Inconsistency of the MLE and inference based on weighted LS for LARCH models

This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect, allows the volatility to be arbitrarily close to zero and to reach its minimum for non-zero innovations, and is appropriate for long memory modeling when infinite orders are allowed. However, the (quasi-)maximum likelihood estimator is, in general, inconsistent. A self-weighted least-squares estimator is proposed and is shown to be asymptotically normal. A score test for conditional homoscedasticity and diagnostic portmanteau tests are developed. Their performance is illustrated via simulation experiments. It is also investigated whether stock market returns exhibit some of the characteristic features of the linear ARCH model.     

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

In generalized autoregressive conditional heteroskedastic (GARCH) models, the standard identifiability assumption that the variance of the iid process is equal to 1 can be replaced by an alternative moment assumption. We show that, for estimating the original specification based on the standard identifiability assumption, efficiency gains can be expected from using a quasi-maximum likelihood (QML) estimator based on a non Gaussian density and a reparameterization based on an alternative identifiability assumption. A test allowing to determine whether a reparameterization is needed, that is, whether the more efficient QMLE is obtained with a non Gaussian density, is proposed.     

The relevance of reputation in the nonprofit sector: the moderating effect of socio-demographic characteristics

This paper extends prior research on the reputation of nonprofit organizations (NPOs) by investigating the moderating role of socio-demographic characteristics in forming NPO reputation and reputation's effects on donating and volunteering behavior. The findings offer new insights into the role an NPO's reputation plays and its effects on key outcomes such as willingness to donate and work as a voluntary member in specific subgroups. The results show that successful reputation management is specifically important for male, older, highly educated, and affluent respondents. Communicational measures aimed at strengthening an organization's social responsibility are particularly promising regarding triggering favorable donor behavior and voluntary support. Copyright © 2014 John Wiley & Sons, Ltd.     

Adverse Selection and Moral Hazard in Equity Partnerships: Evidence from Hollywood's Slate Financing Agreements

We use a movie industry project‐by‐project data set to analyze the principal–agent problem in slate financing arrangements. Under this specific film financing regime, which has become a significant mode of raising capital in Hollywood over the past decade, an external investor concludes a long‐term contract with a film producer and commits to cofinance a larger number of future film projects of that particular partner. In line with our theoretical conjectures, slate cofinanced movies receive poorer quality ratings and yield considerably lower return rates. Our data suggests that a substantial part of these performance differences may be attributed to adverse project selection and producer moral hazard.     

Shrinkage estimation of semiparametric multiplicative error models

Within models for nonnegative time series, it is common to encounter deterministic components (trends, seasonalities) which can be specified in a flexible form. This work proposes the use of shrinkage type estimation for the parameters of such components. The amount of smoothing to be imposed on the estimates can be chosen using different methodologies: Cross-Validation for dependent data or the recently proposed Focused Information Criterion. We illustrate such a methodology using a semiparametric autoregressive conditional duration model that decomposes the conditional expectations of durations into their dynamic (parametric) and diurnal (flexible) components. We use a shrinkage estimator that jointly estimates the parameters of the two components and controls the smoothness of the estimated flexible component. The results show that, from the forecasting perspective, an appropriate shrinkage strategy can significantly improve on the baseline maximum likelihood estimation.     

Supply Disruptions and Regional Price Effects in a Spatial Oligopoly—An Application to the Global Gas Market

Supply shocks in the global gas market may affect countries differently, as the market is regionally interlinked but not perfectly integrated. Additionally, high supply‐side concentration may expose countries to market power in different ways. To evaluate the strategic position of importing countries with regard to gas supplies, we disentangle the import price into different components and characterize each component as price increasing or price decreasing. Because of the complexity of the interrelations in the global gas market, we use an equilibrium model programmed as a mixed complementarity problem (MCP) and simulate the blockage of liquefied natural gas (LNG) flows through the Strait of Hormuz. This enables us to account for the oligopolistic nature and the asymmetry of the gas supply. We find that Japan faces the most severe price increases, as the Japanese gas demand completely relies on LNG supply. In contrast, European countries such as the UK benefit from good interconnection to the continental pipeline system and domestic price taking production, both of which help to mitigate an increase in physical costs of supply as well as in the exercise of market power.     

Unique equilibrium in rent-seeking contests with a continuum of types

It is shown that rent-seeking contests with continuous and independent type distributions possess a unique pure-strategy Nash equilibrium.