public mission statements using the IRaMuTeQ software. Performing hierarchical cluster analysis and correspondence factor analysis identifies the “benefit” concept emerging from the mission statements in terms of promotion of individual skills, development of a new business model, and service to society. This study contributes to the debate on the content of mission statements by giving empirical evidence about this new form of business, and it provides some practical implications for managers, entrepreneurs, and policymakers.     

Immigration Policy,Self‐selection,and the Quality of Immigrants*

This paper investigates the effects of immigration quotas on the average quality of immigrants by developing a human capital migration model where efficiency in migration depends on skills and emigration rates are higher among skilled workers. Studying the joint determination of the domestic level of wages and immigrants' self‐selection, we find a negative relationship between the wage level and the percentage of educated workers among immigrants, which results in a nonstandard downward‐sloping labor supply. In our framework, a higher quota increases the skill mix of immigrants through its negative effect on wages and raises aggregate national income.     

Equilibrio e relazione distributiva in un modello di Sraffa con tassi di profitto eterogenei

Si considera un modello di Sraffa a produzione semplice nel quale l'ipotesi di uniformità del saggio di profitto è sostituita con quella di saggi di profitto eterogenei ma in rapporto costante tra di loro. Per tale modello vengono studiati l'esistenza di soluzioni, la costanza dei prezzi rispetto alle variabili distributive ed il legame funzionale tra queste, con speciale riguardo al caso lineare.

---

Summary This note deals with the well-known Sraffa's model of exchange for a simple production economy in the case where the sector profit rates bear constant proportions to each other. Some formal results are presented on the equilibria of the model, both in normal and in vertical integrated form, on the dependence, implicitly defined by the model, of the prices vector and of the wage rate on the profit parameter, and about the concepts of (generalized) standard productions and uniform composition of capital.

     

Measuring the Returns to Networking and the Accumulation of Social Capital: Any Evidence of Bonding,Bridging, or Linking?

This article presents analyses of individual investment in social capital using both the British Household Panel Survey (BHPS) and the UK Time Use Survey (2000) (UKTUS). We suggest a general theoretical framework that could possibly explain individual investment in various forms of social networking. Measures of social capital are then constructed in an attempt to capture the extent of individual investment in bonding, bridging, and linking networks. These measures, together with other socioeconomic indicators, are used as explanatory factors in wage equations, estimated using ordered probit, OLS, and instrumental variable approaches. We are unable to identify any consistent returns from investment in bonding and bridging networks. In contrast, the evidence suggests that any returns to investment in the development of linking social capital simply derive from the positive signals that group membership may transmit to potential employers. Our results underline the contrast between studies that consider social capital as an attribute of communities, as opposed to individuals, in that we find a negative return to social activity at the level of the individual.     

Risk parity portfolio optimization under a Markov regime-switching framework

We formulate and solve a risk parity optimization problem under a Markov regime-switching framework to improve parameter estimation and to systematically mitigate the sensitivity of optimal portfolios to estimation error. A regime-switching factor model of returns is introduced to account for the abrupt changes in the behaviour of economic time series associated with financial cycles. This model incorporates market dynamics in an effort to improve parameter estimation. We proceed to use this model for risk parity optimization and also consider the construction of a robust version of the risk parity optimization by introducing uncertainty structures to the estimated market parameters. We test our model by constructing a regime-switching risk parity portfolio based on the Fama–French three-factor model. The out-of-sample computational results show that a regime-switching risk parity portfolio can consistently outperform its nominal counterpart, maintaining a similar ex post level of risk while delivering higher-than-nominal returns over a long-term investment horizon. Moreover, we present a dynamic portfolio rebalancing policy that further magnifies the benefits of a regime-switching portfolio.