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1.
This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of market decline but have negative, positive or no impacts during periods of market growth. This evidence reconciles conflicting evidence in recent empirical studies on the relationship among heterogeneous beliefs, short sale restrictions and conditional skewness. 相似文献
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This paper uses an unbalanced panel dataset to evaluate how repeated job search services (JSS) and personal characteristics affect the employment rate of the prime-age female welfare recipients in the State of Washington. We propose a transition probability model to take into account issues of sample attrition, sample refreshment and duration dependence. We also generalize Honoré and Kyriazidou’s [Honoré, B.E., Kyriazidou, E., 2000. Panel data discrete choice models with lagged dependent variables. Econometrica 68 (4), 839–874] conditional maximum likelihood estimator to allow for the presence of individual-specific effects. A limited information test is suggested to test for selection issues in non-experimental data. The specification tests indicate that the (conditional on the set of the confounding variables considered) assumptions of no selection due to unobservables and/or no unobserved individual-specific effects are not violated. Our findings indicate that the first job search service does have positive and significant impacts on the employment rate. However, providing repeated JSS to the same client has no significant impact. Further, we find that there are significant experience-enhancing effects. These findings suggest that providing one job search services training to individuals may have a lasting impact on raising their employment rates. 相似文献
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We use the theory of probability metrics to study the asymptotic normality of the collison resolution intervals in the CTM multi-access protocol under general conditions on the number of retransmitted messages and of new arrivals during the collision slots. Our main result establishes stability of the central limit theorem for the CTM algorithm. We provide extensive simulation results investigating the extent to which the mean of the collision resolution interval eventually becomes unstable for increasing values of n , the number of users who initially collide. The normal fit is numerically investigated and is shown to be quite satisfactory and stable with respect to moderate perturbations and n ≥50. 相似文献
4.
《Socio》2023
This article uses 2017 Brazilian agricultural census data (aggregated at county level) to evaluate the impact of external factors on agricultural efficiency in Brazil. The external factors are defined as access to credit, participation in cooperatives, proportion of literacy, technical assistance, and environmental production practices. All variables are transformed as the log of the municipal (county) rank. The response variable is defined as the free disposal hull (FDH) conditional ratio and a one-inflated beta regression is estimated. The results show that in counties where the FDH ratio is equal to 1, cooperatives have the biggest impact on efficiency, and where the FDH ratio is not equal to 1, environmental practices, which are most often associated with technology, have the largest effect on efficiency. Finally, the regions that are expected to see the largest gains in efficiency with increases in external factors are the Northeastern and the Northern regions of Brazil. 相似文献
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《International Journal of Forecasting》2019,35(3):823-835
We present a simple approach to the forecasting of conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regressions that imposes a connection on sign predictability across different quantiles. The model forecasts the future conditional probability distributions of returns quite precisely when using a past indicator and a past volatility proxy as predictors. The direct benefits of the model are revealed in an empirical application to the 29 most liquid U.S. stocks. The forecast probability distribution is translated to significant economic gains in a simple trading strategy. Our approach can also be useful in many other applications in which conditional distribution forecasts are desired. 相似文献
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This paper presents a dynamic portfolio credit model following the regulatory framework, using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a banking system. The latent risk factors have three levels: global across the entire banking system, parent-sectoral for the intermediate loan sectors and sector-specific for the individual loan sectors. The aggregate credit loss distribution of the banking system over a risk horizon is generated by Monte Carlo simulation, and a quantile estimator is used to produce the aggregate risk measure and economic capital. The risk contributions of the individual sectors and risk factors are measured by combining the Hoeffding decomposition with the Euler capital allocation rule. For the U.S. banking system, we find that the real GDP growth rate, the global and sector-wide frailty risk factors and their spillovers significantly affect loan defaults, and the impacts of the frailty factors are not only economy-wide but also sector-specific. We also find that the frailty risk factors make more significant risk contributions to the aggregate portfolio risk than the macroeconomic factors, while the macroeconomic factors help to improve the accuracy and efficiency of the credit risk forecasts. 相似文献
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Richard D. Gill 《Statistica Neerlandica》2011,65(1):58-71
Suppose you're on a game show, and you're given the choice of three doors: Behind one door is a car; behind the others, goats. You pick a door, say No. 1, and the host, who knows what's behind the doors, opens another door, say No. 3, which has a goat. He then says to you, ‘Do you want to pick door No. 2?’ Is it to your advantage to switch your choice? The answer is ‘yes’ but the literature offers many reasons why this is the correct answer. This article argues that the most common reasoning found in introductory statistics texts, depending on making a number of ‘obvious’ or ‘natural’ assumptions and then computing a conditional probability, is a classical example of solution driven science. The best reason to switch is to be found in von Neumann's minimax theorem from game theory, rather than in Bayes’ theorem. 相似文献
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《International Journal of Forecasting》2020,36(3):1003-1022
The loss given default (LGD) distribution is known to have a complex structure. Consequently, the parametric approach for its prediction by fitting a density function may suffer a loss of predictive power. To overcome this potential drawback, we use the cumulative probability model (CPM) to predict the LGD distribution. The CPM applies a transformed variable to model the LGD distribution. This transformed variable has a semiparametric structure. It models the predictor effects parametrically. The functional form of the transformation is unspecified. Thus, CPM provides more flexibility and simplicity in modeling the LGD distribution. To implement CPM, we collect a sample of defaulted debts from Moody’s Default and Recovery Database. Given this sample, we use an expanding rolling window approach to investigate the out-of-time performance of CPM and its alternatives. Our results confirm that CPM is better than its alternatives, in the sense of yielding more accurate LGD distribution predictions. 相似文献
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Conditional probability distributions seem to have a bad reputation when it comes to rigorous treatment of conditioning. Technical arguments are published as manipulations of Radon–Nikodym derivatives, although we all secretly perform heuristic calculations using elementary definitions of conditional probabilities. In print, measurability and averaging properties substitute for intuitive ideas about random variables behaving like constants given particular conditioning information.
One way to engage in rigorous, guilt-free manipulation of conditional distributions is to treat them as disintegrating measures—families of probability measures concentrating on the level sets of a conditioning statistic. In this paper we present a little theory and a range of examples—from EM algorithms and the Neyman factorization, through Bayes theory and marginalization paradoxes—to suggest that disintegrations have both intuitive appeal and the rigor needed for many problems in mathematical statistics. 相似文献
One way to engage in rigorous, guilt-free manipulation of conditional distributions is to treat them as disintegrating measures—families of probability measures concentrating on the level sets of a conditioning statistic. In this paper we present a little theory and a range of examples—from EM algorithms and the Neyman factorization, through Bayes theory and marginalization paradoxes—to suggest that disintegrations have both intuitive appeal and the rigor needed for many problems in mathematical statistics. 相似文献
11.
简要论述了医药企业贯彻实施ISO9000的必要性,就如何开展贯标工作提出思路,并建议在贯标中应注意的问题。 相似文献
12.
分析漏电保护器在TN-C系统中使用出现的问题,简要说明其处理方法及故障处理后的结果。 相似文献
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文章对微型面包车运动系统的建立过程进行了分析,分析内容包括走轮臂结构的设计、截面的设计、导轨的布置、CAE分析验证等,经过系统地分析和总结,提高了设计效率,缩短了汽车的开发周期. 相似文献
14.
王玉 《世界标准化与质量管理》2007,(11):38-41
要用信息技术改造和提升传统产业,信息化建设势在必行。本文分析了纺织行业信息化的现状,指出当前纺织行业信息化存在的主要问题,提出了以ERP系统为核心的纺织行业信息化发展战略。 相似文献
15.
事业单位会计制度已无法适应现代市场经济的发展,因此,财政部对《事业单位财务规则》进行了修订。新《事业单位财务制度》起了十分重要的积极作用,但在某些方面仍需进一步完善。 相似文献
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信用作为一种无形资产和经济资源,是市场经济有效运行的基础。本文在我国信用制度的发展和信用理论研究现状的基础上,分析了我国信用问题研究的特点和不足。 相似文献
18.
在居住建筑中原有的采暖方式已经不能满足现有设计要求"能计量,可调节",它会被新的采暖方式取代。普通住宅属于居住建筑,其原有的采暖方式多用单管上供下回式和双管下供下回采暖系统,新的采暖方式多用户式采暖系统,双管下供下回采暖系统也可以使用。新、旧采暖方式在管道敷设、热负荷计算,设备选择,供暖水质等方面都有很大不同。 相似文献
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