nep-ict New Economics Papers
on Information and Communication Technologies
Issue of 2007‒02‒10
three papers chosen by
Walter Frisch
University Vienna
  1. Economics of the Internet By Nicholas Economides
  2. Management Accounting Change in the Public Sector: A French Case Study and a New Institutionalist Perspective By Bourguignon, Annick; Saulpic, Olivier; Zarlowski, Philippe
  3. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model By Silvennoinen, Annastiina; Teräsvirta, Timo
  1. By: Nicholas Economides
    Date: 2007
    URL: http://d.repec.org/n?u=RePEc:ste:nystbu:07-1&r=ict
  2. By: Bourguignon, Annick (ESSEC Business School); Saulpic, Olivier (ESCP-EAP); Zarlowski, Philippe (ESSEC Business School)
    Abstract: In this case study, we analyze in a French public company the adoption mode of a new management control system pertaining to New Public Management principles. We compare the formal system designed and deployed in the organization, the discourses of its promoters and users and the observed practices of the latter. We identify clear decoupling patterns occurring there at the utilization level of the new system. We elaborate on the notion of decoupling and discuss the reasons conducing to the observed decoupling patterns in this organization.
    Keywords: Decoupling; New Public Management; Public Sector
    JEL: M00
    Date: 2006–12
    URL: http://d.repec.org/n?u=RePEc:ebg:essewp:dr-06018&r=ict
  3. By: Silvennoinen, Annastiina (School of Finance and Economics); Teräsvirta, Timo (School of Economics and Management)
    Abstract: In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. The model is applied to a selection of world stock indices, and it is found that time is an important factor affecting correlations between them.
    Keywords: Multivariate GARCH; Constant conditional correlation; Dynamic conditional correlation; Return comovement; Variable correlation GARCH model; Volatility model evaluation
    JEL: C12 C32 C51 C52 G10
    Date: 2007–02–01
    URL: http://d.repec.org/n?u=RePEc:hhs:hastef:0652&r=ict
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