Statistical Models Commons^™

Real Options Models In Real Estate, Jin Won Choi

Electronic Thesis and Dissertation Repository

Our aim in this thesis is to investigate the usefulness of real options analysis, taking case studies of problems in real estate. In the realm of real estate, we consider the following three problems. First, we consider the valuation and usefulness of presale contracts of condominiums, which can be viewed as similar to call options on condominiums. Secondly, we consider the valuation of farm land from the perspective of land developers, who may think of farm land as being similar to call options on subdivision lots. Third, we consider the valuation of opportunities to install solar panels on properties, in …

Depicting Estimates Using The Intercept In Meta-Regression Models: The Moving Constant Technique, Blair T. Johnson Dr., Tania B. Huedo-Medina Dr.

CHIP Documents

In any scientific discipline, the ability to portray research patterns graphically often aids greatly in interpreting a phenomenon. In part to depict phenomena, the statistics and capabilities of meta-analytic models have grown increasingly sophisticated. Accordingly, this article details how to move the constant in weighted meta-analysis regression models (viz. “meta-regression”) to illuminate the patterns in such models across a range of complexities. Although it is commonly ignored in practice, the constant (or intercept) in such models can be indispensible when it is not relegated to its usual static role. The moving constant technique makes possible estimates and confidence intervals at …

Market Structure Of Port Clusters And Analysis On The Number Of Effective Competitors, Ruoqi Qian

World Maritime University Dissertations

No abstract provided.

An Investigation Of Shipping Derivatives Based On Risk Evaluation, Sheng Yang

World Maritime University Dissertations

No abstract provided.

Process Optimization In Freight Forwarding Industry, Xiaohua Shi

World Maritime University Dissertations

No abstract provided.

Research On The Impact Of Container Freight Derivatives On Shipping, Zhenle Shen

World Maritime University Dissertations

No abstract provided.

Arima Models For Bank Failures: Prediction And Comparison, Fangjin Cui

UNLV Theses, Dissertations, Professional Papers, and Capstones

The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the proposed modeling techniques are applied to real bank failure data from the FDIC. In particular, quarterly data from 1989:Q1 to 2010:Q4 are used in the data analysis, which includes three major parts: 1) pairwise bank failure rate comparisons using the conditional test (Przyborowski and Wilenski, 1940); 2) development of the …

Examining The Student Investment Roundtable's Funds, David Hernandez, Uriel Luna

Undergraduate Research Conference

To what extent are the factors of the Fama-French-Factor Asset Pricing Model related to rates of returns of the Stephen F. Austin State University Student Investment Roundtable Fund?

The Fama-French Model is believed to be a major improvement over the ever-popular Capital Asset Pricing Model, CAPM. The Capital Asset Pricing Model uses a single factor beta to compare the excess returns of a portfolio with the excess returns of the market as a whole, but is said to oversimplify the complex market. On the other hand, the Fama-French Model three-factor adds additional factors to the original CAPM equation. The Fama-French …

Rejoinder: Estimation Issues For Copulas Applied To Marketing Data, Peter Danaher, Michael Smith

Michael Stanley Smith

Estimating copula models using Bayesian methods presents some subtle challenges, ranging from specification of the prior to computational tractability. There is also some debate about what is the most appropriate copula to employ from those available. We address these issues here and conclude by discussing further applications of copula models in marketing.

Forecasting Television Ratings, Peter Danaher, Tracey Dagger, Michael Smith

Michael Stanley Smith

Despite the state of flux in media today, television remains the dominant player globally for advertising spend. Since television advertising time is purchased on the basis of projected future ratings, and ad costs have skyrocketed, there is increasing pressure to forecast television ratings accurately. Previous forecasting methods are not generally very reliable and many have not been validated, but more distressingly, none have been tested in today’s multichannel environment. In this study we compare 8 different forecasting models, ranging from a naïve empirical method to a state-of-the-art Bayesian model-averaging method. Our data come from a recent time period, 2004-2008 in …

Windows Executable For Gaussian Copula With Nbd Margins, Michael S. Smith

Michael Stanley Smith

This is an example Windows 32bit program to estimate a Gaussian copula model with NBD margins. The margins are estimated first using MLE, and the copula second using Bayesian MCMC. The model was discussed in Danaher & Smith (2011; Marketing Science) as example 4 (section 4.2).

Modeling Multivariate Distributions Using Copulas: Applications In Marketing, Peter J. Danaher, Michael S. Smith

Michael Stanley Smith

In this research we introduce a new class of multivariate probability models to the marketing literature. Known as “copula models”, they have a number of attractive features. First, they permit the combination of any univariate marginal distributions that need not come from the same distributional family. Second, a particular class of copula models, called “elliptical copula”, have the property that they increase in complexity at a much slower rate than existing multivariate probability models as the number of dimensions increase. Third, they are very general, encompassing a number of existing multivariate models, and provide a framework for generating many more. …

Bicycle Commuting In Melbourne During The 2000s Energy Crisis: A Semiparametric Analysis Of Intraday Volumes, Michael S. Smith, Goeran Kauermann

Michael Stanley Smith

Cycling is attracting renewed attention as a mode of transport in western urban environments, yet the determinants of usage are poorly understood. In this paper we investigate some of these using intraday bicycle volumes collected via induction loops located at ten bike paths in the city of Melbourne, Australia, between December 2005 and June 2008. The data are hourly counts at each location, with temporal and spatial disaggregation allowing for the impact of meteorology to be measured accurately for the first time. Moreover, during this period petrol prices varied dramatically and the data also provide a unique opportunity to assess …