Showing 1 - 10 of 13
Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in...
Persistent link: https://www.econbiz.de/10005169571
This paper constructs the probability space underlying the random variable of any time dependent econometric specification. The construction links concrete economic activity, both perceived and recorded, and econometric formulations. Furthermore, it is argued that the probability events...
Persistent link: https://www.econbiz.de/10005169576
Explained variance (R^2) is a familiar summary of the fit of a linear regression and has been generalized in various ways to multilevel (hierarchical) models. The multilevel models we consider in this paper are characterized by hierarchical data structures in which individuals are grouped into...
Persistent link: https://www.econbiz.de/10005396222
Various noninformative prior distributions have been suggested for scale parameters in hierarchical models. We construct a new folded-noncentral- t family of conditionally conjugate priors for hierarchical standard deviation parameters, and then consider noninformative and weakly informative...
Persistent link: https://www.econbiz.de/10005396226
In this paper, the Partial Distribution (PD) and multivariate Partial Distribution (MPD) are presented in their concepts, properties and applications, and PD is compared with the lognormal and the levy distribution. Though the levy distribution is better to describe the exchange returns in...
Persistent link: https://www.econbiz.de/10005622639
Classical regression analysis uses partial coefficients to measure the influences of some variables (regressors) on another variable (regressand). However, a descriptive point of view shows that these coefficients are very bad measures of influence. Their interpretation as an average change of...
Persistent link: https://www.econbiz.de/10005622641
This study empirically investigates how shocks to monetary policy measures (short-term nominal interest rate and broad money supply) affect economic aggregates: output growth, price levels and nominal exchange rate. The study is carried out for Pakistan using quarterly data covering the period...
Persistent link: https://www.econbiz.de/10008775977
In this study, using scanner data, collected from super-market transactions in 2009, we estimate an eight equations simultaneous model with a 3SLS routine, with the objective to empirically analyze the Grappa market structure. Results show that the supply side of the Grappa market is...
Persistent link: https://www.econbiz.de/10011123166
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan’s...
Persistent link: https://www.econbiz.de/10008461993
This paper studies identification of linear rational expectations models under news shocks. Exploiting the general martingale difference solution approach, we show that news shocks models are observationally equivalent to a class of indeterminate equilibrium frameworks which are subject only,...
Persistent link: https://www.econbiz.de/10009643452