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Algunas observaciones acerca del uso de software en la estimación del modelo Half-Normal

Ortega Irizo, Francisco Javier; Gavilán Ruiz, José Manuel - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 3-16

Using the maximum likelihood method, in order to estimate Half-Normal stochastic frontier production models, entails several practical di±culties that, perhaps, have not been su±ciently emphasised. In employing FRONTIER software, we analyse the case in which the estimation obtained suggests...

Persistent link: https://www.econbiz.de/10009957389

Applying the Ward method in the analysis of financial situation of commercial banks

Bieniasz, Anna; Majchrzak, Anna - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 1-12

The article presents the evaluation of the financial situation of commercial banks in Poland. The ratio analysis shows that the biggest variations between analyzed units were in productivity of tangible fixed assets, share of non-performing loans and overall liquidity. The financial indicators...

Persistent link: https://www.econbiz.de/10009959724

Relación entre los factores institucionales y el emprendimiento: análisis mediante técnicas cuantitativas

Salmerón Gómez, Román; Gómez Haro, Samuel - In: Revista de métodos cuantitativos para la economía y … 13 (2012), pp. 54-72

The majority of published studies about the relation between institutional and entrepreneurial factors lack of an adequate empirical study. Due to the importance that the institutional environment has acquired in the last few years, we consider necessary a rigorous analysis using quantitative...

Persistent link: https://www.econbiz.de/10010017357

Residual Grey Markov model for the developments of GDP, population and energy consumption in Iran

Mostafaei, Hamidreza; Kordnoori, Shaghayegh - In: Advances in management & applied economics 1 (2011) 2, pp. 93-105

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

Persistent link: https://www.econbiz.de/10009958471

Measuring exchange rate fluctuations risk using the value-at-risk

Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation...

Persistent link: https://www.econbiz.de/10010009131

Estimación de reservas en una compañía aseguradora : una aplicación en Excel del método Chain-Ladder y Bootstrap

Álvarez-Jareño, José Antonio; Coll-Serrano, Vicente - In: Revista de métodos cuantitativos para la economía y … 14 (2012), pp. 124-136

bootstrap technique to estimate the margin of error and the confidence interval of the reserves. Since estimating reserves is a …. To ease the understanding and monitoring the process, the Chain-Ladder method and bootstrap is run step by step by using … an Excel application designed for that purpose. -- bootstrap ; Chain-Ladder method ; reserves ; insurance company ; Excel …

Persistent link: https://www.econbiz.de/10010118388

Un modelo de consenso para problemas de toma de decisiones multicriterio en grupo mediante relaciones de preferencia intervalares difusas lingüísticas

Tapia García, Juan Miguel; Moral, María José del; … - In: Revista de métodos cuantitativos para la economía y … 14 (2012), pp. 36-53

In some circumstances a decision maker, expert, in a group decision making problem cannot express his/her preferences with a unique linguistic fuzzy preference because he/she is dubious into some preferences. In this paper, we present a consensus model for group decision making problems with...

Persistent link: https://www.econbiz.de/10010118391

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10009958060

Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange

Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...

Persistent link: https://www.econbiz.de/10009958079

On the importance of the arrival of new information

Chumacero, Rómulo A. - In: Estudios de economía 37 (2010) 2, pp. 207-215

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations,...

Persistent link: https://www.econbiz.de/10009959113