Showing 1 - 10 of 390
We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...
Persistent link: https://www.econbiz.de/10005504921
A problem of sequential decision making under uncertainty involving the testing and regulating of a potentially hazardous substance is analyzed using the Variable Sample Probability Ratio Test.
Persistent link: https://www.econbiz.de/10005545245
We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard...
Persistent link: https://www.econbiz.de/10005545749
This paper surveys recent developments in the strong law of large numbers for dependent heterogeneous processes. We prove a generalised version of a recent strong law for Lz-mixingales, and also a new strong law for Lpmixingales. These results greatly relax the dependence and heterogeneity...
Persistent link: https://www.econbiz.de/10005476046
Persistent link: https://www.econbiz.de/10005486548
This paper proposes alternative methods for constructing estimators from accept-reject samples by incorporating the variables rejected by the algorithm.
Persistent link: https://www.econbiz.de/10005486754
This paper synthesises a global approach to both Bayesian and likelihood treatments of the estimation of the parameters of a hidden Markov model for the cases of normal and Poisson underlying distribution.
Persistent link: https://www.econbiz.de/10005486798
In this paper, we propose a statistical index of industrial localization based on Kullback-Leibler divergence. This index is particularly well suited to cases where industrial data is only available at the regional level. Unlike existing regional-level indices, our index can be employed to test...
Persistent link: https://www.econbiz.de/10005422892
The paper offers an alternative approach to analyzing stock market time series data. The purpose is to develop descriptive, more intuitive, and closer to reality analogs of the behavior of US stock market prices, as indexed by the S&P500 stock price index covering the period October 2003 to...
Persistent link: https://www.econbiz.de/10005434797
This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.
Persistent link: https://www.econbiz.de/10005443472