Testing for multivariate volatility functions using minimum volume sets and inverse regression

We propose two new types of nonparametric tests for investigating multivariate regression functions. The tests are based on cumulative sums coupled with either minimum volume sets or inverse regression ideas; involving no multivariate nonparametric regression estimation. The methods proposed facilitate the investigation for different features such as if a multivariate regression function is (i) constant, (ii) of a bathtub shape, and (iii) in a given parametric form. The inference based on those tests may be further enhanced through associated diagnostic plots. Although the potential use of those ideas is much wider, we focus on the inference for multivariate volatility functions in this paper, i.e. we test for (i) heteroscedasticity, (ii) the so-called ‘smiling effect’, and (iii) some parametric volatility models. The asymptotic behavior of the proposed tests is investigated, and practical feasibility is shown via simulation studies. We further illustrate our methods with real financial data.     

Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies

This study compares the performance of different rebalancing strategies under realistic market conditions by reporting statistical significance levels. Our analysis is based on historical data from the United States, the United Kingdom, and Germany and comprises three different classes of rebalancing (periodic, threshold, and range rebalancing). Despite cross-country differences, our history-based simulation results show that all rebalancing strategies outperform a buy-and-hold strategy in terms of Sharpe ratios, Sortino ratios, and Omega measures. The differences in risk-adjusted performance are not only statistically significant, but also economically relevant. However, the choice of a particular rebalancing strategy is of only minor economic importance.     

Digitalisierung im Gesundheitswesen — zwischen Datenschutz und moderner Medizinversorgung

The digital transformation of the healthcare branch is important and unstoppable. The enormous possibility of digitalisation to redesign and enhance processes has been shown in other branches. Digital technologies offer the similarly large potential to improve the quality and efficiency of healthcare services. However, in terms of digitalisation, the German health system lags behind other European countries. But given a lack of available evidence, the effects of the digitalisation of the healthcare system cannot be reliably evaluated. Digital access to patient data necessitates constructive error cultures in organisations in order to limit defensive medicine. And digital access to health information necessitates individual competence in searching and using this information for participatory decision-making. As with all technological progress, information security is very important in order to gain citizens’ confidence in a digital healthcare system. Thus, it is necessary to simultaneously pursue both enhanced privacy standards and state-of-the-art medical technology.     

Discrimination by shipping conferences?

Shipping conferences have for years been under heavy attacks from developing countries. It was with a view to finding out whether there was any justification for these grievances that the HWWA-Institut für Wirtschaftsforschung — Hamburg (The Hamburg Institute for International Economics) prepared a wide-ranging inquiry for the Federal Ministry of Transport, the most important results of which are summarised in the following article.     

Lutz M. Hagen,Technische Universität Dresden

Ohne Zusammenfassung     

Multimedia: Forecasts of employment growth in the media and communications sector often exaggerated

Summary In the light of the probable market development of new multimedia products and services, domestic demand for media and communications goods in the year 2010 will be around three times its level at the start of the 1990s. The increase in private sector demand will be somewhat higher than general economic expansion, the rise in private household demand will be slightly higher than the growth of private consumption. This is, however, contingent on solutions being found by 1998 for the technical and regulatory questions that are as yet still unresolved. What is decisive for the pace at which the telecommunications infrastructure will develop is the degree of competitive and innovative pressure. German policy makers can contribute to this by ensuring that the (still publicly owned) Telekom AG sells off its cable TV networks. It would also seem important to restrict the time-consuming licensing procedure for broadcasting companies to programmes with a bearing on public opinion and to render the regulatory procedure more efficient by setting up a national body to perform this task.The number of employees in firms producing and distributing M&C technology will expand to a far lesser extent than domestic demand to the year 2010, largely due to productivity growth. Model calculations point to an increase of the order of 10% to around 2.1 million jobs. This means that the significant positive employment effects frequently forecast for the new M&C technologies can only come about if the potential for rationalisation inherent in these technologies is utilised throughout the economy in a rigorous fashion to raise efficiency and international competitiveness. Such competitive advantages can only be generated, however, if a broad-based application of the new multimedia is realised earlier than in Germany's leading competitors.