Showing 1 - 10 of 472
Visualization is not only an important part of experimental data analysis process but also an efficient tool for transfer of acquired knowledge in multiple areas including, but not restricted to, ICT, general scientific discussion, innovation, data mining, decision support systems as well as...
Persistent link: https://www.econbiz.de/10011920477
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
The most recent financial crisis unveiled that liquidity risk is far more important and intricate than regulation have conceived. The shift from bank-based to market-based financial systems and from Deferred Net Systems to liquidity-demanding Real-Time Gross Settlement of payments explains some...
Persistent link: https://www.econbiz.de/10013104142
This paper examines a number of widely used liquidity measures to assess the consistency and reliability of the measures across different liquidity scenarios. A review is conducted of the various measures (based on Gabrielsen, Marzo and Zagaglia, 2011). This paper expands upon their review, by...
Persistent link: https://www.econbiz.de/10013061528
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...
Persistent link: https://www.econbiz.de/10005771790
Many IT service platforms (e.g., cloud computing platforms) are built as closed systems. They do not allow their customers to interoperate with other platforms or port their data to other platforms. As switching to different system is costly, customer of a closed IT system can be considered...
Persistent link: https://www.econbiz.de/10010593113
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10010293988
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...
Persistent link: https://www.econbiz.de/10010294038
This paper replicates the estimates of a fractional response model for share data reported in the seminal paper of Leslie E. Papke and Jeffrey M. Wooldridge published in the Journal of Applied Econometrics 11(6), 1996, pp.619-632. We have been able to replicate all reported estimation results...
Persistent link: https://www.econbiz.de/10010294799
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...
Persistent link: https://www.econbiz.de/10010295881