Modeling Conditional Yield Densities

Given the increasing interest in agricultural risk, many have sought improved methods to characterize conditional crop-yield densities. While most have postulated the Beta as a flexible alternative to the Normal, others have chosen nonparametric methods. Unfortunately, yield data tends not to be sufficiently abundant to invalidate many reasonable parametric models. This is problematic because conclusions from economic analyses, which require estimated conditional yield densities, tend not to be invariant to the modeling assumption. We propose a semiparametric estimator that, because of its theoretical properties and our simulation results, enables one to empirically proceed with a higher degree of confidence.     

Futures hedging using dynamic models of the variance/covariance structure

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios also are employed as error purgers. The empirical results indicate that the generalized dynamic models are well specified and that their use in determining optimal hedge ratios can lead to improvements in hedging performance as measured by the volatilities of the returns on the optimally hedged position. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:241–260, 2003     

Directly measuring early exercise premiums using American and European S&P 500 Index options

The Chicago Board Options Exchange concurrently listed European‐style and American‐style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early exercise premium in American‐style index options. In this study, using ask quotes, we find average early exercise premiums ranging from 5.04 to 5.90% for calls, and from 7.97 to 10.86% for puts. Additionally, we are able to depict a potentially useful functional form of the early exercise premium. As in previous studies, we find some instances of negative early exercise premiums. However, a trading simulation shows that traders must be able to trade within the bid–ask spread to profit from these apparent arbitrage opportunities. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:287–313, 2003     

LOGISTICS OUTSOURCING RELATIONSHIPS: CUSTOMER PERSPECTIVES

This study attempts to infuse relationship marketing theory into the study of logistics outsourcing relationships. In particular, the study demonstrates that not all of the partnerships between customers and providers of third‐party logistics services are the same in terms of their level of development. The existence of distinct levels of partnership established previously in the logistics literature is partially supported and a relationship between level of partnership development and the customer perceptions of key relationship marketing elements and outcomes is established. While exploratory in nature, these findings suggest there are benefits for the increased costs of developing closer partnerships.     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

频率不受运放参数影响的文氏桥振荡器

本文介绍一组（12个）新的正弦振荡器，这组振荡器使用两个运算放大器，其振荡频率不受单极点有源元件增益带宽之积的影响。这种特性是由本文所介绍的电路结构取得的，即不需要调节。     

Asymptotically optimal estimation of smooth functionals for interval censoring, part 1

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.