1. Name of publication: Journal of econometrics
Date of publication: July 2017
Type of publication: Peer reviewed journal
Title: On high frequency estimation of the frictionless price: The use of observed liquidity variables*
Authors: Chaker, S.
Affiliation of authors: Tunis Business School, University of Tunis, Tunisia.
JEL Code: C1; C14; C5; C51; C58; G2; G20
Keywords: Stochastic volatility; Hidden semimartingale model; Infill regression; Endogenous noise; Semiparametric volatility estimation
2. Jebali, E. Essid, H. and Khraief, N. (2017)*. The analysis of energy efficiency of the Mediterranean countries: A two-stage double bootstrap DEA approach. Energy, 134:991-1000
Abstract: The main purpose of this paper is to examine the energy efficiency determinants in Mediterranean countries over 2009-2012. In order to account for both the bias and serial correlation of efficiency scores, we use the double bootstrap procedure suggested by Simar and Wilson (2007) which allows for valid inference. By using a specific bootstrap procedure in the first stage, the DEA efficiency estimator is corrected for the bias. A parametric bootstrap procedure is also applied, in the second stage analysis, to the truncated regression of DEA bias-corrected efficiency scores on environmental variables. In the first stage, empirical findings show that energy efficiency levels in the Mediterranean countries are high and declining over time. The results of the second stage analysis reveal that the gross national income per capita, the population density, and the renewable energy use impact energy efficiency. Finally, the study provides policy implications for future improvement of energy efficiency.
Jel Code: D2; Q4
Keywords: Energy efficiency; Data envelopment analysis (DEA); Double bootstrap; Mediterranean countries
Affiliation of authors: Jebali, E. (Institut Supérieur de Gestion, Université de Tunis, Business Analytics and Decision Making Laboratory, Tunisia); Essid, H. (Université de Tunis, Business Analytics and Decision Making Laboratory, Tunisia); Khraief, N.(WTO Chair, Tunis Business School, University of Tunis, Tunisia)
3. Hili, A., Laussel, D. and Long, N.V. (2017)*. Disentangling managerial incentives from a dynamic perspective: The role of stock grants. Pacific Economic Review 22, (5): 743-771.
Abstract: We analyse the optimal contract between a risk‐averse manager and the initial shareholders in a two‐period model where the manager’s investment effort, carried out in period 1, and his or her current effort, carried out in period 2, both impact the second‐period profit, so that it may be difficult to disentangle the incentives for these two types of effort. We show that stock grants play different roles according to whether the signal of investment effort is less noisy, or noisier, than that of current effort. We determine simultaneously the optimal stock grants and the optimal restrictions on sales of shares.
Jel Code: M51; M52
Affiliation of authors: Hili, A. (WTO Chair and Department of Economics, Aix‐Marseille University, Provence, France); Laussel, D. (Department of Economics, Aix‐Marseille University, Provence, France); Long, N.V. (Department of Economics, McGill University, Montreal, Canada).
* This work is an output of WCP-TBS fellows not directly linked or funded by the Chair
* Influenced but not attributed to WCP-TBS