Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

In this article we provide an asymptotic distribution theoryfor some nonparametric tests of the hypothesis that asset priceshave continuous sample paths. We study the behaviour of thetests using simulated data and see that certain versions ofthe tests have good finite sample behavior. We also apply thetests to exchange rate data and show that the null of a continuoussample path is frequently rejected. Most of the jumps the statisticsidentify are associated with governmental macroeconomic announcements.     

The Red Queen and the environment: reconciling public regulation and business strategy

Until the late 1980s, environmental regulation in Denmark was often carried out in an intensely politicized and confrontational climate marked by strong tensions between authorities and polluting firms. In recent years, however, the general spirit of regulation seems to have improved significantly. During this same period, ‘generic’ measures such as general discharge limits have been supplemented with more specific demands, tailored for individual companies. The present paper presents a case study based on the environmental regulation of TripleNine, a West Jutland fishmeal factory. In response to major changes in its market and regulatory environment, the firm has revised its general strategy and taken a more pro‐active stance on environmental issues, pursuing a policy of active co‐operation with local environmental authorities. Informed by this and other case studies, a theoretical model is developed to account for the incorporation of ecological concerns into firms' general business strategy. Against the background of this model, the paper addresses the long‐term possibilities of reconciling business strategy and public regulation in the future. Copyright © 2005 John Wiley & Sons, Ltd and ERP Environment.     

Subsampling realised kernels

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend our analysis, looking at the class of subsampled realised kernels and we derive the limit theory for this class of estimators. We find that subsampling is highly advantageous for estimators based on discontinuous kernels, such as the truncated kernel. For kinked kernels, such as the Bartlett kernel, we show that subsampling is impotent, in the sense that subsampling has no effect on the asymptotic distribution. Perhaps surprisingly, for the efficient smooth kernels, such as the Parzen kernel, we show that subsampling is harmful as it increases the asymptotic variance. We also study the performance of subsampled realised kernels in simulations and in empirical work.     

Are piglet prices rational hog price forecasts?

In this paper a simple model is developed in which the piglet price serves as a forecast for the hog price 3 months ahead. The model is tested on data from Northern Europe, viz. Norway, Sweden, Denmark and Finland during the period 1982-1992. The empirical results lend strong support to the hypothesis that hog producers hold rational expectations when pricing the piglets. Thus, the weight adjusted piglet price typically represents an unbiased (conditional) forecast with unsystematic errors for the hog price one quarter later.     

UNDERSTANDING THE RELATIONSHIP BETWEEN INFRASTRUCTURE PUBLIC‒PRIVATE PARTNERSHIPS AND INNOVATION

While the contemporary academic discourse regards innovation as an inherent feature of infrastructure public?private partnerships (PPPs), the conceptual link between infrastructure PPPs and innovation is narrowly understood. While most existing studies conceptualize the innovation processes and effects within the context of PPP projects, we argue that the relevance of innovation in infrastructure PPPs goes beyond specific projects. In this conceptual article, we examine why and how infrastructure PPP innovations can shape the evolution of the involved private and public sector organizations – and therefore the respective sectors – more broadly. We show that innovation in the context of PPPs has much broader implications and potential outcomes than as emphasized in the literature so far.     

W?rmed?mmungs-Strategien im Haushaltssektor und ihr Beitrag zu Materialeffizienz und Emissionsminderung – eine Langfristanalyse bis zum Jahr 2050

An often controversial question is whether a massive insulation of houses in the overall balance does not cause more resource consumption and emissions than it saves in the end. To investigate this question, for the first time a trade-off analysis has been performed. For this, a bottom-up impact analysis model was developed, whose core forms an emissions- and energy model for the household sector which is coupled with a life cycle assessment tool. Both models provide the framework for energy scenarios to 2050, claiming for each decade refurbishment rates and energy mixes. Thus, ??pure?? energy scenarios can be extended by resource policy analyses and the effects of various insulation strategies might be determined. The central result of modeling is that additional costs are compensated for insulating (extruded polystyrene foam XPS and cellulose were examined) both resource- and emission-side in almost all environmental impact categories with significant savings in building heating. Essentially, there are no trade-offs identified, and the percentage contribution of the insulating materials on the environmental impact indicators is low. In contrast, the choice of foaming agent in the foamed XPS insulation is relevant: Compared with the XPS used in Germany, which is largely CO₂ foamed insulation, one which has a high proportion of HFCs, leads to a high trade-off regarding the impact category ??stratospheric ozone depletion?? and leads to a noticeable, but not significant effect on the global warming potential. A sensitivity analysis with the alternative cellulose insulation material shows that the already low shares of the insulation continue to decrease with regard to the environmental impact indicators. However, with regard to the material intensity, XPS and cellulose insulation are associated with similar effects. In summary, it can be stated that for both insulation materials ambitious strategies??with regard to all factors analysed in the study??can significantly contribute to material efficiency as well as to emissions reduction targets.     

The nutrition transition and the human right to adequate food for adolescents in the Cape Town metropolitan area: Implications for nutrition policy

Changes in diet and nutrition, along with other lifestyle changes during the last decades, have affected the nutrition-related disease profile in many developing countries. This phenomenon, or process, is known as ‘The Nutrition Transition’. Several studies on adolescents in South Africa have shown that overweight and obesity are increasing, possibly due to this process. The aim of the present study was to extend our knowledge on the nutrition transition and the factors that influence adolescents’ choice of food in South Africa, and to develop policy recommendations that could facilitate the adolescents’ right to adequate food as laid down in the South African Constitutional Bill of Rights. The data were collected through focus groups with 25 female learners (grade 10, 14–16 years) from urban public schools in Cape Town and key informant interviews with 10 school staff members. The most important nutritional concerns that emerged from the analyses, included skipping breakfast and the consumption of unhealthy tuck shop food. In terms of the human right to adequate food, these findings reflected lack of availability and access to adequate food within the household, at schools, and in the community. In addition, the study showed that there were no or few opportunities for physical activity for adolescents during and after school hours. Social factors, including social norms and a need to conform to peer group pressure, appeared to affect the behaviour of learners considerably. Traditional foods appeared to have lost their importance, while learners preferred to consume fast foods and to adopt a more westernised diet connected to affluence and social acceptance. Traditional and more “Western” body perceptions co-existed among the study participants. The nutrition transition in South Africa is of a complex nature because of large differences that exist amongst different ethnic and socioeconomic groups. Policy decisions should be based on an understanding of these diverse factors. The media and the food industry should be encouraged to work with government in influencing adolescents to make healthy food choices. Cultural perceptions which may lead to unhealthy choices and lifestyle need to be addressed while at the same time respecting people’s cultural pride and human dignity. It is recommended that human rights principles are used purposively in the future in policy formulations, interventions, evaluation and monitoring.     

Optimally locating in-house logistics areas to facilitate JIT-supply of mixed-model assembly lines

In modern-day production systems, ever-rising product variety poses a great challenge for the internal logistics systems used to feed mixed-model assembly lines with the required parts. As an answer to this challenge many manufacturers especially from automobile industries have identified the supermarket-concept as a promising part feeding strategy to enable flexible small-lot deliveries at low cost. In this context, supermarkets are decentralized in-house logistics areas in the direct vicinity of the final assembly line, which serve as intermediary stores for parts. Small tow trains are loaded with material in a supermarket and deliver parts Just-in-Time to the stations lying on their fixed route. This paper discusses the general pros and cons of the supermarket-concept and treats the decision problem of determining the optimal number and placement of supermarkets on the shop floor. A mathematical model is proposed, an exact dynamic programming algorithm presented, and the validity of the proposed approach for practical purposes as well as the trade-off resulting from fixed installation and maintenance cost is investigated in a comprehensive computational study.