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Articles 1 - 30 of 169
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Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which …
Household Heterogeneity And Optimal Inter-Temporal Pricing For A Durable-Good Monopoly, Winston T. H. Koh
Household Heterogeneity And Optimal Inter-Temporal Pricing For A Durable-Good Monopoly, Winston T. H. Koh
Research Collection School Of Economics
In this paper, I extend the analysis in Koh (2006) to examine the optimality of inter-temporal price discrimination for a durable-good monopoly in a model where infinitely-lived households consume both durable goods and a stream of non-durable goods subject to different inter-temporal budget constraints. I also consider the multi-dimensional setting where households differ in both inter-temporal budget constraints and the utilities they derive from the consumption of the durable good.
Economics Of Competition': A Study Of Low-Cost Manufacturing Enclaves In Batam Island, Indonesia, Caroline Yeoh, Feng Hao Chua, Sylvie Tan
Economics Of Competition': A Study Of Low-Cost Manufacturing Enclaves In Batam Island, Indonesia, Caroline Yeoh, Feng Hao Chua, Sylvie Tan
Research Collection Lee Kong Chian School Of Business
Singapore’s transborder industrialization projects in China and India have received much attention. This regionalization initiative was intended to set in place a strategic configuration for the city-state to restructure its domestic industries and, pari passu, retain important linkages with contiguous, low-cost environments. Our study reports on Singapore’s pioneering, albeit lesser-known, project - Batamindo Industrial Park – in neighboring Batam Island, Indonesia, and finds that the strategic intent of this policy gambit remains stymied by non-economic, socio-political complexities in the host environment, and the economics of competition from other industrial estates in the vicinity of this prototype, remains to be addressed.
Reiterated Commemoration: Hiroshima As National Trauma, Hiro Saito
Reiterated Commemoration: Hiroshima As National Trauma, Hiro Saito
Research Collection School of Social Sciences
This article examines historical transformations of Japanese collective memory of the atomic bombing of Hiroshima by utilizing a theoretical framework that combines a model of reiterated problem solving and a theory of cultural trauma. I illustrate how the event of the nuclear fallout in March 1954 allowed actors to consolidate previously fragmented commemorative practices into a master frame to define the postwar Japanese identity in terms of transnational commemoration of "Hiroshima." I also show that nationalization of trauma of "Hiroshima" involved a shift from pity to sympathy in structures of feeling about the event. This historical study suggests that a …
Managing News In A Managed Media: Mediating The Message In Malaysiakini.Com, Augustine Pang
Managing News In A Managed Media: Mediating The Message In Malaysiakini.Com, Augustine Pang
Research Collection Lee Kong Chian School Of Business
Widely regarded as an anomaly in the neo-authoritarian system in Malaysia, Malaysiakini.com is proving that managing an independent media in a government-managed media landscape is more than a Sisyphean struggle. Employing participant observation and interviews, supplemented by artifacts and media accounts, this study seeks to understand the media management of Malaysiakini.com through news management, using Shoemaker and Reese’s (1996) hierarchy of influence model, which posits a framework of internal and external forces that affect news management. The study found determined attempts to minimize ideological influences through media socialization by accentuating on the direct influences, such as the journalists’ role in …
Environmental And Resource Management Under Myopia, Tomoki Fujii
Environmental And Resource Management Under Myopia, Tomoki Fujii
Research Collection School Of Economics
Myopia is important in environmental and resource management problems because they often involve intertemporal decisions over a long time horizon. We present a parsimonious extension of standard dynamic programming equation in a continuous time and continuous state setting, which enables rich description of myopic behavior. In our model, the process of planning future controls and choosing current control are clearly distinguished. We Illustrate the behavior of various types of myopic agents with a simple example of non-renewable resource extraction, and discuss the policy relevance of the expiry of extraction permits to resource management under Myopia.
Singapore's Regionalization Blueprint: A Case For Transnational State Enterprise Networks?, Caroline Yeoh, Victor Sim, Louisa Zhang
Singapore's Regionalization Blueprint: A Case For Transnational State Enterprise Networks?, Caroline Yeoh, Victor Sim, Louisa Zhang
Research Collection Lee Kong Chian School Of Business
No abstract provided.
The Singapore 'Advantage' In Suzhou, China: Premium Or Perception?, Caroline Yeoh, Di Kun Goh, Victor Sim, Norhanna Yumi
The Singapore 'Advantage' In Suzhou, China: Premium Or Perception?, Caroline Yeoh, Di Kun Goh, Victor Sim, Norhanna Yumi
Research Collection Lee Kong Chian School Of Business
This paper revisits Singapore’s industrial development in Suzhou, China, which has been in operation for more than a decade. We aim to glean insights from this experiment and more importantly, to verify recent claims of it generating political gain and economic capital for Singapore. The flagship project took on an identical framework as the other Singaporean transborder industrialization ventures in the region by adopting Singapore’s expertise and reputation for an efficient and stable government and investment environment. These measures were coupled with the combination of local-specific advantages in the region, such as availability of cheaper labour and market access. Singapore’s …
Cosign: A Parallel Algorithm For Coordinated Traffic Signal Control, Shih-Fen Cheng, Marina A. Epelman, Robert L. Smith
Cosign: A Parallel Algorithm For Coordinated Traffic Signal Control, Shih-Fen Cheng, Marina A. Epelman, Robert L. Smith
Research Collection School Of Computing and Information Systems
The problem of finding optimal coordinated signal timing plans for a large number of traffic signals is a challenging problem because of the exponential growth in the number of joint timing plans that need to be explored as the network size grows. In this paper, the game-theoretic paradigm of fictitious play to iteratively search for a coordinated signal timing plan is employed, which improves a system-wide performance criterion for a traffic network. The algorithm is robustly scalable to realistic-size networks modeled with high-fidelity simulations. Results of a case study for the city of Troy, MI, where there are 75 signalized …
Love, Work, And Changes In Extraversion And Neuroticism Over Time, Christie N. Scollon, Ed Diener
Love, Work, And Changes In Extraversion And Neuroticism Over Time, Christie N. Scollon, Ed Diener
Research Collection School of Social Sciences
The present study examined individual differences in change in extraversion, neuroticism, and work and relationship satisfaction. Of particular interest were the correlations between changes. Data were from the Victorian Quality of Life Panel Study (B. Headey & A. Wearing, 1989, 1992), in which an overall 1,130 individuals participated (ages 16 to 70). Respondents were assessed every 2 years from 1981 to 1989. Four major findings emerged. (a) There were significant individual differences in changes in extraversion and neuroticism. (b) change was not limited to young adulthood. (c) Development was systematic in that increased work and relationship satisfaction was associated with …
Creativity Needed In Non-Profits?, Wee Liang Tan
Creativity Needed In Non-Profits?, Wee Liang Tan
Research Collection Lee Kong Chian School Of Business
Creativity is something that one might not associate with the social service sector. In fact, one might consider creativity something quite distant from the non-profit sector. "We in the social service sector have more important things to do - we serve our clients and beneficiaries; we don't have the time to fool around with fancy new ideas or projects." Yet such sentiments could be no further from the truth.
A Within-Person Perspective On Feedback Seeking About Task Performance, Frederik Anseel, Filip Rene O Lievens
A Within-Person Perspective On Feedback Seeking About Task Performance, Frederik Anseel, Filip Rene O Lievens
Research Collection Lee Kong Chian School Of Business
In organisations, feedback about multiple performance dimensions is often available. Consequently, employees have to decide on which performance dimensions they will be seeking feedback. In a lab experiment 126 students indicated on which performance dimensions they wanted to receive feedback after completing a computerized in-basket task. Results showed that participants especially sought feedback about their best and most important performance dimensions. Individuals with a high learning goal orientation sought more feedback about their least important performance dimensions as compared to individuals with a low learning goal orientation. In general, results indicated that previous findings obtained in between-person studies of feedback …
Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu
Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A new methodology is proposed to estimate theortical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. The present paper proposes instead a simulation-based method that improves the finite sample performance of the ML estimator while maintaining its good asymptotic properties. The methods are implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond pricing model, but have wider applicability. Monte Carlo …
A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu
A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in [Jacod, J., 1994] and [Barndorff-Nielsen, O., Shephard, N., 2002], to provide a regression model for estimating the parameters in the diffusion function. In the second stage, the in-fill likelihood function is derived by means of the Girsanov theorem and then used to estimate the parameters in the drift function. Consistency and asymptotic distribution theory for these estimates are established in various contexts. The finite …
Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu
Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference (Gouriéroux et al., 1993), shows unbiasedness and analyzes efficiency. The method is implemented in a simple linear dynamic panel model, but has wider …
Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay
Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay
Research Collection School Of Economics
We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with daily returns using a nonparametric Mixed Data Sampling (MIDAS) setting, and (ii) augmenting the quarterly AR(1) model with the most recent r -day returns as an additional predictor. We find that our mixed frequency models perform well in forecasting real output growth.
Multivariate Stochastic Volatility, Manabu Asai, Michael Mcaleer, Jun Yu
Multivariate Stochastic Volatility, Manabu Asai, Michael Mcaleer, Jun Yu
Research Collection School Of Economics
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely (i) asymmetric models; (ii) factor models; (iii) time-varying correlation models; and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, Monte Carlo likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods …
Bnp Paribas And Singapore Management University Set Up Asia's First Hedge Fund Centre, Singapore Management University
Bnp Paribas And Singapore Management University Set Up Asia's First Hedge Fund Centre, Singapore Management University
SMU Press Releases
No abstract provided.
Understanding User Perceptions On Usefulness And Usability Of An Integrated Wiki-G-Portal, Yin-Leng Theng, Yuanyuan Li, Ee Peng Lim, Zhe Wang, Dion Hoe-Lian Goh, Chew-Hung Chang, Kalyani Chatterjea, Jun Zhang
Understanding User Perceptions On Usefulness And Usability Of An Integrated Wiki-G-Portal, Yin-Leng Theng, Yuanyuan Li, Ee Peng Lim, Zhe Wang, Dion Hoe-Lian Goh, Chew-Hung Chang, Kalyani Chatterjea, Jun Zhang
Research Collection School Of Computing and Information Systems
This paper describes a pilot study on Wiki-G-Portal, a project integrating Wikipedia, an online encyclopedia, into G-Portal, a Web-based digital library, of geography resources. Initial findings from the pilot study seemed to suggest positive perceptions on usefulness and usability of Wiki-G-Portal, as well as subjects' attitude and intention to use.
Procedural Issues In The Anti-Dumping Regulations Of China: A Critical Review Under The Wto Rules, Won-Mog Choi, Henry S. Gao
Procedural Issues In The Anti-Dumping Regulations Of China: A Critical Review Under The Wto Rules, Won-Mog Choi, Henry S. Gao
Research Collection Yong Pung How School Of Law
Since the World Trade Organization (WTO) was established, China his made large-scale efforts to shape its trade remedy system through legal and organizational changes. Through these changes, China could clarify the meanings of WTO anti-dumping provisions including the provision relating to the definition of domestic industry. Moreover, procedural disciplines on reviews were fortified in Chinese anti-dumping system. While the overall improvements to the trade remedy system of China are evident, definitions of several key legal terms, including the concept of related producers, the negligible import standard, and adjustment factors for a fair comparison between normal values and export prices are …
Assimilation And Contrast Effects In Cultural Frame Switching: Bicultural Identity Integration And Valence Of Cultural Cues, Chi-Ying Cheng, Fiona Lee, Veronica Benet-Martinez
Assimilation And Contrast Effects In Cultural Frame Switching: Bicultural Identity Integration And Valence Of Cultural Cues, Chi-Ying Cheng, Fiona Lee, Veronica Benet-Martinez
Research Collection School of Social Sciences
This study examines how the valence of cultural cues in the environment moderates the way biculturals shift between multiple cultural identities. The authors found that when exposed to positive cultural cues, biculturals who perceive their cultural identities as compatible (high bicultural identity integration, or high BII) respond in culturally congruent ways, whereas biculturals who perceive their cultural identities as conflicting (low BII) respond in culturally incongruent ways. The opposite was true for negative cultural cues. These results show that both high and low BIIs can exhibit culturally congruent or incongruent behaviors, and have implications for understanding situations where high and …
The Cartel Party And The Rise Of The New Extreme Right, Riccardo Pelizzo
The Cartel Party And The Rise Of The New Extreme Right, Riccardo Pelizzo
Research Collection School of Social Sciences
No abstract provided.
Choice Of Currency By East Asia Bond Issuers, David Fernandez, Simon Klassen
Choice Of Currency By East Asia Bond Issuers, David Fernandez, Simon Klassen
Research Collection Lee Kong Chian School Of Business
In discussing bond markets in Asia, academics and policymakers typically begin by noting that the Asian crisis of 1997-98 in part resulted from the underdevelopment of the region’s domestic bond markets and the resultant currency and duration mismatches. When assessing the progress made in developing these markets in the post-crisis years, academics and policymakers usually observe that, while several domestic currency government bond markets have moved ahead, corporate bond markets have lagged (Asian Development Bank (2002), Reserve Bank of Australia (2003)). The policy conclusion is therefore often drawn: to prevent another Asian crisis, Asian bond markets must be further developed.
Singapore Management University Receives A Significant Gift Of Art From Artist Chua Ek Kay, Singapore Management University
Singapore Management University Receives A Significant Gift Of Art From Artist Chua Ek Kay, Singapore Management University
SMU Press Releases
No abstract provided.
Lottery Rather Than Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu
Lottery Rather Than Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu
Research Collection School Of Economics
This paper investigates the allocative efficiency of two non-price allocation mechanisms – the lottery (random allocation) and the waiting-line auction (queue system) – for the cases where consumers possess identical time costs (the homogeneous case), and where time costs are correlated with time valuations (the heterogeneous case). We show that the relative efficiency of the two mechanisms depends critically on a scarcity factor (measured by the ratio of the number of objects available for allocation over the number of participants) and on the shape of the distribution of valuations. We show that the lottery dominates the waiting-line auction for a …
The Development Of Social And Cultural Geographies In Taiwan: Knowledge Production And Social Relevance, Hsin-Ling Wu, Sue-Ching Jou, Lily Kong
The Development Of Social And Cultural Geographies In Taiwan: Knowledge Production And Social Relevance, Hsin-Ling Wu, Sue-Ching Jou, Lily Kong
Research Collection School of Social Sciences
Social and cultural geographies have long occupied a marginal position in Taiwan's scholarship in the humanities and social sciences. Despite the influence of the so-called ‘cultural turn’ that has characterized much of Anglo-American scholarship since the 1990s (Barnett 1998), Taiwan's scholarship in the social sciences in general and human geography more specifically has remained relatively untouched by these intellectual currents till very recent years. This paper seeks to examine the social, intellectual and institutional contexts that explain this marginalization, and consider the possibilities for social and cultural geographies' emergence from marginality in Taiwan in the future. This possibility is considered …
On Joint Modelling And Testing For Local And Global Spatial Externalities, Zhenlin Yang
On Joint Modelling And Testing For Local And Global Spatial Externalities, Zhenlin Yang
Research Collection School Of Economics
This paper concerns the joint modeling, estimation and testing for local and global spatial externalities. Spatial externalities have become in recent years a standard notion of economic research activities in relation to social interactions, spatial spillovers and dependence, etc., and have received an increasing attention by econometricians and applied researchers. While conceptually the principle underlying the spatial dependence is straightforward, the precise way in which this dependence should be included in a regression model is complex. Following the taxonomy of Anselin (2003, International Regional Science Review 26, 153-166), a general model is proposed, which takes into account jointly local and …
With The Grain Or Against The Grain? Energy Security And Chinese Foreign Policy In The Hu Jintao Era, James T. H. Tang
With The Grain Or Against The Grain? Energy Security And Chinese Foreign Policy In The Hu Jintao Era, James T. H. Tang
Research Collection School of Social Sciences
Are China’s growing energy needs insatiable, and is a resource war between China and other major energy-consuming countries, such as the United States, inevitable? China’s pursuit of overseas energy resources to feed its fast-growing economy has given rise to observations that energy is now the driving force behind Chinese foreign policy and predictions that potential conflicts between China and other countries are likely to arise as China becomes more aggressive internationally in search of resources.
What Matter For Child Development?, Fali Huang
What Matter For Child Development?, Fali Huang
Research Collection School Of Economics
This paper estimates production functions of child cognitive and social development using a panel data of nine-year old children each with over two hundred home and school inputs as well as family background variables. A tree regression method is used to conduct estimation under various speci…cations. A small subset of inputs is found consistently important in explaining variances of child development results, including the number of books a child has at various ages and how often a mother reads to child by age …ve, while the e¤ects of race and maternal employment are negligible when detailed inputs are controlled.
Who? Whom? Reparations And The Problem Of Agency, Chandran Kukathas
Who? Whom? Reparations And The Problem Of Agency, Chandran Kukathas
Research Collection School of Social Sciences
If a person is wronged, whether by a physical violation of his person or by having his property unjustly taken, or even by the besmirching of his reputation, he is, most people agree, entitled to some form of compensation or restitution from the person or persons responsible for the wrong. What form the reparation should take, and how great it should be, are sometimes difficult problems, but this does not change the fact that something is owed and someone must be held to account. If a restaurant goes bust because a supplier fails to fulfill his commitments and a newspaper …