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A forecasting system for movie attendance

Marshall, Pablo; Dockendorff, Monika; Ibáñez, Soledad - In: Journal of Business Research 66 (2013) 10, pp. 1800-1806

The main objective of this paper is to develop a system that uses historical data to forecast new movie attendance. In contrast to most models in the literature that consider aggregated prediction or the demand for a cross-section of movies, this paper analyzes the dynamic behavior of attendance...

Persistent link: https://www.econbiz.de/10011049998

A Note on the Central Limit Theorem for Bipower Variation of General Functions

Kinnebrock, Silja; Podolskij, Mark - Finance Research Centre, Oxford University - 2007

In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even...

Persistent link: https://www.econbiz.de/10005227076

The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area

de Bondt, Gabe; Marqués-Ibáñez, David - European Central Bank - 2004

This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer...

Persistent link: https://www.econbiz.de/10005227554

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2008

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t;Xt)dt + _(t;Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

Persistent link: https://www.econbiz.de/10005114121

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010

We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...

Persistent link: https://www.econbiz.de/10010898713

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Kinnebrock, Silja; Podolskij, Mark - Finance Research Centre, Oxford University - 2008

This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis...

Persistent link: https://www.econbiz.de/10005730017

Pre-launch forecasting of a pharmaceutical drug

Guseo, Renato; Dalla Valle, Alessandra; Furlan, Claudia; … - In: International Journal of Pharmaceutical and Healthcare … 11 (2017) 4, pp. 412-438

Purpose The emergence of a pharmaceutical drug as a late entrant in a homogeneous category is a relevant issue for strategy implementation in the pharmaceutical industry. This paper aims to suggest a methodology for making pre-launch forecasts with a complete lack of information for a late...

Persistent link: https://www.econbiz.de/10014796087

Spatial dynamics of green corridors

Boulanger, Vincent; Bruchiamacchie, Max; Chauchard, Sandrine - Département Sciences Sociales, Agriculture et … - 2013

Forest management aims at building ecological networks that minimize the impacts on timber production. We formalize the construction of ecological networks in forest environments as the optimal control dynamic graph-theoretic problem. The ecological network is based on a set of bioreserves and...

Persistent link: https://www.econbiz.de/10011141619

Econometric issues in the analysis of contagion

Pesaran, M. Hashem; Pick, Andreas - 2004

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …

Persistent link: https://www.econbiz.de/10011402451

Welfare analysis of HIV/AIDS: Formulating and computing a continuous time overlapping generations policy model

Shorish, Jamsheed - 2007

We introduce a continuous time overlapping generations demographic model, in which a social planner seeks to generate an optimal policy for influencing the demographic change of the underlying population in a neoclassical growth model. The model has the notable feature that the underlying state...

Persistent link: https://www.econbiz.de/10010294015