bluuebunny/crossref_metadata_2025 huggingface dataset:
Mapping the invisible colleges of R&D Management
Authors: McMillan G. Steven
Published: September 2010

R&D Management has consistently been considered one of the top technology and innovation management journals since its inaugural issue in 1970. The purpose of this paper is to use bibliometric techniques to examine R&D Management in four time periods, 1986–1990, 1991–1995, 1996–2000, and 2001–2005 in order to reveal changes in its intellectual base. Bibliometric research has illuminated the knowledge domains of several technology and innovation management journals including R&D Management Linton and Thongpapanl, but there has not previously been a comprehensive detailed analysis focused only on R&D Management. Using co‐citation analysis, this paper identifies the invisible colleges (research networks) associated with publications in R&D Management. The results indicate that Cohen and Levinthal's absorptive capacity model dominates the final two periods. The conclusions suggest how the absorptive capacity model might be more effectively utilized in future R&D Management research.
Project valuation in the pharmaceutical industry: a comparison of least‐squares Monte Carlo real option valuation and conventional approaches
Authors: Willigers Bart J. A. , Hansen Thomas L.
Published: September 2010

Least‐squares Monte Carlo simulation (LSM) is a promising new technique for valuing real options that has received little or no attention in the pharmaceutical industry. This study demonstrates that LSM can handle complex valuation situations with multiple uncertainties and compounded American‐type options. The limited application of real option valuation (ROV) in the pharmaceutical industry is remarkable, given the importance of accurate project valuation in an industry that requires large investments in high‐risk projects with long pay‐back periods, which is furthermore suffering from ever‐increasing development costs and shrinking profit margins. The LSM model developed in this study is constructed as an extension of a discounted cash flow model that should be familiar to economists active in the pharmaceutical industry. A number of pharmaceutical projects have been evaluated using LSM ROV, binominal real option valuation and expected net present value techniques. The different results yielded by these methods are explained in terms of differences in risking assumptions and ability to capture the value of flexibility. The analysis provides a framework to introduce the basic concepts of real option pricing to a non‐specialist audience. The LSM model illustrates the potential for real‐life commercial assessment as the versatility of the technique allows for an easy customisation to specific business problems.
Evaluating the risk of patent infringement by means of semantic patent analysis: the case of DNA chips
Authors: Bergmann Isumo , Butzke Daniel , Walter Lothar , Fuerste Jens P. , Moehrle Martin G. , Erdmann Volker A.
Published: September 2010

In this paper, we are going to present a method for detecting the risks of patent infringement by evaluating similarities between patent documents on the basis of semantic patent analysis. This approach enables the user to visualize similarities in the contents on a semantic patent map by means of multi‐dimensional scaling. The effectiveness of the semantic patent map has already been demonstrated by Dressler (2006) with regard to patents of seal technology, in which documents are commonly kept short and the extracted contents are concise. This paper will open out to the field of biotechnology, where patents can easily comprise several hundreds of pages. The method presented here conveys an interdisciplinary approach and combines computer‐aided natural language processing with domain‐specific expertise of biochemical processes. This is illustrated by an authentic case of infringement involving two manufacturers of DNA chips. Our experiment will show how the infringement case is visualized on a patent map based on semantic patent analysis. This experiment can be compared with the search for a needle in a haystack, the two competitive patents representing significantly conflicting ‘needles.’ From an approximate number of 4,000 patents in the current US Class 435/6, a set of patents was selected that included the ‘needles’ mentioned. This paper will point out how such mutual interference can be detected by way of semantic patent analysis, and what advice may be given to R&D managers who are faced with the risk of patent infringement.
Legal Positivism and Legal Disagreements
Authors: MORESO JOSÉ JUAN
Published: September 2010

This paper deals with the possibility of faultless disagreement in law. It does this by looking to other spheres in which faultless disagreement appears to be possible, mainly in matters of taste and ethics. Three possible accounts are explored: the realist account, the relativist account, and the expressivist account. The paper tries to show that in the case of legal disagreements, there is a place for an approach that can take into account our intuitions in the sense that legal disagreements are genuine and at times faultless.
Injustice in Robes: Iniquity and Judicial Accountability*
Authors: WACKS RAYMOND
Published: September 2010

The paper addresses the question of judges' moral responsibility in an unjust society. How is the “moral” judge to reconcile his perception of justice with a malevolent law? Upon what grounds might judges, and perhaps other public officials, be held morally responsible for their acts or omissions? Does a positivist approach yield a more satisfactory resolution than a natural law or Dworkinian analysis? Could inclusive positivism offer any clues as to how this quandary might be judiciously resolved?
School Attainment, Completion, and Economic Development: A Cross‐Country Analysis
Authors: Chaudhuri Kausik , Maitra Pushkar
Published: September 2010

The primary aim of this paper is to examine the relationship between school attainment, school completion, and economic development. In doing so it also examines the effect of other macroeconomic variables on school attainment and completion. Estimation is conducted using a panel dataset of 138 countries. Our results show that income levels, government expenditure on education, and political instability all have significant effects on school completion and attainment. In addition these variables have different effects on male and female schooling. Our results have important policy implications and in particular allow policymakers to identify different instruments to target the problem of non‐completion of schooling.
How to Increase R&D in Transition Economies? Evidence from Slovenia
Authors: Domadenik Polona , Prasnikar Janez , Svejnar Jan
Published: September 2010

The recent initiative of the European Union Lisbon Agenda to increase levels of R&D investment is addressed by studying the determinants of R&D investment in one of the recent EU entrants, Slovenia. Previous empirical literature—mainly cross‐sectional in nature—has tested the demand–pull hypothesis and found that overall R&D expenses may be driven by output demand. We use a panel of more than 150 of the largest Slovene firms over the period 1996–2000, modeling firms' R&D behavior within an error‐correction framework and estimating it in a system GMM specification. While we find that sales have a significant role in inducing R&D expenditures, we also show that the availability of internal funds and wage bargaining represent important factors determining R&D expenses. Moreover, firms owned by insiders (workers and/or managers) and/or firms with dispersed ownership (small shareholders) display higher R&D investments than firms owned by privatization investment funds or by other firms.
Identification of Greek Takeover Targets and Coherent Policy Implications
Authors: Tsagkanos Athanasios , Georgopoulos Antonios , Siriopoulos Costas , Koumanakos Evangelos
Published: September 2010

The main purpose of this paper is the identification of the characteristics of takeover targets in a small open economy like Greece, using the market for corporate control (MCC) hypothesis as theoretical background. Contrary to this hypothesis, the results indicate that the motives for merging or acquisition activities are basically of strategic character. Using a sample of 35 acquired and 105 non‐acquired firms, the sampling process was initially performed by a modified methodology of state‐based sampling, even if its nature cannot be recognized by the classical maximum likelihood estimator (MLE) of logit model. Subsequently, taking into account the small size of the sample, we develop and use, in the logit context, the bootstrap MLE as an advanced alternative method for reducing inherit bias and inefficiency. The findings remain uniform supporting the strategic motives explanation in actual takeover activities, a fact that clearly illustrates the framework of merger policies followed by the Greek Competition Committee during the period under study.
Human Capital and the Convergence Process Among Countries
Authors: Soukiazis Elias , Cravo Túlio
Published: September 2010

This paper examines the convergence process across countries for the period 1980–2000, giving special attention to the role of human capital as a conditioning factor. The originality of the study is in the use of new proxies for human capital, such as publications and patents ratio and the patents/articles ratio which reflect the efficiency of the scientific work, in contrast to the quantitative measures usually used in the growth literature. The analysis suggests that: (i) convergence is conditional on structural factors, population growth, human and physical capital; (ii) the new proxies of human capital control fairly well the different steady‐states among countries; (iii) the different levels of human capital affect countries differently, according to their levels of development. Higher levels of human capital are suitable to differentiate the convergence process among developed countries, and basic or intermediate levels are more suitable to differentiate convergence among the less developed countries.
Elements for a Robust Climate Regime Post‐2012: Options for Mitigation
Authors: Aguilar Soledad
Published: September 2010

This article addresses the current state of negotiations within the international climate change regime (including the United Nations Framework Convention on Climate Change and its Kyoto Protocol) and options to be included in a post‐2012 carbon market framework, such as sectoral agreements, soft targets for developing countries and a larger consideration of sinks. The article reviews the different options focusing on their potential to spur mitigation of greenhouse gases in key areas such as energy production. The size and depth of the carbon market, as well as the stringency of the cap and the stabilization path chosen, are variables affecting the effectiveness of different options. The article thus makes a clear case for all large emitters to agree on a long‐term stabilization goal to guide further negotiations on medium‐term carbon market frameworks, and notes that options related to the consideration of sinks, for example, should maintain proportionality with the size of the carbon market to ensure that a sufficient ‘pull’ for technological developments in energy‐related activities is maintained.
Ethnic Networks and US Exports*
Authors: Bandyopadhyay Subhayu , Coughlin Cletus C. , Wall Howard J.
Published: September 2010

This paper provides new estimates of the effects of ethnic networks on US exports. In line with recent research, our dataset is a panel of exports from US states to 29 foreign countries. Our analysis departs from the literature in two ways, both of which show that previous estimates of the ethnic‐network elasticity of trade are sensitive to the restrictions imposed on the estimated models. Our first departure is to control for unobserved heterogeneity with properly specified fixed effects, which we can do because our dataset contains a time dimension absent from previous studies. Our second departure is to remove the restriction that the network effect is the same for all ethnicities. We find that ethnic‐network effects are much larger than has been estimated previously, although they are important only for a subset of countries.
Some Evidence on the Adjustment of Producer Prices*
Authors: Cornille David , Dossche Maarten
Published: September 2010

We document producer price adjustment using a low‐inflation micro price dataset. On average 24% of prices adjust each month, with an average increase/decrease of 6%. Producer prices adjust more frequently than consumer prices, but their size of adjustment is typically smaller. Sectoral heterogeneity in the frequency of price adjustment is strongly related to heterogeneity in the cost structure. Fluctuations in aggregate producer price inflation occur to a large extent through variation in the relative share of upward and downward price adjustment.
Rewarded remembering: Dissociations between self‐rated motivation and memory performance
Authors: NGAOSUVAN LEONARD , MÄNTYLÄ TIMO
Published: September 2010

People often claim that they perform better in memory performance tasks when they are more motivated. However, past research has shown minimal effects of motivation on memory performance when factors contributing to item‐specific biases during encoding and retrieval are taken into account. The purpose of the present study was to examine the generality of this apparent dissociation by using more sensitive measures of experienced motivation and memory performance. Extrinsic motivation was manipulated through competition instructions, and subjective ratings of intrinsic and extrinsic motivation were obtained before and after study instructions. Participants studied a series of words, and memory performance was assessed by content recall (Experiment 1) and source recall (Experiment 2). Both experiments showed dissociation between subjective ratings of extrinsic motivation and actual memory performance, so that competition increased self‐rated extrinsic motivation but had no effects on memory performance, including source recall. Inconsistent with most people's expectations, the findings suggest that extrinsic motivation has minimal effects on memory performance.
Teachers’ knowledge about adolescents: An interview study
Authors: ADAMSON LENA , MEISTER DENISE G.
Published: September 2010

This paper presents the results of an interview study of twelve high school teachers to ascertain their general knowledge about adolescents, as well as their knowledge of issues important to adolescents. The results were as follows: (a) teachers lacked knowledge about what adolescents in previous studies have referred to as important issues in their lives; (b) teachers’ general knowledge about adolescents was mainly based on experiential, as opposed to theoretical, knowledge; and (c) teachers were not interested in theoretical knowledge about normal adolescent development. These results are discussed in relationship to the Swedish school system, as well as their relationship to teacher training, which traditionally has focused on the what and how aspects of teaching, not on the aspect of whom one is teaching.
Compensating strategies in collaborative remembering in very old couples
Authors: JOHANSSON N. OLOF , ANDERSSON JAN , RÖNNBERG JERKER
Published: September 2010

This study investigates collaborative memory performance in very old married couples working in two types of participant constellations, and with two types of memory tasks, i.e. working as couples, or as individuals in episodic or semantic memory tasks. Sixty‐two old married couples were a priori classified as high or low on two dimensions suggested to be important for successful collaboration, i.e. responsibility (how division of responsibility was organized) and agreement (how they mutually agreed on each other's view). The episodic memory task was immediate recall of short stories. The semantic memory tasks were to answer questions about names, places, and concepts. The results suggested that: (1) groups outperformed a single individual, but (2) groups in general suffered from collaboration relative to the predicted potential in episodic tasks only, thus replicating earlier results. Nevertheless, (3) the couples scoring high on division of responsibility achieved the same productivity as nominal pairs (i.e. the predicted potential); (4) the couples scoring high on the agreement dimension showed that they were not as affected by collaboration, but then performed less well in “absolute” performance. Finally, the results were discussed in terms of optimal compensation strategies, especially for elderly couples.
The association between implicit and explicit prejudice: the moderating role of motivation to control prejudiced reactions
Authors: AKRAMI NAZAR , EKEHAMMAR BO
Published: September 2010

The main aim of the present research was to assess the relationship between implicit and explicit ethnic attitude measures and to examine the impact of motivation to control prejudiced reactions on this relation. Implicit ethnic prejudice was assessed by a response latency measure, and a self‐report modern prejudice scale was used to assess explicit prejudice. The results showed that an association between implicit and explicit attitudes was observed only when the explicit attitude measure was corrected for motivational bias. The findings are discussed in relation to previous research reporting either association or dissociation between implicit and explicit attitude measures.
Is a sigh “just a sigh”? Sighs as emotional signals and responses to a difficult task
Authors: TEIGEN KARL HALVOR
Published: September 2010

Sighing and the interpretation of sighs in everyday life seem never to have been the subject of psychological research. A questionnaire study of sighing showed that people associate sighing mainly with negative, low‐intensity and deactivated emotional states. A second study investigated self/other differences in the interpretation of sighs in four hypothetical situations, revealing that sighs in other people are primarily perceived as signs of sadness, whereas own sighs are more often believed to express a state of “giving up” something or somebody. In a third experimental study participants worked on difficult (insoluble) puzzles, which generated many futile solution attempts, often accompanied by sighs. It is concluded that sighs are often unintentional expressions of an activity, plan or desire that has to be discarded, creating a pause before it can be replaced by a novel initiative.
Attitudes toward sexuality among straight and queer university students from Cuba, Norway and South Africa
Authors: TRÆEN BENTE , MARTINUSSEN MONICA
Published: September 2010

This paper explores differences and similarities in sexual attitudes among university students 18 years or older of different sexual orientation in Havana, Tromsø, and Cape Town. In the period 2004–5, a questionnaire survey on sexuality, happiness and life satisfaction, was undertaken among 318 students from the University of Havana, 144 students from the University of Tromsø, and 182 students from the University of the Western Cape. The respondents in Cape Town generally expressed more restrictive attitudes toward sexuality than respondents in the other two samples. The dimensionality of attitudes was studied, and three interpretable dimensions were identified: Sexual novelty seeking; Individualization and equality; and Fidelity. Attitudes toward sexual novelty seeking were most efficient in separating straight men and women, and queer men and women in the three samples. The samples were also different in their acceptance of infidelity. More research is needed to further explore cultural differences in sexual attitudes.
Towards the Post‐Corporate State?
Authors: Eriksen Erik Oddvar
Published: September 2010

Many studies of the relationship between the state and interest organizations conclude that the state is captured by sectoral interests. The state is not autonomous in a capitalist society. However, does the neo‐corporatist practice necessarily imply a captured state? The author examines the dependencies of the state on functional groups and proposes that corporatism in fact makes it a stronger and more autonomous state. Further, different criteria of autonomy are discussed. The public interest is explored through the concept of communicative action. Finally, the author tries to delimit the concept of autonomy in analysing some recent trends of development in Norwegian public policy.
Institutional Legacies and the Role of Citizens in the Scandinavian Welfare State
Authors: Lindbom Anders
Published: September 2010

In this article, I attempt to explain the different roles of Swedish and Danish citizens when they encounter the welfare state. The case chosen is primary education, the area with the greatest variation. My thesis is that the differences arc primarily explained by the different institutional legacies in the two countries, rather than the often‐suggested alternatives, i.e., the different strength of the labor movements and the importance of Grundtvigian ideas in Denmark. I argue that in the first decades of the 20th century, Sweden and Denmark established two very different systems of school administration. Once established, these have shown a high, though by no means total, stability and the development has been path dependent. Due to the different institutional legacies, the same political ideas have often resulted in different decisions and measures in the two countries.
Comment on BØrre Nylehn's “Strategy in Local Government”.
Authors: Johnsen Åge
Published: September 2010

Børre Nylehn's article “Strategy in Local Government” is an exciting and thought provoking discussion of strategic management in local government. However, his observations can be discussed, both theoretically and empirically. It has been documented that politicians resist attempts to introduce strategic management systems in the form of Management by Objective, especially in small municipalities, but Nylehn's conclusion that strategic management is not used in local government organizations, that it is inappropriate, inadequate and even harmful is too hasty. I will argue that there may be good reasons to use strategic thinking in local government, but more research is needed to document the costs and benefits.
THE CASE FOR STRUCTURAL IMPROVEMENT IN BRITISH AGRICULTURE*
Authors: McCrone Gavin
Published: September 2010

The purpose of this short article is to argue that measures likely to promote structural reform should be given a higher priority in British agricultural policy, and in particular that Government expenditure should be so adjusted that less emphasis is placed on protection and more on the adaptation required to fit the industry for a competitive international environment. This is a question which has been much discussed recently, and it is the aim of this article to summarise the case as it at present appears. British Policy is still too closely tied to the pattern which was devised to meet the problems of the post‐war years. It is clear to all that the present situation differs fundamentally from that which existed between 1945 and 1952. Yet measures which were designed in times of food shortage are still given great emphasis; and though farmers now realise that maximum output with little regard to cost is no longer the aim, no new objective has yet been set. In consequence one sometimes sees a rather confused mixture of measures designed to restrain the growth of output imposed on top of those which were originally intended to raise it: price subsidies are paid with one hand, while quotas or acreage restrictions are imposed with the other. This climate of confusion and uncertainty cannot help in the task of raising the industry's productivity which ought to be the primary aim. The time seems ripe, therefore, for the Government to state clearly the objectives which agriculture should be trying to meet in present circumstances and then to redesign its policy so that priority would be given to measures which are most likely to assist in their attainment.
DOMINATION ET SOCIÉTÉ RURALE: INDUSTRIALISATION ET CORPORATISME. LE CAS DE LA BEIRA MARITIME
Authors: LOURENÇO NELSON
Published: September 2010

Le présent article analyse les conséquences, pour la société rurale, de l'application des modèles de développement économique adoptés au Portugal dans les dernières décennies, compte tenu de la complexité de la situation découlant, dans la période antérieure à la Révolution de 1974, de l'imposition par l'Etat de 1'organisation corporative.

L'analyse du conflit entre le mouvement coopératif des producteurs de lait de la Région de Beira Maritime, d'une part, et l'organisation corporarive et les industriels du lait, d'autre part, dans le cadre des modèles de développement alors adoptés, rend possible la définition des relations de domination agissant dans la société rurale. Ccpendant, l'analyse se poursuit dans la période immédiatement postérieure à la chute du régime corporatif dictatorial.

The article analyses the impact of economic development models applied to Portuguese rural society during recent decades. It takes particular account of the complicated situation which arose in the period before the 1974 revolution from the imposition by the State of a corporate organisation.

The analysis of conflict between the milk producers' cooperative in the Beira coastal region on one hand and the milk industry and corporate organisation on the other, makes it possible to define the relations of domination at work in rural society. This analysis is pursued for the period immediately following the downfall of the dictatorial corporate regime.

KURZFASSUNG

In dem Artikel werden die Auswirkungen ökonomischer Entwicklungsmodelle, die in den vergangenen Jahrzehnten auf die pottugiesische ländliche Gescllschaft angewandt wurden, analysiert. Insbesonderc wird die schwierige Situation betrachtct, die in dcr Periode vor der 1974er Revolution durch die Einführung einer korporativen gescllschaftlichen Organisation durch den Staat geschaffen wurde

Die Analyse dcs Konflikts zwischen der Milchcrzeugergenosscnschaft in der Küstenregion Beira auf der einen Seite und der Milchindustrie und der entsprechenden Körperschaft auf der anderen Seite macht es möglich, die Hcrrschaftsbezichungen innerhalb des Arbeitsprozesses in der ländlichcn Gesellschaft zu bestimmen. Diese Analyse wird fortgeführt für die Periode, die unmirtelbar dem Zusammenbruch dcs diktatorisch‐korporativen Regimes folgt.
7. Four Useful Finite Mixture Models for Regression Analyses of Panel Data with a Categorical Dependent Variable
Authors: Yamaguchi Kazuo
Published: September 2010

This paper describes and contrasts two useful ways to employ a latent class variable as a mixture variable in regression analyses of panel data with a categorical dependent variable. One way is to model unobserved heterogeneity in the trajectory, or change in the distribution, of the dependent variable. Two models that accomplish this are the latent trajectory model and latent growth curve model for a categorical dependent variable having ordered categories. Each latent class here represents a distinct trajectory of the dependent variable. The latent trajectory model introduces covariate effects on the composition of latent classes, while the latent growth curve model introduces covariate effects on both the “intercept” and the “slope” of growth in logit, which may vary among latent classes.

The other useful way is to model unobserved heterogeneity in the state dependence of the dependent variable. Two models that accomplish this are introduced for a simultaneous analysis of response probability and response stability, and the latent class variable is employed to distinguish two latent populations that differ in the stability of responses over time. One of them is the switching multinomial logit model with a time-lagged dependent variable as its separation indicator, and the other is the mover-stayer regression model.

By applying these four models to empirical data, this paper demonstrates the usefulness of these models for panel-data analyses. Example programs for specifying these models based on the LEM program are also provided.
8. Outliers, Leverage Observations, and Influential Cases in Factor Analysis: Using Robust Procedures to Minimize Their Effect
Authors: Yuan Ke-Hai , Zhong Xiaoling
Published: September 2010

Parallel to the development in regression diagnosis, this paper defines good and bad leverage observations in factor analysis. Outliers are observations that deviate from the factor model, not from the center of the data cloud. The effects of each kind of outlying observations on the normal distribution-based maximum likelihood estimator and the associated likelihood ratio statistic are studied through analysis. The distinction between outliers and leverage observations also clarifies the roles of three robust procedures based on different Mahalanobis distances. All the robust procedures are designed to minimize the effect of certain outlying observations. Only the robust procedure with a residual-based distance properly controls the effect of outliers. Empirical results illustrate the strength or weakness of each procedure and support those obtained in analysis. The relevance of the results to general structural equation models is discussed and formulas are provided.
Homoclinic Connections of Unstable Plane Waves of the Long‐Wave–Short‐Wave Equations
Authors: Wright O. C.
Published: September 2010

A Bäcklund transformation is obtained for unstable plane wave solutions of the long‐wave–short‐wave resonance equations that appear in continuum mechanics. Explicit expressions for the periodic homoclinic connections that arise from the instabilities are constructed by evaluating the transform at double points of the Floquet spectral curve.
Exact Analytic Solution of a Boundary Value Problem for the Falkner–Skan Equation
Authors: Sachdev P. L. , Kudenatti Ramesh B. , Bujurke N. M.
Published: September 2010

The Falkner–Skan equation, subject to appropriate physical boundary conditions arising from boundary layer theory, is exactly solved. The results obtained from this solution are compared with the numerical solution. The Blasius equation, subject to the same boundary conditions, is also solved exactly; the solution is compared with the earlier work on this equation. The analytic solution presented here agrees closely with the corresponding numerical results.
A Simple ‘Pig’ Game
Authors: Johnson Roger W.
Published: September 2010

Our pig game involves a series of tosses of a die with the possibility of a player's score improving with each additional toss. With each additional toss, however, there is also the chance of losing the entire score accumulated so far. Two different strategies for deciding how many tosses a player should attempt are developed and then compared in terms of expected score.
A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
Authors: Aoki Masanao
Published: September 2010

Abstract. A state space method for building time series models without detrending each component of data vectors individually is presented. The method uses the recent algorithm based on the singular‐value decomposition of the Hankel matrix and a two‐step sequential procedure suggested by the notion of dynamic aggregation. Some asymptotic properties of the estimators of the model parameter and error estimates are also presented.
PARAMETER ESTIMATION IN EXPONENTIAL MODELS
Authors: Cheng Qiansheng
Published: September 2010

Abstract. In this paper the problems of parameter estimation and order determination of an exponential (EX) model are studied in the time domain. In order to estimate the parameters, the parameter equations of an EX model are given in terms of the autocorrelation function, which is similar to the Yule‐Walker equations of an autoregressive moving‐average model. Estimates of parameters are obtained with the aid of the parameter equations and theorems are proved relating the convergence rate and asymptotic distribution of the estimates. We present two kinds of methods for estimating the order and prove that the estimates of the order are consistent.
CONSISTENT ESTIMATION OF THE FOURTH‐ORDER CUMULANT SPECTRAL DENSITY
Authors: Kim Peter T.
Published: September 2010

Abstract. In this paper we consider the estimation of the fourth‐order cumulant spectral density. Indeed this is the first case where the cumulant depends on lower‐order product moments for a mean‐zero stationary process. The proposed estimator of the fourth‐order cumulant spectral density is constructed by replacing product moments with appropriately weighted estimates of product moments according to the definition of the fourth‐order cumulant spectral density. Asymptotic unbiasedness and consistency are shown to hold for these estimators under stationarity and absolute summability of cumulants up to various orders with no restrictions on the frequencies. An expression for the asymptotic variance is also obtained.
ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
Authors: Sakai Hideaki
Published: September 2010

Abstract. After reviewing the spectral representation theorems for periodic stationary process, we derive a parametric formula for the spectral density of a periodic ARMA process via a new approach. The equivalence with the existing approach is shown.
Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
Authors: Bu Ruijun , McCabe Brendan , Hadri Kaddour
Published: September 2010

Abstract.  In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 701–722] and develop a general framework for maximum likelihood (ML) analysis of higher‐order integer‐valued autoregressive processes. Our exposition includes the case where the innovation sequence has a Poisson distribution and the thinning is binomial. A recursive representation of the transition probability of the model is proposed. Based on this transition probability, we derive expressions for the score function and the Fisher information matrix, which form the basis for ML estimation and inference. Similar to the results in Freeland and McCabe (2004), we show that the score function and the Fisher information matrix can be neatly represented as conditional expectations. Using the INAR(2) specification with binomial thinning and Poisson innovations, we examine both the asymptotic efficiency and finite sample properties of the ML estimator in relation to the widely used conditional least squares (CLS) and Yule–Walker (YW) estimators. We conclude that, if the Poisson assumption can be justified, there are substantial gains to be had from using ML especially when the thinning parameters are large.
Editor's Introduction: Toward a Sociolegai Paradigm of Risk
Authors: SHORT JAMES F.
Published: September 2010

Increasingly, law and legal institutions must deal with hazards and their attendant risks. This special issue of Law and Policy examines a variety of organizational responses to this challenge. Examples of the behavior of firms and of regulatory agencies suggest the outlines of a sociolegai paradigm of risks and risk‐related behavior.
Regulating Risky Business: Dilemmas in Security Regulation*
Authors: REICHMAN NANCY
Published: September 2010

This paper examines the dilemma of regulating the complex and highly differentiated stock market. I argue that regulations, with legitimacy needs for status neutrality, serve mostly to protect investors with limited capacity for managing risk on their own. In competitive markets, players with greater capacity for risk management (e.g., access to market intelligence, sizeable reserves to cushion losses and enhanced technologies for risk assessment) seek out new arrangements for managing risk. These new privatized forms of risk management interact with the markets and market regulation in ways that undermine the regulatory program for those who depend on it most. I illustrate this form of regulatory bias by examining events surrounding Black Monday, the stock market crash of October 1987.
The Banking Crises and Housing Finance: The Political Economy of Financial Deregulation*
Authors: McINTYRE RICHARD
Published: September 2010

This paper explains current problems in the housing and banking industries by reviewing the history of the post‐New Deal U. S. banking system as it relates to housing finance. Current problems in banking and housing are seen as the result of the interaction of long waves of growth and decline in the U.S. economy and structured conflict over financial regulation between large commercial banks and a shifting alliance of other social groups. Contemporary problems of affordability, price volatility, and credit “crunches” flow from increasing financial fragility and economic stagnation. Policies to democratize finance and create new financial institutions are considered.
Constructing the License to Operate: Internal Factors and Their Influence on Corporate Environmental Decisions
Authors: HOWARD‐GRENVILLE JENNIFER , NASH JENNIFER , COGLIANESE CARY
Published: September 2010

Voluntary programs intended to improve corporate environmental practices have proliferated in recent years. Why some businesses choose to participate in such voluntary programs, while others do not, remains an open question. Recent work suggests that companies’ environmental practices, including their decisions to participate in voluntary programs, are shaped by a license to operate comprised of social, regulatory, and economic pressures. Although these external factors do matter, by themselves they only partially explain business decision making, since facilities subject to similar external factors often behave differently. In this article, we draw from organizational theory to explain why we would expect a company's license to operate to be ultimately constructed by internal factors, such as managerial incentives, organizational culture, and organizational identity, as these shape both interpretations of the external pressures and organizational responses to them. Using qualitative data from an exploratory study of matched facilities that reached different decisions about participating in a prominent voluntary environmental program, we then report evidence indicative of the role of these internal factors in shaping facilities’ environmental decisions. Finally, we offer suggestions for future research that could further develop understanding of how internal organizational characteristics influence environmental management decisions, including those concerning participation in voluntary programs.
Working to Death: The Regulation of Working Hours in Health Care
Authors: McDONALD FIONA
Published: September 2010

Recent research highlights significant risks associated with health professionals working long hours—risks to their health and safety, to the safety and quality of care provided to patients, and to public safety. This article undertakes a review of the various instruments used to regulate working hours in health systems, using six countries (Australia, Canada, Denmark, New Zealand, the United Kingdom, and the United States) and the European Union as primary comparators. The review demonstrates differences in the instruments used to regulate the issue in these countries and in the economic, social, and cultural factors that limit instrument choice and moderate instrument effectiveness.
A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
Authors: Maller Ross A. , Solomon David H. , Szimayer Alex
Published: September 2010

This paper gives a tree‐based method for pricing American options in models where the stock price follows a general exponential Lévy process. A multinomial model for approximating the stock price process, which can be viewed as generalizing the binomial model of Cox, Ross, and Rubinstein (1979) for geometric Brownian motion, is developed. Under mild conditions, it is proved that the stock price process and the prices of American‐type options on the stock, calculated from the multinomial model, converge to the corresponding prices under the continuous time Lévy process model. Explicit illustrations are given for the variance gamma model and the normal inverse Gaussian process when the option is an American put, but the procedure is applicable to a much wider class of derivatives including some path‐dependent options. Our approach overcomes some practical difficulties that have previously been encountered when the Lévy process has infinite activity.
LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
Authors: Akahori Jirô , Hara Keisuke
Published: September 2010

We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models.
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
Authors: Schrager David F. , Pelsser Antoon A. J.
Published: September 2010

We propose an approach to find an approximate price of a swaption in affine term structure models. Our approach is based on the derivation of approximate swap rate dynamics in which the volatility of the forward swap rate is itself an affine function of the factors. Hence, we remain in the affine framework and well‐known results on transforms and transform inversion can be used to obtain swaption prices in similar fashion to zero bond options (i.e., caplets). The method can easily be generalized to price options on coupon bonds. Computational times compare favorably with other approximation methods. Numerical results on the quality of the approximation are excellent. Our results show that in affine models, analogously to the LIBOR market model, LIBOR and swap rates are driven by approximately the same type of (in this case affine) dynamics.
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Authors: Jobert A. , Rogers L. C. G.
Published: September 2010

This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk‐transfer and time‐consistency properties for a firm seeking to spread its risk across a group of subsidiaries.
OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION
Authors: Filipović Damir , Kupper Michael
Published: September 2010

Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of the new Solvency II framework for the regulation of European insurance undertakings. In this paper, we propose a conceptual framework for a legally enforceable capital and risk transfer which optimally accounts for the designated group diversification benefits. We also provide a consistent valuation principle which is compatible with any prior valuation method. This makes our framework fully flexible and universally applicable. A first simple numerical example illustrates the practicability of our proposal.
HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?
Authors: Schachermayer Walter , Teichmann Josef
Published: September 2010

We compare the option pricing formulas of Louis Bachelier and Black–Merton–Scholes and observe—theoretically as well as for Bachelier's original data—that the prices coincide very well. We illustrate Louis Bachelier's efforts to obtain applicable formulas for option pricing in pre‐computer time. Furthermore we explain—by simple methods from chaos expansion—why Bachelier's model yields good short‐time approximations of prices and volatilities.
A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION
Authors: Jin Hanqing , Quan Xu Zuo , Yu Zhou Xun
Published: September 2010

A continuous‐time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In literature the latter is solved by assuming a priori that the problem is well‐posed (i.e., the supremum value is finite) and a Lagrange multiplier exists (and as a consequence the optimal solution is attainable). In this paper it is first shown that, via various counter‐examples, neither of these two assumptions needs to hold, and an optimal solution does not necessarily exist. These anomalies in turn have important interpretations in and impacts on the portfolio selection modeling and solutions. Relations among the non‐existence of the Lagrange multiplier, the ill‐posedness of the problem, and the non‐attainability of an optimal solution are then investigated. Finally, explicit and easily verifiable conditions are derived which lead to finding the unique optimal solution.
THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
Authors: Göttsche O. E. , Vellekoop M. H.
Published: September 2010

We derive an integral equation for the early exercise boundary of an American put option under Black–Scholes dynamics with discrete dividends at fixed times during the lifetime of the option. Our result is a generalization of the results obtained by Carr, Jarrow, and Myneni; Jacka; and Kim for the case without discrete dividends, and it requires a careful study of Snell envelopes for semimartingales with discontinuities.
KOOKY OBJECTS REVISITED: ARISTOTLE'S ONTOLOGY
Authors: COHEN S. MARC
Published: September 2010

Abstract: This is an investigation of Aristotle's conception of accidental compounds (or “kooky objects,” as Gareth Matthews has called them)—entities such as the pale man and the musical man. I begin with Matthews's pioneering work into kooky objects, and argue that they are not so far removed from our ordinary thinking as is commonly supposed. I go on to assess their utility in solving some familiar puzzles involving substitutivity in epistemic contexts, and compare the kooky object approach to more modern approaches involving the notion of referential opacity. I conclude by proposing that Aristotle provides an implicit role for kooky objects in such metaphysical contexts as the Categories and Metaphysics.
MUSIC AND METAPHYSICS
Authors: TRIVEDI SAAM
Published: September 2010

Abstract:In this article, I assume that musical works are abstract types, and I raise and address a new question concerning musical ontology that may take the types view at least a step further: When do musical worksceaseto exist? I then propound my view about musical works as types, which is somewhat like the Aristotelian Realist position concerning universals. Next, I address some objections to that view. Finally, I provide some grounds for rejecting alternative views that see Western classical musical works before 1950 (the sorts of musical works the discussion here is restricted to) either as classes or else as kinds.
PHYSICAL SCALE EFFECTS AND PHILOSOPHICAL THOUGHT EXPERIMENTS
Authors: KLEE ROBERT
Published: September 2010

Abstract: The scales across which physical properties exist are vast and subtle in their effects on particular systems placed locally on such scales. For example, human experiential access is restricted only to partial segments of the mass density, size, and temperature scales of the universe. I argue that philosophers must learn to appreciate better the effects of physical scales. Specifically, thought experiments in philosophy should be more sensitive to physical scale effects, because the conclusion of a thought experiment may be undermined by unintentionally ignored scale effects, and the changes required to obtain the foreground state of affairs in a thought experiment might require unacknowledged scale‐spanning changes to the contextual background. I discuss four philosophical thought experiments: Putnam's Twin Earth and Brain in a Vat, Searle's Chinese Room, and Chalmers's Zombies Without Qualia. I close by briefly defending the greater interest and importance of physical possibility over logical possibility.