infonet-economy

Two computable expressions for the exact density of a ratio of quadratic forms in Gaussian random vectors are derived, one of which is restricted to special cases of the problem. Ratios of this type are ubiquitous in econometrics, but their density, unlike the corresponding cumulative distribution function, has not received much attention to date. The new algorithms complement those…

The purpose of this paper is to introduce and conceptualize the topic of Model-Based Management (MBM) in organizations. The importance of qualitative and quantitative models for management is highlighted, and a research agenda for this new topic is proposed. This agenda promises to make a contribution to the use of models for higher managerial effectiveness. The role of models for…

This paper studies coordination in a multi-stage elimination tournament with large monetarynincentives and a diversified subject pool drawn from the adult British population. In thentournament, members of an ad hoc team earn money by answering general knowledgenquestions and then eliminate one contestant by plurality voting without prior communication. We find that in the early…

Firms are increasingly becoming interested in harnessing the potential of online social networks for marketing purposes. Marketers are therefore interested in understanding the antecedents and consequences of relationship formation within such social networks and in predicting the interactivity among users. In this paper we develop an integrated statistical framework for…

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market…

Models for hysteresis in continuum mechanics are studied that rely on a time-discretised quasi-static evolution of Young measures akin to a gradient flow. The main feature of this approach is that it allows for local, rather than global minimisation. In particular, the case of a non-coercive elastic energy density of Lennard-Jones type is investigated. The approach is used to…

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of the current reserve amounts and future positions. Consequently, cash sub-additive risk…