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http://hdl.handle.net/10453/145
2014-07-28T22:01:28ZMeta-analytic research in international business and international management
http://hdl.handle.net/10453/26144
Meta-analytic research in international business and international management
Buckley, Peter; Devinney, Timothy; Tang, Ryan
Devinney, T.M., Pedersen, T., Tihanyi, L.
Over the past decade, international business and international management researchers have utilized meta-analytic approaches to synthesizing findings in the extant literature. This chapter reviews the studies published in the top five international business and management journals from 2004 to 2012. The review investigates major problems in the published meta-analyses by evaluating their overall analyses as well as the approaches utilized. The findings of this review reveal differences among the journals and improvements in the approaches applied in recent years. The chapter ends by discussing why and how international business and management researchers need to focus more on methodological fundamentals in their applications of meta-analysis
2013-01-01T00:00:00ZFinite mixture and genetic algorithm segmentation in partial least aquares path modeling: Identification of multiple segments in complex path models
http://hdl.handle.net/10453/14247
Finite mixture and genetic algorithm segmentation in partial least aquares path modeling: Identification of multiple segments in complex path models
Ringle, Christian; Sarstedt, Marko; Schlittgen, Rainer
Fink, A; Lausen, B; Seidel, W; Ultsch, A
When applying structural equation modeling methods, such as partial least squares (PLS) path modeling, in empirical studies, the assumption that the data have been collected from a single homogeneous population is often unrealistic. Unobserved heterogeneity in the PLS estimates on the aggregate data level may result in misleading interpretations. Finite mixture partial least squares (FIMIX-PLS) and PLS genetic algorithm segmentation (PLS-GAS) allow the classification of data in variance-based structural equation modeling. This research presents an initial application and comparison of these two methods in a computational experiment in respect of a path model which includes multiple endogenous latent variables. The results of this analysis reveal particular advantages and disadvantages of the approaches. This study further substantiates the effectiveness of FIMIX-PLS and PLS-GAS and provides researchers and practitioners with additional information they need to proficiently evaluate their PLS path modeling results by applying a systematic means of analysis. If significant heterogeneity were to be uncovered by the procedures, the analysis may result in group-specific path modeling outcomes, thus allowing further differentiated and more precise conclusions to be formed.
2010-01-01T00:00:00ZRepresentation of American option prices under Heston stochastic volatility dynamics using integral transforms
http://hdl.handle.net/10453/14246
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan
Chiarella, C; Novikov, A
We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston?s stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327?343, 1993). We solve the Kolmogorov partial differential equation associated with the driving stochastic processes using a combination of Fourier and Laplace transforms and so obtain the joint transition probability density function for the underlying processes. We then use this expression in applying Duhamel?s principle to obtain the expression for an American call option price, which depends upon an unknown early exercise surface. By evaluating the pricing equation along the free surface boundary, we obtain the corresponding integral equation for the early exercise surface.
2010-01-01T00:00:00ZThe economic plausibility of strict local Martingales in financial modelling
http://hdl.handle.net/10453/14245
The economic plausibility of strict local Martingales in financial modelling
Hulley, Hardy
Chiarella, C; Novikov, A
The context for this article is a continuous financial market consisting of a risk-free savings account and a single non-dividend-paying risky security. We present two concrete models for this market, in which strict local martingales play decisive roles. The first admits an equivalent risk-neutral probability measure under which the discounted price of the risky security is a strict local martingale, while the second model does not even admit an equivalent risk-neutral probability measure, since the putative density process for such a measure is itself a strict local martingale. We highlight a number of apparent anomalies associated with both models that may offend the sensibilities of the classically-educated reader. However, we also demonstrate that these issues are easily resolved if one thinks economically about the models in the right way. In particular, we argue that there is nothing inherently objectionable about either model.
2010-01-01T00:00:00Z