Realized Laplace transforms for estimation of jump diffusive volatility models

We develop an efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility, which is a model-free estimate of the daily integrated empirical Laplace transform of the unobservable volatility. The estimation is then done by matching moments of the integrated joint Laplace transform with those implied by the parametric volatility model. In the empirical application, the best fitting volatility model is a non-diffusive two-factor model where low activity jumps drive its persistent component and more active jumps drive the transient one.     

The politics of public safety communication interoperability regulation

This article examines an understudied area of telecommunication policy, namely the regulation of public safety radio communication to bring about communication interoperability. Commonality and funding are the two intertwined policy challenges need to be overcome to achieve this interoperability. Addressing these challenges separately, US federal policy has struggled to establish communication interoperability. By contrast, the integrated approach of the Europeans has resulted in a relatively successful outcome. It is argued that this integrated approach may even permit the transplantation of a more general telecommunication policy thread—competition—to the public safety radio communication field. However, whether interoperability is established may also be linked to intra-agency fears of a potential re-direction of hierarchical communication flows brought about by new (and configurable) communication infrastructure. If this is the case, policy-makers regulating for interoperability will need to take into account inter- and intra-agency organizational dynamics as well.     

The ‘science-as-market’ analogy: a constitutional economics perspective

The ‘science-as-market’ analogy has been used in support of the notion that in science just as in markets competition works as an effective instrument for reconciling the self-interested ambitions of individual agents with the social function that science and markets are supposed to serve. This paper examines the analogy from a constitutional economics perspective, drawing attention to the role that the rules of the constitution of the ‘game of science’ as well as the ‘market game’ play in conditioning the ways in which competition works in the two realms.     

Constitutional Implications of Radical Subjectivism

This paper examines the role that creative choice, as stressed by Shackle, plays in the generation of economic value. In particular, we evaluate the relationships between creative choice, economic value and the institutional structure of an economy.     

Likelihood approximation by numerical integration on sparse grids

The calculation of likelihood functions of many econometric models requires the evaluation of integrals without analytical solutions. Approaches for extending Gaussian quadrature to multiple dimensions discussed in the literature are either very specific or suffer from exponentially rising computational costs in the number of dimensions. We propose an extension that is very general and easily implemented, and does not suffer from the curse of dimensionality. Monte Carlo experiments for the mixed logit model indicate the superior performance of the proposed method over simulation techniques.     

Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices

This paper examines the relationship between the Islamic and conventional equity indices by employing the newly launched MSCI Global Islamic Indices which began in 2008. We argue for the case of cointegration supported by fundamental, category and habitat theories, and against cointegration due to the fundamental difference between Islamic and conventional stocks in terms of debt ratio, accounts receivable and interest bearing securities. We find Islamic and conventional equity markets move together despite fundamental differences and given that market microstructure, dividends, capital gains, taxation and governance systems are different across the markets. Almost simultaneous movement of the permanent and cycle components of Islamic and mainstream equity indices has been supported by the application of the Beveridge Nelson (BN) time series decomposition technique. Theoretically, the volatility of Islamic equities should be lower due to their low leverage ratio. Surprisingly, permanent parts of the Islamic indices appear to be more volatile during the crisis period and less volatile during the post‐crisis period.     

Globalization, Democracy, and Citizens' Sovereignty: Can Competition Among Governments Enhance Democracy? 1

This paper examines the claim that the forces of globalization and of the ensuing competition among jurisdictions subvert the ability of democratic governments to act in the interest of their citizens. Against this claim it is argued that competition among jurisdictions can, on the contrary, enhance the capacity of democratic governments to serve the common interests of their constituents by limiting the scope for rent-seeking and by functioning as a discovery process.     

Sharing the Burden? Empirical Evidence on Corporate Tax Incidence

This study investigates the direct incidence of the corporate income tax (CIT) through wage bargaining, using an industry‐region level panel dataset on all corporations in Germany over the period 1998–2006. For the first time we account for employment effects which result from tax‐induced wage changes. Workers share in reductions of the CIT burden; yet, the net effect of wage bargaining on the corporate wage bill, after an exogenous €1 decrease in the CIT burden, is as little as 19–28 cents. This is about half of the effect obtained in prior literature focussing on wages alone.