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Industrial Agglomeration, Geographic Innovation and Total Factor Productivity: The Case of Taiwan

Chang, Chia-Lin; Oxley, Les - Department of Economics and Finance, College of … - 2008

The paper analyses the impact of geographic innovation on Total Factor Productivity (TFP) in Taiwan. Using 242 four-digit standard industrial classification (SIC) industries in Taiwan in 2001, we compute TFP by estimating Translog production functions with K, L, E and M inputs, and measure the...

Persistent link: https://www.econbiz.de/10005111059

A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones

Zhan, Hannah Cheng Juan; Rea, William; Rea, Alethea - Department of Economics and Finance, College of … - 2015

We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average stocks from 2001 to 2013 for very small private...

Persistent link: https://www.econbiz.de/10011150332

Identifying Highly Correlated Stocks Using the Last Few Principal Components

Yang, Libin; Rea, William; Rea, Alethea - Department of Economics and Finance, College of … - 2015

We show that the last few components in principal component analysis of the correlation matrix of a group of stocks may contain useful financial information by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the...

Persistent link: https://www.econbiz.de/10011252563

Stock Selection with Principal Component Analysis

Yang, Libin; Rea, William; Rea, Alethea - Department of Economics and Finance, College of … - 2015

We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of...

Persistent link: https://www.econbiz.de/10011166615

An Application of Correlation Clustering to Portfolio Diversification

Zhan, Hannah Cheng Juan; Rea, William; Rea, Alethea - Department of Economics and Finance, College of … - 2014

This paper presents a novel application of software developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation matrix using a Neighbor-Net network and using the circular ordering...

Persistent link: https://www.econbiz.de/10010907425

How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange

Yang, Libin; Rea, William; Rea, Alethea - Department of Economics and Finance, College of … - 2015

We present four methods of assessing the diversification potential within a stock market, two of these are based on … consistent picture. The potential for diversification declined almost monotonically in the three years prior to the 2008 … financial crisis. On one of the measures the diversification potential declined even further in the 2011 European debt crisis …

Persistent link: https://www.econbiz.de/10011211437

Measures of Human Capital and Nonlinearities in Economic Growth.

Kalaitzidakis, P.; Mamuneas, T.P.; Savvides, A.; Stengos, T. - Department of Economics and Finance, College of … - 2000

In this paper we study the relationship between human capital accumulation and economic growth using various measures of human capital frequently employed by researchers. We use semiparametric estimation techniques to uncover any nonlinearities that may exist.

Persistent link: https://www.econbiz.de/10005526834

Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation.

Stengos, T.; Sun, Y. - Department of Economics and Finance, College of … - 1997

In this poper we present a consistent spacification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation ant it is shown to have similar rates of convergence to the more commonly used kernel based tests.

Persistent link: https://www.econbiz.de/10005545277

On the Sensitivity Analysis of Cross-Country Growth Regressions: A Semiparametric Approach.

Kalaitzidakis, P.; Mamuneas, T.P.; Stengos, T. - Department of Economics and Finance, College of … - 1996

In This paper we extend the sensitivity analysis of cross-country growth regressions of Levine and Renelt (1992), by introducing a semiparametric fomulation of their regression function.

Persistent link: https://www.econbiz.de/10005545286

A Consistent Test for Linearity in Partially Linear Regression Models.

Li, Q. - Department of Economics and Finance, College of … - 1994

Persistent link: https://www.econbiz.de/10005729403