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Non-stationarities in stock returns
Starica, Catalin; Granger, Clive - EconWPA - 2004
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...
Persistent link: https://www.econbiz.de/10005119176
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The Law of One Price in Data Envelopment Analysis: Restricting Weight Flexibility Across Firms
Kuosmanen, Timo; Cherchye, Laurens; Sipiläinen, Timo - EconWPA - 2003
The Law of One Price (LoOP) states that all firms face the same prices for their inputs and outputs in the competitive market equilibrium. This law has powerful implications for productive efficiency analysis, which have remained unexploited thus far. This paper shows how LoOP-based weight...
Persistent link: https://www.econbiz.de/10005413250
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Firm and Industry Level Profit Efficiency Analysis Under Incomplete Price Data: A Nonparametric Approach based on Absolute and Uniform Shadow Prices
Kuosmanen, Timo; Kortelainen, Mika; Sipiläinen, Timo; … - EconWPA - 2005
We discuss the nonparametric approach to profit efficiency analysis at the firm and industry levels in the absence of complete price information, and propose two new insights. First, choosing one commodity (whose price is known) as a numeraire good enables us to measure profit inefficiency in...
Persistent link: https://www.econbiz.de/10005413294
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Eco-Efficiency Analysis of Consumer Durables Using Absolute Shadow Prices
Kortelainen, Mika; Kuosmanen, Timo - EconWPA - 2005
We develop a method for eco-efficiency analysis of consumer durables by utilizing Data Envelopment Analysis (DEA). In contrast to previous product efficiency studies, we consider the measurement problem from the perspective of a policy maker. The novel innovation of the paper is to measure...
Persistent link: https://www.econbiz.de/10005556914
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Stochastic Dominance Efficiency Tests under Diversification
Kuosmanen, Timo - EconWPA - 2001
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...
Persistent link: https://www.econbiz.de/10005561692
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Value Creation and Profit Optimization
Winther, K. Tobias - EconWPA - 2002
The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...
Persistent link: https://www.econbiz.de/10005561773
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Agent Behaviour, Financial Market and Welfare Theory
Paranque, Bernard; Baets, Walter; Pruden, Henry - EconWPA - 2005
could be in the contract theory but more a through out line to help us to coordinate a collective action …
Persistent link: https://www.econbiz.de/10005413089
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Volatility, Heterogeneous Agents and Chaos
Gomes, Orlando - EconWPA - 2004
explained. Adding to a system with initial behavior heterogeneity an adaptive learning rule based on discrete choice theory, one … exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …
Persistent link: https://www.econbiz.de/10005125624
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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...
Persistent link: https://www.econbiz.de/10005134650
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Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
Starica, Catalin - EconWPA - 2004
-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …
Persistent link: https://www.econbiz.de/10005407908