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Key Factors in the Future Development of the Construction Industry
Fox, Paul; Skitmore, Martin - 2002
This paper reports on a recent study aimed at identifying the key factors influencing the development of the construction industry. From a list of 62 variables identified in earlier studies, a questionnaire survey was conducted. This quantitative study elicited views from 76 respondents and...
Persistent link: https://www.econbiz.de/10009437461
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Sparse Estimation of High-Dimensional Covariance Matrices.
Rothman, Adam J. - 2010
obtain explicit convergence rates in matrix norms that show the trade-off between the sparsity of the true model, dimension …
Persistent link: https://www.econbiz.de/10009476576
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Essays in Financial Econometrics
Hua, Jian - 2010
In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...
Persistent link: https://www.econbiz.de/10009439200
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Maximum likelihood estimation of generalized linear models with covariate measurement error
Rabe-Hesketh, Sophia; Skrondal, Anders; Pickles, Andrew - 2003
Generalized linear models with covariate measurement error can be estimated by maximum likelihood using gllamm, a program that fits a large class of multilevel latent variable models (Rabe-Hesketh, Skrondal, and Pickles 2004). The program uses adaptive quadrature to evaluate the log likelihood,...
Persistent link: https://www.econbiz.de/10009443380
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Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
In this dissertation, I study the performance of asset-pricing models in explaining the cross section of expected stock returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I investigate the ability of additional risk factors, which...
Persistent link: https://www.econbiz.de/10009466087
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Confidence bands in quantile regression and generalized dynamic semiparametric factor models
Song, Song - 2010
der starken Approximation der empirischen Verfahren und Extremwert-Theorie. Die starke gleichmäßige Konsistenz liegt auch … hoch-dimensionale zeitinvarianten Funktionen über dynamische Faktorenanalyse zu teilen. Wir schlagen ein zweistufiges … process and extreme value theory. The strong uniform consistency rate is also established under general conditions. The second …
Persistent link: https://www.econbiz.de/10009467050
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Contributions to statistical learning and statistical quantification in nanomaterials
Deng, Xinwei - 2009
method exploits the sparsity in the inverse covariance matrix in a systematic fashion. To deal with high dimensional data, we …
Persistent link: https://www.econbiz.de/10009476149
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Testing for convergence in stock markets: A non-linear factor approach
Caporale, GM; Erdogan, B; Kuzin, V - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10009481447
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A factor-augmented VAR approach : the effect of a rise in the US personal income tax rate on the US and Canada
Lagana, Gianluca; Sgro, Pasquale - 2011
identification scheme proposed by Bernanke et al. (2005); this method allows impulse response functions to be generated for all the …
Persistent link: https://www.econbiz.de/10009483843