MGARCH models: Trade-off between feasibility and flexibility

Multivariate GARCH (MGARCH) models need to be restricted so that their estimation is feasible in large systems and so that the covariance stationarity and positive definiteness of conditional covariance matrices are guaranteed. This paper analyzes the limitations of some of the popular restricted parametric MGARCH models that are often used to represent the dynamics observed in real systems of financial returns. These limitations are illustrated using simulated data generated by general VECH models of different dimensions in which volatilities and correlations are interrelated. We show that the restrictions imposed by the BEKK model are very unrealistic, generating potentially misleading forecasts of conditional correlations. On the other hand, models based on the DCC specification provide appropriate forecasts. Alternative estimators of the parameters are important in order to simplify the computations, and do not have implications for the estimates of conditional correlations. The implications of the restrictions imposed by the different specifications of MGARCH models considered are illustrated by forecasting the volatilities and correlations of a five-dimensional system of exchange rate returns.     

The legacy of European Capitals of Culture to the “smartness” of cities: The case of Guimarães 2012

The objective of the paper is to examine the extent to which the legacy of European Capitals of Culture (ECOC) increases the “smartness” of cities. A qualitative approach based on semi-structured interviews and desk research was used to assess the impact on the smart city's dimensions hypothesized by Giffinger et al. (2007 Giffinger, R., Fertner, C., Kramar, H., Kalasek, R., Pichler-Milanovic, N., &; Meijers, E. (2007). Smart cities—Ranking of European medium-sized cities (Report). Vienna University of Technology Retrieved November 25, 2015, from http://www.smart-cities.eu/download/smart_cities_final_report.pdf [Google Scholar]). The research revealed that this kind of mega-event reinforces the smartness of the city in which it is hosted in terms of attributes such as living, economy, people and environment. No significant legacy is observed with respect to the mobility dimension.     

Modelling satisfaction with ATMs: A cross-country comparison

The aim of this paper is to extend the work of Goode and Moutinho by applying their model to a different country, namely Hungary, and then comparing the results. The hypothesised model links overall satisfaction to seven explanatory variables (namely expectations, perceived risk, confidence, recommendations to others, level of charges, frequency of use and full use of services). This paper is divided into four parts, the first of which looks at the UK and Hungarian banking systems. The second section describes the methodology and data collection used in this study. The third section analyses the empirical results derived from applying the model and the final section discusses the results and managerial implications of the results obtained from this study.     

Constructing a knowledge‐based system to aid scenario‐based strategic planning: an application to the European airline industry

This paper explores the use of scenario planning and the design of a knowledge‐based system in strategic decision making, in the context of the European airline industry. Several innovative strategies were derived, as well as other key recommendations based on sound strategic reasoning, and participants testified to the effectiveness of the approach in stretching their thinking. The requirement to draft strategies as expert system rules, with reasons, was useful in clarifying thinking and achieving group consensus. This methodology, therefore, aids effectiveness of the scenario planning process itself, while providing a dynamic, accessible means of storing the resulting strategic thinking. Copyright © 2005 John Wiley & Sons, Ltd.     

Out‐of‐Sample Return Predictability: A Quantile Combination Approach

This paper develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed method is based on an averaging scheme applied to quantiles conditional on predictors selected by LASSO. The resulting forecasts outperform the historical average, and other existing models, by statistically and economically meaningful margins. Copyright © 2016 John Wiley & Sons, Ltd.     

Reviewing and improving performance measurement systems: An action research

Reviewing and updating performance measurement systems (PMS) based on internal and external environmental changes are as important as developing and implementing them. The results of an action research study carried out to improve the PMS of an energy company's maritime transportation area are presented. The findings of this longitudinal study illustrate the difficulty and complexity of reviewing and updating an energy company's PMS for its maritime transportation area. This difficulty is due to the involvement of PMS users, the assessment of performance measures, the establishment of targets, and data availability. The complexity is related to the changes in information technology when implementing changes in procedures for computing performance measures. This article contributes to a better understanding of the process of reviewing and updating a company's existing PMS.     

Monetary policy and macroeconomic stability in Latin America: The cases of Brazil, Chile, Colombia and Mexico

In 1999, new monetary policy regimes were adopted in Brazil, Chile, Colombia and Mexico, combining inflation targeting with floating exchange rates. These regime changes have been accompanied by lower volatility in the monetary stance in Brazil, Colombia and Mexico, despite higher inflation volatility in Brazil and Colombia. This paper estimates a conventional New Keynesian model for these four countries and shows that: i) the post-1999 regime has been associated with greater responsiveness by the monetary authority to changes in expected inflation in Brazil and Chile, while in Colombia and Mexico monetary policy has become less counter-cyclical, ii) lower interest-rate volatility in the post-1999 period owes more to a benign economic environment than to a change in the policy setting, and iii) the change in the monetary regime has not yet resulted in a reduction in output volatility in these countries.     

Strategic diagnostics and management decision making: a hybrid knowledge‐based approach

A conceptual model is introduced whereby the focus is placed on environmental scanning, diagnostics and decision‐making on the basis of managerial judgement through the application of tools such as intelligent agents, hybrid intelligent systems, scenario analysis and knowledge‐based systems. The model has a critical stage as an antecedent to the strategic advice that encompasses the issues of strategic fit to purpose (theme, industry, company and strategic business unit‐driven). A number of applications dealing with these four layers are shown, as well as an illustration of hybrid intelligent systems for strategic marketing planning. Copyright © 2007 John Wiley & Sons, Ltd.     

Inflation targeting in Brazil: constructing credibility under exchange rate volatility

This paper assesses the challenges faced by the inflation-targeting regime in Brazil. The inflation-targeting framework has played a critical role in macroeconomic stabilization. We stress two important challenges: construction of credibility and exchange rate volatility. The estimations indicate the following results: (i) the inflation targets have worked as an important coordinator of expectations; (ii) the Central Bank has reacted strongly to inflation expectations; (iii) there has been a reduction in the degree of inflation persistence; and (iv) the exchange rate pass-through for “administered or monitored” prices is two times higher than for “market” prices.