Registered nurses (RNs) working in the NSW public sector in 1996 are matched to the hospital in which they work. We analyse their annual retention probability using personal and job characteristics along with hospital ...
Our goal is inference for shape-restricted functions. Our functional form consists of finite linear combinations of basis functions. Prior elicitation is difficult due to the irregular shape of the parameter space. We show ...
The set of incentive-feasible allocations is examined in a dynamic quasi-linear environment where agents lack commitment and have private information over their idiosyncratic characteristics. When record-keeping is available, ...
We consider a two-period duopoly characterized by a one-way spillover structure in process R&D and a very broad specification of product market competition. We show that a priori identical firms always engage in different ...
We discuss structural and institutional underpinnings of the Greek `Debt? Crisis. We suggest that the Greece?s de facto catching-up competitiveness model was misguided, short-term focused, and eventually doomed. Alongside ...
We consider a standard social choice environment with linear utilities and independent, one-dimensional, private types. We prove that for any Bayesian incentive compatible mechanism there exists an equivalent dominant ...
We study equilibrium and maximin play in supergames consisting of the sequential play of a finite collection of stage games, where each stage game has two outcomes for each player. We show that for two-player supergames ...
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility ...
The paper discusses various roles that the growth optimal portfolio (GOP) plays in finance. For the case of a continuous market we show how the GOP can be interpreted as a fundamental building block in financial market ...
Geweke, John; Amisano, Gianni(Elsevier Science Sa, 2011)
We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal ...
This article explores use of auctions for privatising public assets. In our model, a single insider bidder possesses information about the asset?s common value. Bidders are privately informed about their costs of exploiting ...
This paper describes general methodology that allows one to extend Carnot efficiency of classical thermodynamic for zero rate processes onto thermodynamic systems with finite rate. We define the class of minimal dissipation ...
If a probability distribution is sufficiently close to a normal distribution, its density can be approximated by a Gram/Charlier Series A expansion. In option pricing, this has been used to fit risk-neutral asset price ...
In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, ...
Introduction While there is good evidence of the effectiveness of a variety of interventions and services to prevent and/or relieve distress experienced by people affected by cancer, much of this psychosocial morbidity is ...
He, Changli; Silvennoinen, Annastiina; Terasvirta, Timo(Oxford University Press, 2008)
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to ...