Beta Regimes for the Yield Curve

We propose an affine term structure model which accommodatesnonlinearities in the drift and volatility function of the short-terminterest rate. Such nonlinearities are a consequence of discretebeta-distributed regime shifts constructed on multiple thresholds.We derive iterative closed-form formula for the whole yieldcurve dynamics that can be estimated using a linearized Kalmanfilter. Fitting the model on US data, we collect empirical evidenceof its potential in estimating conditional volatility and correlationacross yields.     

On Sraffa's Standard commodity

The necessity of expressing the relative price of a commodityin terms of another commodity makes it impossible to distinguishthat part of any change that can be ascribed to the characteristicsof the commodity itself from the part of that change that isto be ascribed to the characteristics of the commodity of reference,i.e., the numéraire. Ricardo (1817) was the first topoint out this problem and the need to find an ‘invariablemeasure of value’, but he was not able to solve the problem.In 1960, Sraffa suggested using a bundle of commodities, thathe called ‘Standard commodity’, to accomplish thisfunction, claiming that it was a standard of value invariantwith respect to changes in the distribution of income. But inSraffa's book there is no explicit proof of this claim. Thisgave rise to many misunderstandings about the Standard commodityand its role as invariable measure of value. This paper proposesa proper definition of an ‘invariable measure of value’,and then proves that the Sraffa ‘Standard commodity’does fulfil the requirements of this definition.     

Recursive residuals for linear mixed models

Quality & Quantity - This paper presents and extends the concept of recursive residuals and their estimation to an important class of statistical models, Linear Mixed Models (LMM). Recurrence...     

Network evolution and the embedding of complex technical solutions: The case of the Leaf House network

The purpose of this paper is to investigate the connection between network evolution and technology embedding. To this end, we performed an exploratory case study of the network surrounding an eco-sustainable technology, Leaf House, Italy's first zero-carbon emission house. We apply theories on technological development within industrial networks, with a specific focus on their resource layer and on the three settings involved in embedding an innovation: “developing”, “producing”, and “using”. Our results contribute to these theories by developing four propositions on the connections between network evolution and embedding: first, technology embedding entails both downstream network expansion and upstream restrictions. Secondly, conflicts among actors increase as technology embedding approaches the producing and using settings. Third and fourth, the more the shapes a technology can assume, and the more each of these shapes involves actors acting in different settings, the easier it is to embed it. The paper concludes with managerial implications and suggestions for further research.