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11.
The t copula is often used in risk management as it allows for modeling the tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having a single parameter for the degrees of freedom (dof) that may limit its capability to model the tail dependence structure in a multivariate case. To overcome this problem, the grouped t copula was proposed recently, where risks are grouped a priori in such a way that each group has a standard t copula with its specific dof parameter. In this paper we propose the use of a generalized grouped t copula, where each group consists of one risk factor only, so that a priori grouping is not required. The copula characteristics in the bivariate case are studied. We explain simulation and calibration procedures, including a simulation study on the finite sample properties of the maximum likelihood estimators and Kendall's tau approximation. This new copula is significantly different from the standard t copula in terms of risk measures such as tail dependence, value at risk and expected shortfall. 相似文献
12.
While most heterodox economists endorse some amount of policy activism, there is no unified conception of the state and public
policy in heterodox economics. To help clarify the similarities and differences within heterodoxy – and between heterodox
and mainstream economics – a panel addressing this subject was convened in 2007 at the Annual Meeting of the Association for
Institutional Thought. This article introduces the essays prepared for that symposium. They include an examination of the
position of Marx and Engels, a clarification of the institutionalist views of Veblen and Commons, an outline of the perspective
of Post Keynesian Institutionalism, and an account of some essential contributions of Classical Pragmatism (a major school
of thought within the philosophy of science). The collection advances what Robert Heilbroner called “the worldly philosophy”
by seeking to understand the role of the state in a world where institutions, defined broadly as social habits, adjust to
other institutions.
Clifford Poirot is associate professor of economics in the Department of Social Sciences at Shawnee State University, Portsmouth Ohio. In addition to the philosophy of economics, his research interests focus on cultural ecology and the problems of transitional economies. He teaches principles of economics, cultural anthropology, comparative systems and international political economy. Samuel R. Pavel is assistant professor of business at Purdue University North Central. He is an economic development specialist for the northwest Indiana/southeast Michigan region. His research interests include Institutional Economic theory and applications that focus primarily on labor and financial markets. 相似文献
Samuel R. PavelEmail: |
Clifford Poirot is associate professor of economics in the Department of Social Sciences at Shawnee State University, Portsmouth Ohio. In addition to the philosophy of economics, his research interests focus on cultural ecology and the problems of transitional economies. He teaches principles of economics, cultural anthropology, comparative systems and international political economy. Samuel R. Pavel is assistant professor of business at Purdue University North Central. He is an economic development specialist for the northwest Indiana/southeast Michigan region. His research interests include Institutional Economic theory and applications that focus primarily on labor and financial markets. 相似文献
13.
Those who believe that the free market is positively related to both economic efficiency and individual freedom are prone
to regard resistance to the establishment of the global market essentially free from any serious sociopolitical constraint
as a politically insignificant expression of impatience, ignorance, and hypocrisy. This article attempts to endow the manifestation
of discontent with the status quo evident in public protests in Seattle and Washington DC with political significance through
explicating it as an expression of a fundamental conflict between economic efficiency and individual freedom inherent in the
global implementation of the principle of self-regulating markets. This analysis of the antiglobalization movement is conducted
from the perspective of the theoretical foundation of the evaluation of the dynamics of capitalism by Polanyi, Hayek, and
Keynes, and its conclusions are brought to bear upon the validity of their contesting views of the relationship between economic
efficiency and individual freedom. 相似文献
14.
Pavel Kireyev 《The Rand journal of economics》2020,51(2):563-588
I develop an empirical model of idea generation contests with heterogeneous participants and endogenous entry, fit the model to data from a platform used by major advertisers, and simulate counterfactual contest designs. The empirical model resolves ambiguous predictions yielded by contest theory about the effects of different prize structures on contest outcomes. Simulations reveal the impact of strategies that hold fixed total award and balance competition by handicapping advantaged participants. Increasing the number of prizes while restricting the number of prizes per participant can improve outcomes for the platform. The results provide guidance for the design of large contests. 相似文献
15.
The Samuelson hypothesis asserts that futures volatility increases as maturity decreases. On the basis of 10 US commodity futures and by capturing the dynamics of the futures volatility terms structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and at best only weakly negative in other periods. High inventory levels are found to correspond to flatter volatility term structures in seven futures. This finding is consistent with the linkage between carry arbitrage and the Samuelson hypothesis. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums. 相似文献
16.
The present paper studies the interdependencies between the energy, bioenergy and food prices. We develop a vertically integrated multi-input, multi-output market model with two channels of price transmission: a direct biofuel channel and an indirect input channel. We test the theoretical hypothesis by applying time-series analytical mechanisms to nine major traded agricultural commodity prices, including corn, wheat, rice, sugar, soybeans, cotton, banana, sorghum and tea, along with one weighted average world crude oil price. The data consists of 783 weekly observations extending from January 1994 to December 2008. The empirical findings confirm the theoretical hypothesis that the prices for crude oil and agricultural commodities are interdependent including also commodities not directly used in bioenergy production: an increase in oil price by 1 $/barrel increases the agricultural commodity prices between 0.10 $/tonne and 1.80 $/tonne. Contrary to the theoretical predictions, the indirect input channel of price transmission is found to be small and statistically insignificant. 相似文献
17.
Open Economies Review - We examine whether unscheduled communication of members of the European Central Bank’s (ECB) Governing Council affects financial market comovements. To assess... 相似文献
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Alexander B. Bordetsky Pavel J. Levy 《Journal of Organizational Computing & Electronic Commerce》2013,23(4):401-416
Vascular medicine is a newly developing discipline heavily based on geographically distributed consulting, and there is thus a strong need for computerized decision support in doctor‐to‐doctor collaboration for the management of vascular patients. The latest achievements in collaborative and multimedia computing for group decision support are incorporated into cardiovascular consulting. Feasibility analysis of the two basic components is addressed: (a) the communication system of collaborative computing as identified subject to the specifics of data flow and networking in geographically distributed cardiovascular consulting; and (b) the structure and representations for intelligent software agents that enable transfer of individual expert cardiovascular knowledge, support group brainstorming, and maintain the ongoing learning of group experience and analysis of patients cases. 相似文献
20.
Recent research has documented a negative relationship between education and happiness. We test the hypothesis that the extent to which education makes an individual happy depends on their current age in life. We find suggestive evidence that people with higher education are more likely to be happier, on average, than their less educated counterparts starting in their early to mid-30s. 相似文献