Large Deviations for the Extended Heston Model: The Large-Time Case

We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, 2011)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money, which are the most common in practice, and extend the results in Forde and Jacquier (Finan Stoch 15(4):755–780, 2011) and Gatheral and Jacquier (Quant Finan 11(8):1129–1132, 2011).     

Temporary Migration and the Flow of Savings to the Source Country

The saving behavior of temporary migrants when the duration of their stay abroad is set by the immigration policy of the host country is studied in this paper. The focus is on the implied flow of savings back to the source country and how it depends on migration costs, duration of the work permit, and international wage, interest and price‐level differentials. The amount of time that migrants are allowed to work in the host country is shown to be a key policy variable that affects the flow of savings repatriated to the source country.     

Where is Serbia? Traditions of Spatial Identity and State Positioning in Serbian Geopolitical Culture

This article studies the geopolitical traditions of spatial imagining of Serbia amongst the country’s political elites since the break-up of Yugoslavia in the early 1990s. It examines some of the socially dominant discourses of spatial positioning of Serbia as a historical-political narrative. The study argues that one can identify five distinct geopolitical traditions that, in variably overlapping or mutually contradicting ways, address two questions: ‘Where is Serbia’ and ‘How is its perceived smallness felt and described’? A first tradition is that which attributes sacred, divine and martyr-like features to the country, its small earthly “Serbian lands” and people. A second tradition conveys spatially maximised and biopolitical visions of “Serbdom”, amounting to variable designs of a “Greater Serbia” anxious about its felt frontiers and smallness. The final three traditions are the mutually exclusive positioning of Serbia around an East-West axis as either Eastern or Western, or a geographically unique and exceptional bridge between the two, whereby each positioning recasts smallness as a crucial feature of geopolitical exceptionality. The article concludes with some general observations on the challenges of studying geopolitical cultures.     

A note on essential smoothness in the Heston model

This note identifies a gap in the proof of Corollary 2.4 in Forde and Jacquier (Finance Stoch., 2011) which arises because the essential smoothness of the family (X _t /t) _t≥1 can fail for the log-spot process X in the Heston model, and it describes how to circumvent the issue by applying a standard argument from large deviation theory.     

The costs of moving money across borders and the volume of capital flight: the case of Russia and other CIS countries

We estimate capital flight from seven countries of the Commonwealth of Independent States for the period 1995–2005. In some countries capital flight is large and growing, but other countries, despite similar macroeconomic and political circumstances, have little capital flight. We develop a model of capital flight that incorporates costs of moving money to offshore locations and show that such costs are an important determinant of capital flight. Liberalizing the trade and financial sectors accelerates capital flight by making it easier to move capital abroad. In the short run, greater regulation rather than external sector liberalization appears to have more potential to combat capital flight.     

Intraweek and intraday trade anomalies: evidence from FOREX market

In this article, we search for the evidence of intraweek and intraday anomalies on the spot foreign exchange (FOREX) market. Having in mind the international scope of this market, empirical evidence against market efficiency (i.e. market anomalies) will have important consequences for the substantial number of FOREX investors all around the globe. We explore intraweek, intraday and interaction between days and hour trade anomalies on the FOREX market over the period of 10 years using hourly time-series data of Euro and US Dollar (EUR/USD) exchange rate on Swiss FOREX market from 1 January 2004 to 11 January 2014. We compare by analysis of variance test all pairs of mean returns on a daily, hourly and daily/hourly basis. t-Test is used to test whether intraday returns are significantly different from zero. We employ Tukey’s honestly significant difference test to explore which intraday pairs of hourly mean returns are significantly greater than zero. We find that intraday and interaction between day and hour anomalies are present in trading EUR/USD on the spot FOREX market over the period of 10 years. The best arbitrage opportunity is evidenced on Fridays, when selling USD and buying EUR at 00:00 and selling EUR and buying USD at 03:00 the same day.     

Changes in subjective well-being with retirement: assessing savings adequacy

Does retirement represent a state of relative prosperity or unanticipated hardship? To assess whether individuals are successful in smoothing their well-being across the transition to retirement we analyse measures of subjective well-being (SWB) in the Household, Income and Labour Dynamics in Australia (HILDA) Survey. Specifically, this research examines retirees’ current standard of living, financial security and overall happiness relative to their pre-retirement levels. It is found SWB either improves or remains constant for the large majority of individuals as they retire from the labour force. However, there are significant disparities in changes in well-being with retirement among the group of retirees. In particular, the subset of individuals who are forced to retire early due to job loss or their own health, and who find their income in retirement to be much less than expected, report marked declines in their SWB with retirement.     

An importance–performance analysis of sustainability factors for long-term strategy planning in Slovenian hotels

This paper explores the potential role of economic, environmental and social reporting in long-term strategy planning in the hospitality industry. The context of study is Slovenia. Following the development of a set of “sustainability” indicators, hospitality managers were asked to rate the importance of each indicator to sustainable operations and the performance of their firms in implementing management actions. Seven hotel performance factors were established across the triple bottom line. Using importance–performance analysis (IPA), key issues are identified as requiring the attention of stakeholders to support the sustainable development of Slovenia's hospitality industry. For managers, the 10 most important indicators include those related to economic performance, customer relationship and cost saving environmental activities: performance here, and in marketing, was perceived as poor. In contrast, actions taken to increase environmental awareness, and improve relationships with employees are seen by managers as less important, and even as possible overkills. Community relationships are seen as of low importance and where the industry performs relatively poorly. A major recommendation is that Slovenian hotel managers should focus on improving their economic performance: neglecting this could threaten hotels’ long-term survival. IPA analysis is shown as applicable to strategy making for sustainable development in hospitality industry contexts worldwide.     

Investition in die Zukunft? Zur Entwicklung des deutschen Auslandsvermögens

Germany’s substantial current account surpluses are an ongoing subject of debate, both at the domestic and the European/ global level. Advocates of high surpluses emphasise the need to accumulate foreign wealth in order to finance future investment and consumption expenditures of an ageing population. This contribution gauges the profitability of Germany’s foreign wealth. It identifies large valuation losses to the tune of half a trillion euros in recent years as well as a persistently adverse trend in previous decades. This unfavourable development as well as historically low refinancing costs point to the comparatively greater benefits of a domestic investment offensive aiming to equip Germany for central long-term challenges.