Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson [1980. The extreme value method for estimating the variance of the rate of return. Journal of Business 53, 61–65] we replace each squared intra-day return by the high–low range for that period to create a novel and more efficient estimator called the realized range. In addition, we suggest a bias-correction procedure to account for the effects of microstructure frictions based upon scaling the realized range with the average level of the daily range. Simulation experiments demonstrate that for plausible levels of non-trading and bid–ask bounce the realized range has a lower mean-squared error than the realized variance, including variants thereof that are robust to microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirms the potential of the realized range. 相似文献
Customer loyalty is viewed as the strength of the relationship between an individual’s relative attitude and repeat patronage.
The relationship is seen as mediated by social norms and situational factors. Cognitive, affective, and conative antecedents
of relative attitude are identified as contributing to loyalty, along with motivational, perceptual, and behavioral consequences.
Implications for research and for the management of loyalty are derived.
His research interests include consumer decision making, information processing, and consumer loyalty. He has published in
theJournal of Consumer Research andAdvances in Consumer Research.
His research interests are consumer information processing, persuasion cues in advertising, and international marketing. His
articles have appeared in theJournal of Consumer Research, Journal of Marketing Research, Journal of Consumer Psychology, andCanadian Journal of Administrative Sciences as well as in a number of conference proceedings. 相似文献
Rashid Amjad (ed.), The Development of Labour Intensive Industry in ASEAN Countries, Geneva: Asian Employment Programme, International Labour Office, 1981, pp. v + 337. US$10.00.
G. J. Viksnins, Financial Deepening in ASEAN Countries, Pacific Forum. University of Hawaii Press, 1980, pp. ix + 76.
C. Sosya, L-S. Chia, W. L. Collier (eds). Man, Land and Sea, Bangkok: Agricultural Development Council, 1982, pp. ix + 320.
Joachim K. Metzner, Agriculture and Population Pressure in Sikka, Isle of Flores, (A contribution to the study of the stability of agricultural systems in the wet and dry tropics). Development Studies Centre Monograph No. 28. Canberra: Australian National University Press, 1982, pp. xxxii + 355. $A15.00.
Dwight Y. King, Interest Groups and Political Linkages in Indonesia 1800–1965. DeKalb: Northern Illinois University, Center for Southeast Asian Studies Special Report No. 20, pp. vii + 192, index.
Improving Access to Indonesian Collections in the Netherlands, Leiden: Intercontinenta No. 2, 1981, pp. 78. Dlf. l4.75. 相似文献
Leon A. Mears, The New Rice Economy of Indonesia, Yogyakarta: Gadjah Mada University Press, 1981, pp. xxiii + 605. Price US$15.
Alfian, Mely G. Tan, Selo Soemardjan (eds). Kemirkinan Struktural: Suatu Bunga Rampai (Structural Poverty: A Collection). Jakarta: Yayasan Ilmu-Ilmu Sosial (YIIS), 1980. pp. 189. Rp 2000.
Thee Kian Wie, Pemerataan- Kemiskinan- Ketimpangan (Equalization-Poverty-Uneven Distribution), Jakarta: Sinar Harapan. 1981, pp. 152. Rp 1750.
Bulletin Leknns, Year 1 No. 2, Feb. 1982, Special Edition on Employment Opportunity, Poverty and Population Mobility in Rural Areas, pp. 146.
Mubyarto (ed.), Growth and Equity in Indonesian Agricultural Development, Jakarta: Yayasan Agro Ekonomika, 1982. pp. xv + 258.
Muriel Charras, De la forêt malefique à I'herbe divine [From Malign Jungle to Divine Grain]: La transmigration en Indonesie: Les Balinais a Sulawesi, Paris: Editions de la Maison des sciences de I'homme 1982, pp, viii + 341. Price Fr. 90.00.
Yujiro Hayami and Masao Kikuchi. Asian Village Economy at the Crossroads: An Economic Approach to Institutional Change, Tokyo: University of Tokyo Press, 1981, pp. xvi + 275. Yen 4000. Geoffrey B. Hainsworth (ed.), Village-level Modernization in Southeast Asia: The Political Economy of Rice and Water. Vancouver: University of British Columbia Press. 1982. pp. ix + 411. Can$34.00.
Colin MacAndrews and Chia Lin-Sien (eds.). Too Rapid Rural Development: Perceptions and Perspectives from Southeast Asia, Athens: University of Ohio Press, pp. xiv + 369. Cloth $19.95, paper $10.95.
Gary E. Hansen (ed.), Agricultural and Rural Development in Indonesia, Boulder, Colorado: Westview Press, 1981, pp. xiv + 312.
William L. Collier, Declining Labour Absorption (1878 to 1980) in Javanese Rice Production, Bogor: Agro-economic Survey, Rural Dynamics Study, Publication No. 2, 1980, pp. 120. 相似文献
This paper looks at the holiday experiences of women with young children. It attempts to unfold the meaning of that experience, looking particularly at the contradiction of a work-filled event being accepted as a holiday experience. Women with young children do not have uniform holiday experiences or perceptions of those experiences. Some women will define the experience as a holiday only if they are away from family obligations; other women will consider the relative rest and the opportunity of being able to have quality time as a mother or partner as meaningful and worthwhile. The two key features of the holiday for women with young children were the reduction in pressure and the sharing of time in key relationships and roles. However, the overall scenario was one of little support for women to construct a holiday and an absence of dialogue regarding the right to holidays. As work and relationship are an integral part of the holiday experience, the findings question the relevance of the continued use of the work/leisure dichotomy in leisure theory. 相似文献
Monetary budgets influence activity participation and related travel as they demarcate limits on how people organize their activities in time and space. In this paper, we are interested in money allocation to out-of-home leisure activities and how this is affected by duration, sociodemographics, and time-location variables. Analyses were carried out by applying a seemingly unrelated regression model to a leisure activity data set. The analyses revealed that expenditures for out-of-home leisure activities are influenced by the variables mentioned above. Moreover, the results indicate that there is a substitution between expenditure of each activity. 相似文献
Antitrust guidelines rely on structural screens to review horizontal merger proposals for possible anti-competitive effects. This paper extends this screening approach to forecast where industry cartels will form, and where cartel agreements are more likely to raise price. I test the screen's reliability for a unique data set of legal, privately enforced industry cartels that formed under the Webb-Pomerene Export Trade Act. Consistent with screening assumptions, I find that cartels formed more frequently in industries with significant potential market power, high barriers to entry, and conditions facilitating the enforcement of agreements. However, these characteristics generally perform less well at distinguishing when cartels are likely to raise price without generating offsetting cost-savings, suggesting that screening is reliable only as a preliminary check for possible anti-competitive behavior. 相似文献