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A discrete choice model of dividend reinvestment plans: Classification and prediction

Boehm, Thomas P.; DeGennaro, Ramon P. - 2007

We study 852 companies with dividend reinvestment plans in 1999 matched by total assets to 852 companies without such plans. We use discrete choice methods to predict the classification of these companies. We interpret the misclassified companies as being likely to switch their plan status. That...

Persistent link: https://www.econbiz.de/10010292321

Price Clustering in the FX Market: A Disaggregate Analysis using Central Bank Interventions

Fischer, Andreas - 2004

Price clustering is a well-documented regularity of foreign exchange transactions. In this paper, I present new … empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank … (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the …

Persistent link: https://www.econbiz.de/10011430050

Investigating asymmetries in the bank lending channel. An analysis using Austrian banks' balance sheet data

Fruehwirth-Schnatter, Sylvia; Kaufmann, Sylvia - 2003

In the present paper we use a balanced bank panel data set to obtain an inference on two dimensions of the asymmetric response of bank lending to interest rate changes. The cross-sectional dimension is captured by group-specific parameters whereby each bank's group membership is estimated along...

Persistent link: https://www.econbiz.de/10013370002

Is economics a house divided? Analysis of citation networks

Önder, Ali Sina; Terviö, Marko - 2013

We investigate divisions within the citation network in economics using citation data between 1990 and 2010. We consider all partitions of top institutions into two equal-sized clusters, and pick the one that minimizes cross-cluster citations. The strongest division is much stronger than could...

Persistent link: https://www.econbiz.de/10010321412

Evaluating Ensemble Density Combination - Forecasting GDP and Inflation

Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009

Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...

Persistent link: https://www.econbiz.de/10012143724

The Role of Education and Income Inequality on Environmental Quality. A Panel Data Analysis of the EKC Hypothesis on OECD

Maranzano, Paolo; Bento, Joao Paulo Cerdeira; Manera, Matteo - 2021

evolution of income inequality and clustering techniques to feature the annual value of the Gini Index on disposable income from …

Persistent link: https://www.econbiz.de/10012501726

E pluribus, quaedam. Gross domestic product out of a dashboard of indicators

Guerini, Mattia; Vanni, Fabio; Napoletano, Mauro - 2022

environmental indicators for nine developed economies. By employing dimensionality reduction techniques, we quantify the share of …

Persistent link: https://www.econbiz.de/10013353585

Agricultural commodity futures

Gulati, Ashok; Chatterjee, Tirtha; Hussain, Siraj - 2017

Agricultural futures markets can provide useful information to farmers for taking more informed planting decisions for their crops, which are forward looking, and thus reduce their market risk. But in India, agri-futures have gone through a roller-coaster ride since their mega opening in 2003,...

Persistent link: https://www.econbiz.de/10011807888

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

Ledoit, Olivier; Wolf, Michael - 2013

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for...

Persistent link: https://www.econbiz.de/10010316930