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Articles 1 - 23 of 23
Full-Text Articles in Physical Sciences and Mathematics
Embアルゴリズムの新たな応用による多重比率補定(高橋将宜), Masayoshi Takahashi
Embアルゴリズムの新たな応用による多重比率補定(高橋将宜), Masayoshi Takahashi
Masayoshi Takahashi
No abstract provided.
Daily Stock Market Movement From Oscillating Social Mood Factors, Cari Bourette
Daily Stock Market Movement From Oscillating Social Mood Factors, Cari Bourette
Cari Bourette
Since 2006, there has been ongoing research into the correlation of a set of oscillating mood factors and socioeconomic, geopolitical, and natural events with the goal of forecasting increased risks of destabilizing events. While promising results have been forthcoming, it has been difficult to present models that allowed those outside a small circle of specialists to participate. Between July 2007 and June 2010, weekly social mood projections, as published in monthly issues of MoodCompass, were used to develop a model to convert four oscillating mood factors into stock market expectations. This model was modified to generate signals of projected stock …
Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar
Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar
Anoop Sasikumar
This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as it is supposed to capture more information compared to the bilateral exchange rates. Three individual variance ratio tests as well as three joint variance ratio tests were used for the purpose of analysis. After analyzing the results from both individual and joint variance ratio test, it was concluded that Indian foreign exchange …
Cv, Lorán Chollete
International Diversification: An Extreme Value Approach, Lorán Chollete, Victor De La Peña, Ching-Chih Lu
International Diversification: An Extreme Value Approach, Lorán Chollete, Victor De La Peña, Ching-Chih Lu
Lorán Chollete
No abstract provided.
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
Anoop Sasikumar
This paper seeks to analyze the presence of long memory in the Indian foreign exchange market using a family of tests. The study has used Nominal Effective Exchange Rate (NEER) series as the data source to check the possible presence of long memory. Three R/S statistics viz. Hurst, Mandelbrot’s and Lo’s modified R/S statistics as well as two semi-parametric tests viz. Robinson’s Gaussian semi-parametric estimate and Andrews-Guggenberger modified GPH estimator are used for the purpose of analysis. All the results conclusively prove the presence of strong version of long memory in the Indian foreign exchange market.
International Diversification: A Copula Approach, Lorán Chollete, Victor De La Pena, Ching-Chih Lu
International Diversification: A Copula Approach, Lorán Chollete, Victor De La Pena, Ching-Chih Lu
Lorán Chollete
No abstract provided.
Participation And Engagement In Sport: A Double Hurdle Approach For The United Kingdom, Babatunde Buraimo, Brad Humphreys, Rob Simmons
Participation And Engagement In Sport: A Double Hurdle Approach For The United Kingdom, Babatunde Buraimo, Brad Humphreys, Rob Simmons
Dr Babatunde Buraimo
This paper uses pooled cross-section data from four waves of the United Kingdom’s Taking Part Survey, 2005 to 2009, in order to investigate determinants of probability of participation and levels of engagement in sports. The two rival modelling approaches considered here are the double-hurdle approach and the Heckman sample selection model. The Heckman model proves to be deficient in several key respects. The double-hurdle approach offers more reliable estimates than the Heckman sample selection model, at least for this particular survey. The distinction is more than just statistical nuance as there are substantive differences in qualitative results from the two …
Sphet: Spatial Models With Heteroskedastic Innovations In R, Gianfranco Piras
Sphet: Spatial Models With Heteroskedastic Innovations In R, Gianfranco Piras
Gianfranco Piras
No abstract provided.
Event Studies In Finance: Discussion, Carlo Drago
Ceo Compensation And Performance In Family Firms By Barontini And Bozzi: Discussion, Carlo Drago
Ceo Compensation And Performance In Family Firms By Barontini And Bozzi: Discussion, Carlo Drago
Carlo Drago
No abstract provided.
Exploring Persistence In The Forward Rate Series, Derek Bond
Exploring Persistence In The Forward Rate Series, Derek Bond
Derek Bond
This presentation reviews the use of tests for non-linearity based on semi-parametric estimates of the fractional difference parameter
Financial Distress And Idiosyncratic Volatility: An Empirical Investigation, Lorán Chollete, Jing Chen, Rina Ray
Financial Distress And Idiosyncratic Volatility: An Empirical Investigation, Lorán Chollete, Jing Chen, Rina Ray
Lorán Chollete
No abstract provided.
Financial Implications Of Extreme And Rare Events, Lorán Chollete, Dwight Jaffee
Financial Implications Of Extreme And Rare Events, Lorán Chollete, Dwight Jaffee
Lorán Chollete
No abstract provided.
Dependence Of Macro Variables In The Us Economy, Lorán Chollete, Cathy Ning
Dependence Of Macro Variables In The Us Economy, Lorán Chollete, Cathy Ning
Lorán Chollete
No abstract provided.
Modeling International Financial Returns With A Multivariate Regime-Switching Copula, Lorán Chollete, Andreas Heinen, Alfonso Valdesogo
Modeling International Financial Returns With A Multivariate Regime-Switching Copula, Lorán Chollete, Andreas Heinen, Alfonso Valdesogo
Lorán Chollete
No abstract provided.
Economic Implications Of Copulas And Extremes, Lorán Chollete
Economic Implications Of Copulas And Extremes, Lorán Chollete
Lorán Chollete
No abstract provided.
Gone In 60 Seconds: The Absorption Of News In A High-Frequency Betting Market, Babatunde Buraimo, David Peel, Rob Simmons
Gone In 60 Seconds: The Absorption Of News In A High-Frequency Betting Market, Babatunde Buraimo, David Peel, Rob Simmons
Dr Babatunde Buraimo
This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances (news). Full adjustment takes place within a one minute interval after the news. This suggests that this particular wagering market is not just efficient at pre-match prices but is also efficient in the face of events within games.
Investigating Omitted Variable Bias In Regression Parameter Estimation: A Genetic Algorithm Approach, Lonnie K. Stevans, David N. Sessions
Investigating Omitted Variable Bias In Regression Parameter Estimation: A Genetic Algorithm Approach, Lonnie K. Stevans, David N. Sessions
Lonnie K. Stevans
Bias in regression estimates resulting from the omission of a correlated relevant variable is a well known phenomenon. In this study, we apply a genetic algorithm to estimate the missing variable and, using that estimated variable, demonstrate that significant bias in regression estimates can be substantially corrected with relatively high confidence in effective models. Our interest is restricted to the case of a missing binary indicator variable and the analytical properties of bias and MSE dominance of the resulting dependent error generated vector process. These findings are compared to prior results for the independent error proxy process. Simulations are run …
Stochastic Convergence Among European Economies, Mauro Costantini, Claudio Lupi
Stochastic Convergence Among European Economies, Mauro Costantini, Claudio Lupi
Claudio Lupi
The aim of this paper is to test the stochastic convergence in real per capita GDP for 15 European countries using non−stationary panel data approaches over the period 1950−2003. Cross−sectional dependence is assumed due to the existence of strong linkages among European economies. However, tests derived under the assumption of cross−sectional independence are also carried out for completeness and comparison. We also split the whole sample into two sub−periods (1950−1976, 1977−2003) in order to take into account the effects of the first oil crisis (1973−1974) and to evaluate the robustness of the statistical analysis. Our results offer little support to …
Unemployment Scarring In High Unemployment Regions, Claudio Lupi, Patrizia Ordine
Unemployment Scarring In High Unemployment Regions, Claudio Lupi, Patrizia Ordine
Claudio Lupi
This paper investigates the effect of individual unemployment experiences on re-employment wages. The empirical analysis is carried out on a panel of Italian individuals. The main result is that while in the northern regions the effect is similar to the one estimated for the UK, in the southern area of the country the impact is not significant. We link this result to the particular socio-economic environment in which the unemployment spells are experienced. We argue that this might be due to the fact that in a high unemployment environment individual unemployment experiences are perceived as "normal" and do not necessarily …
Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Claudio Lupi
In this paper we show that phase-scrambling bootstrap offers a natural framework for asymmetry testing in economic time series. A comparison with other bootstrap schemes is also sketched. A Monte Carlo analysis is carried out to evaluate the size and power properties of the phase-scrambling bootstrap-based test.
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Claudio Lupi
The primary concern of this paper is to test the rational expectations hypothesis for Italian entrepreneurs' inflationary expectations between 1980 and 1988 using monthly observed expectations. Particular care is devoted to analyzing the problems arising when multiperiod expectations and a nonwhite noise measurement error in the expectations series are considered. The empirical analysis is carried out using cross correlations on ARIMA residuals and transfer function models. This technique seems to be particularly appealing for rationality testing.