We consider the long memory and leverage properties of a model for the conditional variance V 2 t of an observable stationary sequence Xt, where V 2 t is the square of an inhomogeneous linear combination of Xs, s < t, with square summable weights bj . This model, which we call linear ARCH (LARCH), specializes, when V 2 t depends only on Xt−1, to the asymmetric ARCH model of Engle (1990), and, w...

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by m...

Bagging is a procedure averaging estimators trained on bootstrap samples. Numerous experiments have shown that bagged estimates often yield better results than the original predictor, and several explanations have been given to account for this gain. However, six years from its introduction, bagging is still not fully understood. Most explanations given until now are based on global properties ...

Digital inequality, or the unequal access and use of information communication technologies, inhibits under-privileged people from opportunities in the digital world. Although government and private organizations have devoted considerable resources to address this inequality, issues remain unsolved. A theory-based investigation of the phenomenon is essential for effective policy-making and inte...

Foresight is currently perceived as a critical activity in the development of innovation policies and corporate strategies. While there are many descriptions of the benefits of foresight, there is little research into how these benefits are created. In addition, although the view of innovations has shifted towards a systems understanding, the same has not happened with foresight, which is large...

In this paper we propose a method to robustly estimate linear regression quantiles with censored data. We adjust the estimator recently developed by Portnoy by replacing the Koenker-Bassett regression quantiles with the regression depth quantiles. The resulting optimization problem is solved iteratively over a set of grid points. We show on some examples that, contrary to the Koenker-Bassett ap...

In addition to the special issue articles, we have asked three leading researchers in software engineering for their perspectives on [email protected]. We include contributions from Betty H.C. Cheng, Anthony Finkelstein, and Bran Selic as sidebars in this guest editors’ introduction. Their insights add significantly to the value of this special issue, and we thank them for their thoughtful contri...

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loosely or too tightly constraining investors’ risk preferences, from their respe...

Article history: Received 11 June 2012 Received in revised form 19 December 2013 Accepted 20 December 2013 Available online 28 December 2013 Adjustment costs play a prominent role in explanations of capital structure, but the extent of their economic importance is unknown. A credit line has institutional features important for this analysis, notably its sunk costs of access to the debt market, ...