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__Abstract__ One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on "Econometric Analysis of Financial Derivatives" is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What's beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on "Econometric Analysis of Financial Derivatives" is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What's beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives.

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on "Econometric Analysis of Financial Derivatives" is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What's beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives

__Abstract__ One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on "Econometric Analysis of Financial Derivatives" is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What's beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives.

Many countries in the Caribbean have been grappling with persistent fiscal imbalances and rising debt levels. The average debt to GDP ratio in the Caribbean in 2017 was 76.6 percent, higher than the negative debt-growth threshold of 60 percent of GDP. Also, the average fiscal deficit as a percent of GDP was 2.8 percent, but with significant heterogeneity across countries ranging from 0.5 percent to 11 percent. Using the inter-temporal budget constraint framework and various panel data econometric estimators, this article examines the issue of fiscal sustainability for a group of 10 Caribbean countries over the period 1991-2017. The evidence from panel co-integration models of government revenue and expenditure shows that past fiscal behavior is 'weakly' sustainable. The 'weak sustainability' finding is reinforced by evidence from an extended fiscal reaction function which showed that the primary balance improves by about 0.02 for every 1 percentage point increase in the debt ratio.

Improving fiscal performance by reducing budget deficits has for long been at the heart of many governments in developing countries. Budget deficit in all cases whether monetized or not, tends to generate inflationary pressures triggering uncertain crisis in an economic system. Majority of the developing nations, Kenya inclusive have had a dismal performance by attracting negative budget balances over the years. To contain fiscal vulnerabilities, there is need to understand factors behind fiscal performance in Kenya. The objectives of this study are to establish the trends and extent to which these factors determine fiscal performance in Kenya. The study employed unrestricted Vector Autoregressive (VAR) model in estimating how macro-economic, political and institutional factors affect fiscal balance using longitudinal data collected, consolidated and analysed for the period 1963 to 2013. In the short run, both the first and the second lags of fiscal balance, Treasury bill, Tax revenue and inflation significantly influenced fiscal balance. On the other hand, only the first lags of real gross domestic product per capita growth rate, the first differences of the Total Debt service and the Gross Government Investment affected fiscal balance significantly whereas only the second lags of the first differences of both the current account and the ratio of broad money to GDP were found to significantly determine fiscal balance. The study suggests therefore that the government should intervene through refocusing on the existing fiscal policies to mitigate the anticipated future problems likely to be associated with the existence of unchecked behaviors of these determinants. Finally, the government and the relevant agencies need to consider adjusting Treasury bill rates downwards to increase fiscal balance. As well, the government should be able to encourage internal investment by the local and encourage internal borrowing at affordable interest rates. This may ultimately spur economic growth through varied sectors of the ...

Sunflower production has fluctuated widely over the past 20 years because of variations in yield and the number of hectares seeded each year. This has resulted in uncertainity of availability of supply to the processing industry, fluctuating income levels to producers and hesitancy in developing effective Government programs. In this thesis the problem of variation in the supply of sunflower seed in Manitoba was analyzed by attempting to identify the factors which determine the allocation of the land to the crop. The objectives of the study were to explain the variation in aggregate sunflower seed supply and to predict the seeded hectarage of sunflowers in response to the factors identified as deterministic. These were accomplished by formulating and estimating suitable econometric models to measure producers' response. The "expected" gross receipts relations among crops were deterministic in the allocation of resources among the alternative crops. This 'prima facie' economic rational however, was not the most important criteria identified by the quantitative results of the models. From the results it was determined that the quantity of land seeded in the previous time period was the most influential factor. The author interpreted this relationship in terms of the psychological reaction in total to the broad management successes or failures in the previous time period. In conclusion, it was stated that the institutional affect must be incorporated into the economic relationships if actual on-farm criteria are to be used to measure producers' responses.

Sri Lanka aims to transform its tourism sector into one of the largest foreign exchange earners in 2016 by attracting 2.5 million high spending tourists. Tourism was ranked as the fifth largest source of foreign exchange earnings in 2012, and third largest in 2013 contributing 5.2 percent to total foreign earnings of the country. Further to this, the Sri Lankan government also identified tourism as a major hub of the countrys economy. Given the multi-dimensional impact the sector has on the countrys economy, it has to be examined systematically. This paper develops an econometric model based on the Cobb-Douglas function to analyze the relation between foreign exchange earnings, tourist arrivals, tourist prices, and tourist spending and direct employment in tourism. These variables of tourism are estimated utilizing model parameters such as R-Studio based on data from the sample period from 2002 to 2013. The formula presented in this study can be used by policy makers to calculate future foreign exchange earnings, employment, arrivals and prices related to tourism in Sri Lanka.

The research investigated the determinants of Pakistan's exports by using time series data from 1990-2016. Certain econometric tests were also applied to check cointegration among variables. A unit root test was used to check the stationarity of selected variables. After the stationarity of the data, a vector error correction model is used to estimate the effect of regressors, like foreign direct investment, gross domestic product, employment level, and consumption expenditures on a dependent variable, i.e. exports in the short run. The result shows the positive relationships that foreign direct investment, gross domestic product and employment level have on exports, and the adverse impact of consumption expenditures on the dependent variable. The study uses Johansen's cointegration test for the long run. The results show that all the variables are co-integrated in the long run. It is suggested that the government should encourage foreign direct investment and gross domestic product, which would help accelerate Pakistan's exports. It is also suggested that whenever policymakers provide a trade policy, in particular, in relation to exports, then the adverse effect of exchange rate depreciation, external debt burdens, taxes, sanctions and protectionism should be quantified, and necessary measures be suggested so as to minimize any repercussions.

This paper utilizes panel data from rural India on a daily rated labour market to examine how workers deal with the uncertainty which arises from the existence of involuntary unemployment. In particular, it measures the relative explanatory power of the three models which the literature suggests should better fit the conditions prevailing in this market: the Expected Utility Model (EUM) with linear objective probabilities, the EUM with linear subjective probabilities and the EUM with non-linear subjective probabilities. The econometric analysis indicates that the EUM with linear has to be preferred to that with non-linear probabilities. Moreover, it supports the hypothesis that the decision making model is under uncertainty and that people work out their subjective probabilities through their past experiences. Finally, agents in the sample turn out to be risk-averse and not to have a positive reservation wage.

Scarce radio spectrum is assigned to mobile network operators (MNOs) by national regulatory authorities (NRAs). Spectrum is usually assigned by beauty contest or an auction. The process requires that winners make a payment to the government. MNOs seek scarce spectrum to enable the provision of wireless services for profit. While MNOs are imperfectly aware of their costs, NRAs rely solely on MNOs for this information. As such, NRAs set spectrum assignment conditions (including minimum bid price) largely ignorant of MNO operating conditions. This study examines the performance of 3G auction outcomes in terms of the prices paid by winners via an econometric analysis of a unique sample of national 3G spectrum auctions. These winning bids depend on national and mobile market conditions, spectrum package attributes, license process, and post-award operator requirements. Finally, model estimation accounts for the censored nature of these data.

Producción Científica ; The aim of this chapter is to explore the determinants of the quality of life of people aged 60 and over in 26 European countries from a double perspective: individual and spatial. We draw on the latest data available from the Survey on Health, Ageing and Retirement in Europe (SHARE) (7th wave). To achieve our purpose, a synthetic indicator of quality of life is first obtained, as an alternative to the CASP12 scale that provides said survey. Several econometric models are then estimated to analyse the most decisive factors in explaining the quality of life in older European adults. In 17 of the 26 countries, ceteris paribus, older citizens have a quality of life that is clearly worse than that of the nine countries that make up the Nordic and continental groups. The results of the econometric models bear out the deep-rooted differences between countries vis-à-vis the quality of life of our elderly people ; Departamento de Fundamentos de Análisis Económico ; Junta de Castilla y León (project VA112G19)

Interest for this research was initiated by the threefold increase witnessed in rural land values since the early 1950's. Society in general and farmers, mortgage lenders, tax assessors and public policy makers in particular are concerned with these price increases because of their economic, social and political implications. The major objective of this study was to identify the more important factors influencing farmland prices, develop a methodology to measure their individual effect on market value and, if possible, project future land prices for alternative values of these determining variables. Before hypotheses concerning sources of price variation were generated or functional relationships specified, familiarization with the nature and structural characteristics of the farmland market itself was accomplished by personal observation of the market in operation, discussions with participants (buyers and sellers) and a fairly exhaustive review of major studies on land values in both the United States and Canada. Two econometric models of the farmland market were subsequently formulated -- a cross sectional or static model- and a time series or dynamic model. Four basic hypotheses were tested -- the market value of farmland is positively related, to (a) soil productivity, (b) expected net farm income from land, (c) long term farm credit availability and (d) technological advance in the agricultural industry. Land value data for the empirical analysis were obtained from two independent sources -- (a) Manitoba Crop District 3 and 10 sales data (1958 - 1970) and (b) D.B.S. estimates of the average annual "value per acre of occupied land" for each of Manitoba, Saskatchewan and Alberta. (1928 - 1969) Both models were fitted. to the economic data by ordinary least-squares linear regression.

Background: Increasing access to health care has been a policy concern for many governments, Kenya included. The Kenyan government introduced and implemented a number of initiatives in a bid to address the healthcare utilization challenge. These initiatives include 10/20 policy, exemptions for user fees for some specific health services (treatment of children less than five years, maternity services in dispensaries and health centers, Tuberculosis treatment in public health facilities), and increase in the number of health facilities and health workforce. These initiatives notwithstanding, healthcare utilization in Kenya remains a challenge. The Kenya Household Health Expenditure and Utilization Survey of 2007 found that 17 percent of those who needed health care services could not access the services from both government and private health facilities largely due to financial constraints. This paper employed econometric analysis to examine what could be constraining health care utilization in Kenya despite all the efforts employed. Methods: Using the 2007 Kenya Household Health Expenditures and Utilization Survey (KHHEUS) data (n = 8414), this paper investigates the factors that affect health care utilization in Kenya by estimating a count data negative binomial model. The model was also applied to public and private health facilities to better understand the specificities of poverty in these two facility types. Common estimation problems of endogeneity, heterogeneity, multicollinearity and heteroskedasticity are addressed. Findings: The econometric analysis reveals that out-of-pocket expenditures, waiting time, distance, household size, income, chronic illness area of residence and working status of the household head are significant factors affecting health care utilization in Kenya. While income and distance are significant factors affecting public health care utilization they are not significant in explaining healthcare utilization in private facilities. In addition, working status of the household head, insurance cover and education are significant in explaining private and not public health care utilization. A striking finding is the positive relationship between distance and health care utilization implying that people will travel long distances to obtain treatment. This is perhaps associated with expectations of higher quality of care at far away higher level facilities, especially in rural areas. Conclusion: The paper confirms the existing evidence of the negative effects of Out-of-Pocket (OOP) expenditures and other determinants of health care utilization. With a better understanding of why people use or do not use health services, health care organizations can seek to improve the quality of human life. The bypassing of health facilities for higher level far away facilities implies that it is not so much about availing health facilities, but the quality of the services offered in those facilities. The government should therefore assure quality to increase utilization of the lower level facilities, especially in the rural areas.

In the recent past, Zambia has increased its external borrowings significantly after reaching the Heavily Indebted Poor Countries (HIPC) completion point. The Zambian government has been on an ambitious borrowing spree with the intent that most of these funds would be channelled towards building and maintenance of key national infrastructure including roads and construction of new airports. This study undertook to answer the question, does increasing external debt affect growth of a nation's economy? The thesis commenced an econometric study between the years 1980 to 2015 using publicly available data premised on the neoclassical economic growth model. The findings from this investigation show that shocks to external debt negatively impact the economic output of Zambia which is proxied by the Gross Domestic Product (GDP). Conversely, it was found that external debt stock could not reliably forecast future economic growth for the nation, a finding which in itself provides an area of further investigations. These research findings and recommendations make it clear that Zambia requires a comprehensive debt contraction and management framework to avoid the vagaries of short-term decisions which may not always be premised on sound economic thinking.