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Articles 661 - 690 of 771
Full-Text Articles in Econometrics
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with the specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well-known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier et al. (J. Econometrics 122 (2004) 185). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain and interpret the leverage …
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Duration Analysis, Anthony Tay
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Duration Analysis, Anthony Tay
Research Collection School Of Economics
We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …
Drift And Diffusion Function Specification For Short-Term Interest Rates, Myoung-Jae Lee, Wen Juan Li
Drift And Diffusion Function Specification For Short-Term Interest Rates, Myoung-Jae Lee, Wen Juan Li
Research Collection School Of Economics
Various stochastic differential equation models for short rates (rt) have been proposed, where the change (Δrt = rt−rt−1) is modeled as a sum of drift and diffusion terms depending on rt−1. These models, however, have some shortcomings. First, the same model may not apply to all countries. Second, the drift and diffusion may depend not only on rt−1 but also on further lags. Third, not just the own lagged rates, but also other countries' rates may matter. These questions are empirically analyzed for six major countries with the following findings. …
Analysis Of Job-Training Effects On Korean Women, Myoung-Jae Lee, S. J. Lee
Analysis Of Job-Training Effects On Korean Women, Myoung-Jae Lee, S. J. Lee
Research Collection School Of Economics
We analyse job-training effects on Korean women for the period January 1999 to March 2000, using a large data set of size about 52,000. We employ a number of estimation techniques: Weibull MLE and accelerated failure time approach, which are both parametric; Cox partial likelihood estimator, which is semiparametric; and two pair-matching estimators, which are in essence nonparametric. All of these methods gave the common conclusion that job training for Korean women increased their unemployment duration. The trainings were not cost-effective in the sense that they took too much time 'locking in' the trainees during the training span, compared with …
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Research Collection School Of Economics
This investigation of the switch from open-outcry trading to electronic trading on the Hang Seng Index (HSI) futures contract reveals that the bid–ask spread narrows and the futures price plays more of a role in information transmission. Factors, such as anonymity in trading and fast order execution in electronic trading, attract informed traders to the futures market, enhancing the information flow. Our results provide support for the worldwide trend of transforming open-outcry markets into electronic trading platforms
Simultaneous Equations In Ordered Discrete Responses With Regressor-Dependent Thresholds, Myoung-Jae Lee, A. Kimhi
Simultaneous Equations In Ordered Discrete Responses With Regressor-Dependent Thresholds, Myoung-Jae Lee, A. Kimhi
Research Collection School Of Economics
The parameters of ordered discrete response (ODR) models are identified only up to a positive scale. In this paper, we examine the identification issue for simultaneous equations with ODR, where the well-known identification problem in simultaneous equations of recovering structural-form parameters from reduced-form parameters is compounded with the ODR identification problem. We allow the thresholds in ODR to be regressor dependent as well as constant; the former is particularly challenging because threshold parameters get mixed with regression parameters, adding one more dimension to the identification problem. We also explore a cross-equation restriction on threshold differences, under which the structural form …
A Bootstrap Test For Conditional Symmetry, Liangjun Su, Sainan Jin
A Bootstrap Test For Conditional Symmetry, Liangjun Su, Sainan Jin
Research Collection School Of Economics
This paper proposes a simple consistent non-parametric test of conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distributions. We also study the power against local alternatives, propose a bootstrap version of the test, and conduct a small Monte Carlo simulation to evaluate the finite-sample performance of the test.
Comment: A Selective Overview Of Nonparametric Methods In Financial Econometrics, Peter C. B. Phillips, Jun Yu
Comment: A Selective Overview Of Nonparametric Methods In Financial Econometrics, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
These comments concentrate on two issues arising from Fan’s overview. The first concerns the importance of finite sample estimation bias relative to the specification and discretization biases that are emphasized in Fan’s discussion. Past research and simulations given here both reveal that finite sample effects can be more important than the other two effects when judged from either statistical or economic viewpoints. Second, we draw attention to a very different nonparametric technique that is based on computing an empirical version of the quadratic variation process. This technique is not mentioned by Fan but has many advantages and has accordingly attracted …
An Analytical Framework Of Science Parks And Technology Districts With An Application To Singapore, Francis Koh, Winston T. H. Koh, Ted Feichin Tschang
An Analytical Framework Of Science Parks And Technology Districts With An Application To Singapore, Francis Koh, Winston T. H. Koh, Ted Feichin Tschang
Research Collection School Of Economics
This paper analyzes the question: What does it take for science parks and technology districts to evolve and grow? We propose an analytical framework to examine the gestation, evolution, and sustainability of science parks and related but broader regional phenomena such as technology districts. The framework comprises three aspects of a science park's development: growth mechanisms, level of technological capabilities, and nature of its integration with national or global markets. The main growth mechanisms we identify are government-led infrastructure provision, agglomeration effects, and continual self-renewal through the creation of new businesses. We apply this framework to analyze Singapore's science park …
On Measuring Influence In Non-Binary Voting Games, Vincent Chua, C. H. Ueng
On Measuring Influence In Non-Binary Voting Games, Vincent Chua, C. H. Ueng
Research Collection School Of Economics
In this note, we demonstrate using two simple examples that generalization of the Banzhaf measure of voter influence to non-binary voting games that requires as starting position a voter’s membership in a winning coalition is likely to incompletely reflect the influence a voter has on the outcome of a game. Generalization of the Banzhaf measure that takes into consideration all possible pivot moves of a voter including those moves originating from a losing coalition will, on the other hand, result in a measure that is proportional to the Penrose measure only in the ternary case.
L S Penrose's Limit Theorem: Tests By Simulation, Pao-Li Chang, Vincent Chua, Moshe Machover
L S Penrose's Limit Theorem: Tests By Simulation, Pao-Li Chang, Vincent Chua, Moshe Machover
Research Collection School Of Economics
LS Penrose’s limit theorem (PLT) – which is implicit in Penrose [5, p. 72] and for which he gave no rigorous proof – says that, in simple weighted voting games, if the number of voters increases indefinitely while existing voters retain their weights and the relative quota is pegged, then – under certain conditions – the ratio between the voting powers of any two voters converges to the ratio between their weights. Lindner and Machover [3] prove some special cases of PLT; and conjecture that the theorem holds, under rather general conditions, for large classes of weighted voting games, various …
Analytically Calibrated Box-Cox Percentile Limits For Duration And Event-Time Models, Zhenlin Yang, Albert K.C. Tsui
Analytically Calibrated Box-Cox Percentile Limits For Duration And Event-Time Models, Zhenlin Yang, Albert K.C. Tsui
Research Collection School Of Economics
This paper proposes a unified approach to constructing confidence limits for a future percentile duration or event-time. The construction is based on an analytical calibration of the Box-Cox-type “plug-in” percentile limits (PL). The performance of the calibrated Box-Cox PL is investigated using Monte Carlo experiments. Comparisons are made with PLs that are specifically designed for a particular distribution such as Weibull and lognormal. Excellent performances of the calibrated Box-Cox PL are observed. Simulation based on other popular duration models such as gamma and inverse Gaussian reveal that the proposed PL is robust against distributional assumptions and that it performs much …
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Research Collection School Of Economics
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications which are natural extensions to certain existing models, one of which allows for time varying correlation coefficients. Ideas are illustrated by fitting, to a bivariate time series data of weekly exchange rates, nine multivariate SV models, including the specifications with Granger causality in volatility, time varying correlations, heavy-tailed error distributions, additive factor structure, and multiplicative factor structure. Empirical results suggest that the …
Asymmetric Response Of Volatility: Evidence From Stochastic Volatility Models And Realized Volatility, Jun Yu
Research Collection School Of Economics
This paper examines the asymmetric response of equity volatility to return shocks. We generalize the news impact function (NIF), originally introduced by Engle and Ng (1993) to study asymmetric volatility under the ARCH-type models, to be applicable to both stochastic volatility (SV) and ARCH-type models. Based on the generalized concept, we provide a unified framework to examine asymmetric properties of volatility. A new asymmetric volatility model, which nests both ARCH and SV models and at the same time allows for a more flexible NIF, is proposed. Empirical results based on daily index return data support the classical asymmetric SV model …
Trans-Normal Distribution: A Flexible Model For Duration And Event-Time Data, Zhenlin Yang
Trans-Normal Distribution: A Flexible Model For Duration And Event-Time Data, Zhenlin Yang
Research Collection School Of Economics
A new family of distributions, called the trans-normal distribution is introduced. Its basic properties are presented. A closely related family of distributions called tran-t distribution is also given along with its basic properties. Trans-normal regression is used as an illustration on the usefullness of the new distribution.
Constructing A Coincident Index Of Business Cycles Without Assuming A One-Factor Model, Roberto S. Mariano, Yasutomo Murasawa
Constructing A Coincident Index Of Business Cycles Without Assuming A One-Factor Model, Roberto S. Mariano, Yasutomo Murasawa
Research Collection School Of Economics
The Stock-Watson coincident index and its subsequent extensions assume a static linear one-factor structure for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one defines a coincident index as an estimate of latent monthly real GDP. This paper considers VAR and factor models for latent monthly real GDP and other coincident indicators, and estimates the models using the observable mixed-frequency series. For US data, Schwartz’s Bayesian information criterion selects a two-factor model. The smoothed estimate of latent monthly real GDP is the proposed index.
Tests Of Transformation In Nonlinear Regression, Zhenlin Yang, Gemai Chen
Tests Of Transformation In Nonlinear Regression, Zhenlin Yang, Gemai Chen
Research Collection School Of Economics
This paper presents three versions of the Lagrange multiplier (LM) tests of transformation in nonlinear regression: (i) LM test based on expected information, (ii) LM test based on Hessian, and (iii) the LM test based on gradient. All three tests can be easily implemented through a nonlinear least squares procedure. Simulation results show that, in terms of finite sample performance, the LM test based on expected information is the best, followed by the LM test based on Hessian and then the LM test based on gradient. The LM test based on gradient can perform rather poorly. An example is given …
Estimation Of Hyperbolic Diffusion Using Markov Chain Monte Carlo Method, Yiu Kuen Tse, Xibin Zhang, Jun Yu
Estimation Of Hyperbolic Diffusion Using Markov Chain Monte Carlo Method, Yiu Kuen Tse, Xibin Zhang, Jun Yu
Research Collection School Of Economics
In this paper we propose a Bayesian method to estimate the hyperbolic diffusion model. The approach is based on the Markov chain Monte Carlo (MCMC) method with the likelihood of the discretized process as the approximate posterior likelihood. We demonstrate that the MCMC method Provides a useful tool in analysing hyperbolic diffusions. In particular, quantities of posterior distributions obtained from the MCMC outputs can be used for statistical inference. The MCMC method based on the Milstein scheme is unsatisfactory. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the discrete-time …
Forecasting The Global Electronics Cycle With Leading Indicators: A Var Approach, Hwee Kwan Chow
Forecasting The Global Electronics Cycle With Leading Indicators: A Var Approach, Hwee Kwan Chow
Research Collection School Of Economics
Developments in the global electronics industry are typically monitored by tracking indicators that span a whole spectrum of activities in the sector. However, these indicators invariably give mixed signals at each point in time, thereby hampering efforts at prediction. In this paper, we propose a unified framework for forecasting the global electronics cycle by constructing a VAR model that captures the economic interactions between leading indicators representing expectations, orders, inventories and prices. The ability of the indicators to presage world semiconductor sales is first demonstrated by Granger causality tests. The VAR model is then used to derive the dynamic paths …
Monotonicity Conditions And Inequality Imputation For Sample-Selection And Non-Response Problems, Myoung-Jae Lee
Monotonicity Conditions And Inequality Imputation For Sample-Selection And Non-Response Problems, Myoung-Jae Lee
Research Collection School Of Economics
Under a sample selection or non-response problem, where a response variable y is observed only when a condition δ = 1 is met, the identified mean E(y|δ = 1) is not equal to the desired mean E(y). But the monotonicity condition E(y|δ = 1) ≤ E(y|δ = 0) yields an informative bound E(y|δ = 1) ≤ E(y), which is enough for certain inferences. For example, in a majority voting with δ being the vote-turnout, it is enough to know if E(y) > 0.5 or not, for which E(y|δ = 1) > 0.5 is sufficient under the monotonicity. The main question is then …
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson and Rossi (2004, Journal of Econometrics, forthcoming). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain the leverage effect …
Multiple Testing To Establish Superiority/Equivalence Of A New Treatment Compared With K Standard Treatments For Unbalanced Designs, Koon Shing Kwong, Siu Hung Cheung, Wai-Sum Chan
Multiple Testing To Establish Superiority/Equivalence Of A New Treatment Compared With K Standard Treatments For Unbalanced Designs, Koon Shing Kwong, Siu Hung Cheung, Wai-Sum Chan
Research Collection School Of Economics
In clinical studies, multiple superiority/equivalence testing procedures can be applied to classify a new treatment as superior, equivalent (same therapeutic effect), or inferior to each set of standard treatments. Previous stepwise approaches (Dunnett and Tamhane, 1997, Statistics in Medicine 16, 2489–2506; Kwong, 2001, Journal of Statistical Planning and Inference 97, 359–366) are only appropriate for balanced designs. Unfortunately, the construction of similar tests for unbalanced designs is far more complex, with two major difficulties: (i) the ordering of test statistics for superiority may not be the same as the ordering of test statistics for equivalence; and (ii) the correlation structure …
Expectations Formation And Forecasting Of Vehicle Demand: An Empirical Study Of The Vehicle Quota Auctions In Singapore, Sing-Fat Chu, Winston T. H. Koh, Yiu Kuen Tse
Expectations Formation And Forecasting Of Vehicle Demand: An Empirical Study Of The Vehicle Quota Auctions In Singapore, Sing-Fat Chu, Winston T. H. Koh, Yiu Kuen Tse
Research Collection School Of Economics
This paper studies the expectations formation and forecasting of vehicle demand in Singapore under the vehicle quota system. Under the system, a car buyer must first bid for a vehicle license in monthly auctions in order to purchase a new car. We construct an econometric model to test the hypothesis that past bid distributions of the license auctions contain information that car buyers can use to update their expectations about the intensity of market demand, forecast the license premiums and formulate their bidding strategies in future auctions. Our empirical analysis indicates that past bid distributions have a good degree of …
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson and Rossi (2004, Journal of Econometrics, forthcoming). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain the leverage effect …
A Semi-Parametric Two-Component Compound Mixture Model And Its Application To Estimating Malaria Attributable Fractions, Jing Qin, Denis H. Y. Leung
A Semi-Parametric Two-Component Compound Mixture Model And Its Application To Estimating Malaria Attributable Fractions, Jing Qin, Denis H. Y. Leung
Research Collection School Of Economics
Malaria remains a major epidemiologic problem in many developing countries. Malaria is defined as the presence of parasites and symptoms (usually fever) due to the parasites. In endemic areas, an individual may have symptoms attributable either to malaria or to other causes. From a clinical viewpoint, it is important to correctly diagnose an individual who has developed symptoms so that the appropriate treatments can be given. From an epidemiologic and economic viewpoint, it is important to determine the proportion of malaria-affected cases in individuals who have symptoms so that policies on intervention program can be developed. Once symptoms have developed …
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Research Collection School Of Economics
Using the Box-Cox regression model with heteroscedasticity (BCHR), we re‐examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata (2000) using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, confidence intervals of the regression quantiles are easy to compute, and the estimation of the Box-Cox heteroscedastic regression is straight forward.
Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. Gao, Yiu Kuen Tse
Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. Gao, Yiu Kuen Tse
Research Collection School Of Economics
This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A- and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: International accounting standards (IAS) and PRC generally accepted accounting principles (PRC GAAP). The earnings announcements based on IAS and PRC GAAP are value relevant. The investors in the B-share market react to both the IAS and PRC GAAP earnings announcements, while the investors in the A-share market pay more attention to the PRC GAAP …
A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang
A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang
Research Collection School Of Economics
The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by , the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper, we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified statistic using a beta …
Empirical Characteristic Function Estimation And Its Applications, Jun Yu
Empirical Characteristic Function Estimation And Its Applications, Jun Yu
Research Collection School Of Economics
This paper reviews the method of model-fitting via the empirical characteristic function. The advantage of using this procedure is that one can avoid difficulties inherent in calculating or maximizing the likelihood function. Thus it is a desirable estimation method when the maximum likelihood approach encounters difficulties but the characteristic function has a tractable expression. The basic idea of the empirical characteristic function method is to match the characteristic function derived from the model and the empirical characteristic function obtained from data. Ideas are illustrated by using the methodology to estimate a diffusion model that includes a self-exciting jump component. A …