Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model

The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In practice, re-calibration of the model to the prevailing market conditions leads to model parameters that change over time. Therefore, the model parameters should be understood as being time-dependent or even stochastic. Following the consistent re-calibration (CRC) approach, we construct models as concatenations of yield curve increments of Hull-White extended multifactor Vasi\v{c}ek models with different parameters. The CRC approach provides attractive tractable models that preserve the no-arbitrage premise. As a numerical example, we fit Swiss interest rates using CRC multifactor Vasi\v{c}ek models.Comment: 29 pages, 16 figures, 2 table

Capture numbers and islands size distributions in models of submonolayer surface growth

The capture numbers entering the rate equations (RE) for submonolayer film growth are determined from extensive kinetic Monte Carlo (KMC) simulations for simple representative growth models yielding point, compact, and fractal island morphologies. The full dependence of the capture numbers on island size, and on both the coverage and the D/F ratio between the adatom diffusion coefficient D and deposition rate F is determined. Based on this information, the RE are solved to give the RE island size distribution (RE-ISD). The RE-ISDs are shown to agree well with the corresponding KMC-ISDs for all island morphologies. For compact morphologies, however, this agreement is only present for coverages smaller than about 5% due to a significantly increased coalescence rate compared to fractal morphologies. As found earlier, the scaled KMC-ISDs as a function of scaled island size approach, for fixed coverage, a limiting curve for D/F going to infinity. Our findings provide evidence that the limiting curve is independent of the coverage for point islands, while the results for compact and fractal island morphologies indicate a dependence on the coverage.Comment: 13 pages, 12 figure

Asymmetric information in external versus internal promotions

Individuals have two possible channels through which to obtain a managerial position: external and internal promotions. Employing the revised German Employment Register, we compare external and internal promotions by using multinomial logit regressions while accounting for workplace heterogeneity. Individual characteristics are hypothesized to exert differential effects because of their observability within and across workplaces. We find that actual working hours are a more important source of information for internal versus external promotions. By contrast, formal vocational degrees and initial job task complexity, which are also externally observed, are a relatively more important signal for external promotions. Consistent with statistical discrimination, women and foreigners face a more pronounced disadvantage in external promotions. For women, this differential effect is fully driven by promotions to executive positions characterized by high task complexity. Moreover, actual working hours show a strong positive interaction effect on women's prospects of promotion.Für Beschäftigte existieren zwei Kanäle um eine Führungsposition zu erreichen: die externe und die interne Beförderung. Anhand der neuaufgelegten deutschen Beschäftigtenstatistik vergleichen wir externe und interne Beförderungen mithilfe eines multinomialen Logit- Modells und unter Kontrolle für die Heterogenität zwischen Arbeitgebern. Wir nehmen an, dass die Charakteristika von Beschäftigten abhängig von ihrer Sichtbarkeit innerhalb von Betrieben und über Betriebe hinweg abweichende Einflüsse ausüben. Wir zeigen, dass die Realarbeitszeit für interne Beförderungen eine bedeutsamere Informationsquelle darstellt als für externe. Demgegenüber spielen formale Ausbildungsabschlüsse und die ursprüngliche Aufgabenkomplexität, welche beide auch über Betriebe hinweg sichtbar sind, eine größere Rolle bei externen Beförderungen. Übereinstimmend mit dem Konzept statistischer Diskriminierung unterliegen Frauen und Ausländer bei externen Beförderungen einem stärker ausgeprägten Nachteil. Bei Frauen ist dieses Ergebnis vollständig auf Beförderungen zu Managern bzw. leitenden Angestellten zurückzuführen, welche durch hohe Aufgabenkomplexität gekennzeichnet sind. Darüber hinaus zeigt die Realarbeitszeit einen starken positiven Interaktionseffekt auf die Beförderungsaussichten von Frauen