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The Impact of Stock Market Liberalization on Emerging Equity Market Volatility
Dhir, Pawan - 2007
This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …
Persistent link: https://www.econbiz.de/10009429052
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Insights into multivariate calibration using errors-in-variables modeling
Thomas, E.V. - 2009
A {ital q}-vector of responses, y, is related to a {ital p}-vector of explanatory variables, x, through a causal linear model. In analytical chemistry, y and x might represent the spectrum and associated set of constituent concentrations of a multicomponent sample which are related through...
Persistent link: https://www.econbiz.de/10009435935
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The role of amenities and other factors in influencing the location of nonmanufacturing industry in the United States
Allison, T.; Calzonetti, F.J. - 2008
Consumer and producer services, the latter in particular, are expected to become an important means of diversification and employment growth to the economy of Nevada. It has been suggested that the siting of the nuclear waste repository at Yucca Mountain, Nevada, will lead to a significant...
Persistent link: https://www.econbiz.de/10009436070
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ARIMA models for bank failures: Prediction and comparison
Cui, Fangjin - 2011
The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the...
Persistent link: https://www.econbiz.de/10009458751
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Modeling mortality risk in hemodialysis patients using laboratory values as time-dependent covariates
Culp, Kennith R.; Flanigan, M.; Lowrie, E. G.; Lew, N.; … - 1996
Proportional hazards analyses assume that the magnitude of mortality risk for a predictor variable remains proportional over time. In a time-dependent model, the explanatory variable violates this assumption, and repeat observations are required to accommodate the change in risk that occurs over...
Persistent link: https://www.econbiz.de/10009466015
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Modeling mortality risk in hemodialysis patients using laboratory values as time-dependent covariates
Culp, Kennith R.; Flanigan, M.; Lowrie, E. G.; Lew, N.; … - 1996
Proportional hazards analyses assume that the magnitude of mortality risk for a predictor variable remains proportional over time. In a time-dependent model, the explanatory variable violates this assumption, and repeat observations are required to accommodate the change in risk that occurs over...
Persistent link: https://www.econbiz.de/10009466068
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Methodological Options in International Market Segmentation
Bastian, Iryna - 2007
The last decades were marked with an increasing involvement of multi-product manufacturers into cross-border business activities. Dealing with heterogeneous needs of consumers in different countries is one of the biggest challenges in the modern business. Correspondingly, special importance is...
Persistent link: https://www.econbiz.de/10009468265
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Copula Based Prediction Models: An Application to an Aortic Regurgitation Study
Kumar, Pranesh; Shoukri, Mohamed M. - 2007
Background: An important issue in prediction modeling of multivariate data is the measure of dependence structure. The use of Pearson's correlation as a dependence measure has several pitfalls and hence application of regression prediction models based on this correlation may not be an...
Persistent link: https://www.econbiz.de/10009447258
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Diagnostic Checking, Time Series and Regression
Mahdi, Esam - 2011
In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors....
Persistent link: https://www.econbiz.de/10009447289
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Examining CAPM in Today's Markets
Knox, Dave - 2011
The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to … than testing a specific hypothesis, my goal is to let the data speak for itself.The main difficulty with assessing CAPM is …
Persistent link: https://www.econbiz.de/10009430254