Econometric analysis of jump-driven stochastic volatility models

This paper introduces and studies the econometric properties of a general new class of models, which I refer to as jump-driven stochastic volatility models, in which the volatility is a moving average of past jumps. I focus attention on two particular semiparametric classes of jump-driven stochastic volatility models. In the first, the price has a continuous component with time-varying volatility and time-homogeneous jumps. The second jump-driven stochastic volatility model analyzed here has only jumps in the price, which have time-varying size. In the empirical application I model the memory of the stochastic variance with a CARMA(2,1) kernel and set the jumps in the variance to be proportional to the squared price jumps. The estimation, which is based on matching moments of certain realized power variation statistics calculated from high-frequency foreign exchange data, shows that the jump-driven stochastic volatility model containing continuous component in the price performs best. It outperforms a standard two-factor affine jump–diffusion model, but also the pure-jump jump-driven stochastic volatility model for the particular jump specification.     

Assimilation,labour market experience and earnings profiles of temporary and permanent immigrant workers in Germany

We test the assimilation hypothesis, as initially proposed by Chiswick (1978), by making use of a rich panel-data set for Germany, which permits us to allow for unobserved population heterogeneity and potential selectivity bias arising from an individual's remigration decision and employment behaviour. To take into account the institutional aspects of the German guest-worker system we use information on an immigrant's expected duration of stay in Germany to distinguish between temporary and permanent migrants and to test for differences in earnings/experience profiles with respect to a foreigner's expected duration of stay. We find that years of schooling in Germany have a strong positive effect on earnings, that earnings/experience profiles of guest-workers differ by expected duration of stay, and that the renumeration of labour market experience in Germany is higher for natives than for most foreigners. The assimilation hypothesis is therefore not supported by the evidence for Germany.     

Optimal top marginal tax rates under income splitting for couples

This paper provides formulas for optimal top marginal tax rates when couples are taxed according to income splitting between spouses, consumption is taxed, and the skill distribution is unbounded. Optimal top marginal income tax rates are computed for Germany using a dataset that includes the tax returns of all German top taxpayers. We find that the optimal top marginal tax rate converges to about 2/3 and convergence obtains at income levels that are substantially higher than those currently subject to the actual top tax rate.     

Activity signature functions for high-frequency data analysis

We define a new concept termed activity signature function, which is constructed from discrete observations of a continuous-time process, and derive its asymptotic properties as the sampling frequency increases. We show that the function is a useful device for estimating the activity level of the underlying process and in particular for deciding whether the process contains a continuous martingale. An application to $ /DM exchange rate over 1986–1999 indicates that a jump-diffusion model is more plausible than a pure-jump model. A second application to internet traffic at NASA servers shows that an infinite variation pure-jump model is appropriate for its modeling.     

Institutional competition among jurisdictions: An evolutionary approach

The purpose of this paper is to outline an evolutionary approach to the process of competition among institutions. We shall focus, in particular, on two issues: first, the role of the competitive process as a knowledge-creating process; and, second, the issue of what inferences, if any, can be drawn from the nature of this process regarding the desirability of its outcomes. In discussing both issues we will draw a parallel between ordinary market competition and competition in the realm of institutions. Some clarifying comments in order to narrow down what we mean by “evolutionary approach” and “institutional competition” precede the analysis. The authors wish to thank Richard Wagner for helpful criticism.     

The Status Quo in Contractarian-Constitutionalist Perspective

That it favors the status quo is one of the most common and persistent objections raised against the contractarian-constitutionalist approach and, specifically, against its emphasis on voluntary agreement as the fundamental legitimizing principle for social reform. This paper seeks to clarify certain ambiguities that have surrounded the arguments of critics as well as contractarian responses to them. Its main emphasis will be on separating two issues the differences between which have not always been sufficiently recognized in the debate, namely, on the one hand, the role of the status quo as the inevitable starting point of any change and, on the other hand, the issue of the normative evaluation of the status quo.     

发展·领导·创新PPG成功秘诀

PPG工业公司始建于1883年,总部设在美国匹兹堡市,是全球性的制造企业,生产及经营涂料、玻璃、玻璃纤维及化学品,其产品涉及很多领域,在世界上居有行业先导地位。PPG在全球设有100多家工厂和科研机构,分布在21个国家和地区,共有约30800名员工,连续51年居财富500强之列,是世界领先的工业、包装用漆和汽车、船舶、航天等交通工具用漆制造商。PPG每年投资上亿美元开发并改进产品,采用最新技术适应新市场。PPG是几家自1899年以来不断给股东分红的上市公司之一,已连续35年不断增加给股东的分红。PPG公司不仅拥有一流的产品,更是拥有让员工引以为荣的文化,2004年PPG被《财富》杂志评为全球最受称羡的化学品公司之首。