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Articles 1 - 10 of 10
Full-Text Articles in Economics
A State Space Model Approach To Integrated Covariance Matrix Estimation With High Frequency Data, Cheng Liu, Cheng Yong Tang
A State Space Model Approach To Integrated Covariance Matrix Estimation With High Frequency Data, Cheng Liu, Cheng Yong Tang
Research Collection Lee Kong Chian School Of Business
We consider a state space model approach forhigh frequency financial data analysis. An expectationmaximization(EM) algorithm is developed for estimatingthe integrated covariance matrix of the assets. The statespace model with the EM algorithm can handle noisy financialdata with correlated microstructure noises. Difficultydue to asynchronous and irregularly spaced trading data ofmultiple assets can be naturally overcome by consideringthe problem in a scenario with missing data. Since the statespace model approach requires no data synchronization, norecord in the financial data is deleted so that it efficientlyincorporates information from all observations. Empiricaldata analysis supports the general specification of the statespace model, and simulations confirm …
Egalitarian Division Under Leontief Preferences, Jin Li, Jingyi Xue
Egalitarian Division Under Leontief Preferences, Jin Li, Jingyi Xue
Research Collection School Of Economics
We consider the problem of fairly dividing l divisible goods among n agents with the generalized Leontief preferences. We propose and characterize the class of generalized egalitarian rules which satisfy efficiency, group strategy-proofness, anonymity, resource monotonicity, population monotonicity, envy-freeness and consistency. On the Leontief domain, our rules generalize the egalitarian-equivalent rules with reference bundles. We also extend our rules to agent-specific and endowment-specific egalitarian rules. The former is a larger class of rules satisfying all the previous properties except anonymity and envy-freeness. The latter is a class of efficient, group strategy-proof, anonymous and individually rational rules when the resources are …
Robust Virtual Implementation With Almost Complete Information, Takashi Kunimoto
Robust Virtual Implementation With Almost Complete Information, Takashi Kunimoto
Research Collection School Of Economics
Artemov, Kunimoto, and Serrano (2013a,b, henceforth, AKS) study amechanism design problem where arbitrary restrictions are placed on the setof first-order beliefs of agents. Calling these restrictions Δ, they adopt Δ-rationalizability (Battigalli and Siniscalchi (2003)) and show that Δ-incentivecompatibility and Δ-measurability are necessary and sufficient conditions forrobust virtual implementation. By appropriately defining Δ in order to restrictattention to complete information environments, I exploit the implicationsof AKS and show that the permissive implementation result of Abreu andMatsushima (1992a) is robust to how the underlying type space is specified.However, AKS need to fix a complete information environment throughouttheir analysis and therefore does not …
Volatility Occupation Times, Jia Li, Viktor Todorov, George Tauchen
Volatility Occupation Times, Jia Li, Viktor Todorov, George Tauchen
Research Collection School Of Economics
We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Itô semimartingale on a fixed interval when the mesh of the observation grid shrinks to zero asymptotically. In a first step we estimate the volatility locally over blocks of shrinking length, and then in a second step we use these estimates to construct a sample analogue of the volatility occupation time and a kernel-based estimator of its density. We prove the consistency of our estimators and further derive bounds for their rates of convergence. We use these results …
Economic Indices: Managing By The Numbers, Singapore Management University
Economic Indices: Managing By The Numbers, Singapore Management University
Perspectives@SMU
Understanding indices is not just about crunching numbers, but appreciating how it is constructed
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Research Collection School Of Economics
A highly acclaimed result is that tournaments are superior to piece rates when the agents are risk averse and their production activities are subject to a relatively large common shock. The reason is that tournaments allow the principal to trade insurance for lower income to the agents. Our analysis shows that this celebrated result does not carry over to the case when a limited liability (bankruptcy) constraint limits the payments the principal can make, provided that the liquidation value of the firm is sufficiently small. This finding has important implications for the vast number of limited liability firms. Even though …
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
Research Collection School Of Economics
In this paper, we investigate domains that admit “well-behaved” strategy-proof social choice functions. We show that if the number of voters is even, then every domain that satisfies a richness condition and admits an anonymous, tops-only, unanimous and strategy-proof social choice function, must be semi-single-peaked. Conversely every semi-single-peaked domain admits an anonymous, tops-only, unanimous and strategy-proof social choice function. Semi-single-peaked domains are generalizations of single-peaked domains on a tree introduced by Demange (1982).
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
Research Collection School Of Economics
The two-sample version of the celebrated Pearson goodness-of-fit problem has been a topic of extensive research, and several tests like the Kolmogorov-Smirnov and Cramer-von Mises have been suggested. Although these tests perform fairly well ´ as omnibus tests for comparing two probability density functions (PDFs), they may have poor power against specific departures such as in location, scale, skewness, and kurtosis. We propose a new test for the equality of two PDFs based on a modified version of the Neyman smooth test using empirical distribution functions minimizing size distortion in finite samples. The suggested test can detect the specific directions …
Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan
Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan
Research Collection School Of Economics
Central place theory is a key building block of economic geography and an empirically plausible description of city systems. This paper provides a rationale for central place theory via a dynamic programming formulation of the social planner's problem of city hierarchy. We show that there must be one and only one immediate smaller city between two neighboring larger-sized cities in any optimal solution. If the fixed cost of setting up a city is a power function, then the immediate smaller city will be located in the middle, confirming the locational pattern suggested by Christaller [4] . We also show that …
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Research Collection School Of Economics
We study a mechanism design problem where arbitrary restrictions are placed on the sets of first-order beliefs of agents. Calling these restrictions Δ, we use Δ-rationalizability (Battigalli and Siniscalchi, 2003, [5]) as our solution concept, and require that a mechanism virtually implement a socially desirable outcome. We obtain two necessary conditions, Δ-incentive compatibility and Δ-measurability and show that the latter is satisfied as long as a particular zero-measure set of first-order beliefs is ruled out. In environments allowing small transfers of utility among agents, these two conditions are also sufficient.