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To avoid information loss or measurement error in traditional methods dealing with mixed frequency data, we develop a novel mixed data sampling expectile regression (MIDAS-ER) model to measure financial risk. We construct the MIDAS-ER model by introducing a MIDAS structure into expectile regressions. This enables us to perform an expectile regression on raw mixed frequency data directly. We apply the proposed MIDAS-ER model to estimate two popular financial risk measures, namely, Value at Risk and Expected Shortfall, with both simulated data and four stock indices, and compare the model's performance with those of several popular models. The outstanding performance of our model demonstrates that high-frequency information helps to improve the accuracy of risk measurement. In addition, the numerical results also imply that our model can be a significant tool for risk-averse investors to control risk losses and for financial institutions to implement robust risk management. 相似文献
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Fahad Almudhaf 《Applied economics letters》2018,25(3):176-182
Events such as the European sovereign debt crisis, terrorism and Brexit cause more uncertainty and volatility in capital markets. This encourages us to use both conditional and unconditional forecasts (backtests) for expected shortfall (ES) in 8 indices of listed European real estate securities and Real estate investment trusts (REITs). Using the method proposed by Du and Escanciano, we find that ES is generally superior to Value-at-Risk in describing and capturing risk during extreme events such as the financial crisis. Our results are important to regulators, risk managers and investors. 相似文献
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ABSTRACTIn this paper, applications of dynamic conditional score (DCS) models are reviewed and those models are discussed in relation to classical time series models from the literature. DCS models are robust to outliers, which improves their statistical performance compared to classical models. Three applications are presented in order to compare the statistical performances of DCS and classical models in three very different contexts: (i) The QAR (quasi-autoregressive) plus Beta-t-EGARCH (exponential autoregressive conditional heteroscedasticity) model is presented, which is a score-driven expected return plus volatility model. This model is used for daily returns on the DAX (Deutscher Aktienindex) equity index for the period of January 1988 to December 2017. (ii) The score-driven local level and seasonality plus Beta-t-EGARCH model is presented, which is used for daily AFN/USD (Afghan Afghani/United States Dollar) currency exchange rates for the period of March 2007 to July 2017. (iii) The Seasonal-t-QVAR (quasi-vector autoregressive) model is presented, which is a score-driven multivariate dynamic model of location. For this model, monthly US inflation rate and US unemployment rate are used for the period of January 1948 to December 2017. For all applications, the statistical performance of each DCS model is superior to that of a corresponding classical alternative. 相似文献
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This article extends the quasi-autoregressive (QAR) plus Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) dynamic conditional score (DCS) model. For the new DCS model, the degrees of freedom parameter is time varying and tail thickness of the error term is updated by the conditional score. We compare the performance of QAR plus Beta-t-EGARCH with constant degrees of freedom (benchmark model) and QAR plus Beta-t-EGARCH with time-varying degrees of freedom (extended model). We use data from the Standard and Poor’s 500 (S&P 500) index, and a random sample of its 150 components that are from different industries of the United States (US) economy. For the S&P 500, all likelihood-based model selection criteria support the extended model, which identifies extreme events with significant impact on the US stock market. We find that for 59% of the 150 firms, the extended model has a superior statistical performance. The results suggest that the extended model is superior for those industries, which produce products that people usually are unwilling to cut out of their budgets, regardless of their financial situation. We perform an application to compare the density forecast performance of both DCS models. We perform an application to Monte Carlo value-at-risk for both DCS models. 相似文献
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Astrid Ayala 《Applied economics》2018,50(37):4005-4023
In this article, we study the time-varying market neutrality of equity market neutral hedge funds. We use data from the Hedge Fund Research? Equity Market Neutral Index (HFRX EH), which represents the performance of a portfolio of individual equity market neutral hedge funds. For each day, we measure different levels of association of the Standard and Poor’s 500 (S&;P 500) index and the HFRX EH. We use non-linear dynamic conditional score models of location, scale and copula that, to the best of our knowledge, have not yet been applied in the body of literature on hedge funds. We study whether the neutrality of the HFRX EH that is evidenced in the body of literature for the period of April 1993–April 2003 also holds for the following decade, for the period of May 2003–December 2016. We estimate different average levels of association for the pre-, during- and post-periods of the US financial crisis of 2008. We find that the association of the S&;P 500 and the HFRX EH, on average, is significantly positive for the pre- and post-periods of the financial crisis, and it is significantly negative for the period during the financial crisis. 相似文献
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This article considers modelling nonnormality in return with stable Paretian (SP) innovations in generalized autoregressive conditional heteroskedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroskedasticity (GJR-GARCH) volatility dynamics. The forecasted volatilities from these dynamics have been used as a proxy to the volatility parameter of the Black–Scholes (BS) model. The performance of these proxy-BS models has been compared with the performance of the BS model of constant volatility. Using a cross section of S&P500 options data, we find that EGARCH volatility forecast with SP innovations is an excellent proxy to BS constant volatility in terms of pricing. We find improved performance of hedging for an illustrative option portfolio. We also find better performance of spectral risk measure (SRM) than value-at-risk (VaR) and expected shortfall (ES) in estimating option portfolio risk in case of the proxy-BS models under SP innovations.
Abbreviation: generalized autoregressive conditional heteroskedasticity (GARCH), exponential generalized autoregressive conditional heteroskedasticity (EGARCH) and Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroskedasticity (GJR-GARCH) 相似文献
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Steven R. Cox 《The Journal of economic education》2013,44(1):29-37
Steven Cox reports on a research project in which computer-assisted instruction was tried at Arizona State University. He explains the experimental design which involved a comparison of student learning of macroeconomic principles by CAI with that of a control group. Fairly detailed accounts are given of the computer simulations Cox used. The statistical significance of nine student characteristics in terms of their impact on overall test performance is discussed. This article should have practical value to others doing research in this field. 相似文献
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A common procedure in economics is to estimate long-run effects from models with lagged dependent variables. For example, macro panel studies frequently are concerned with estimating the long-run impacts of fiscal policy, international aid, or foreign investment.Our analysis points out the hazards of this practice. We use Monte Carlo experiments to demonstrate that estimating long-run impacts from dynamic models produces unreliable results.Biases can be substantial, sample ranges very wide, and hypothesis tests can be rendered useless in realistic data environments. There are three reasons for this poor performance. First, OLS estimates of the coefficient of a lagged dependent variable are downwardly biased in finite samples. Second, small biases in the estimate of the lagged, dependent variable coefficient are magnified in the calculation of long-run effects. And third, and perhaps most importantly, the statistical distribution associated with estimates of the LRP is complicated, heavy-tailed, and difficult to use for hypothesis testing. While many of the underlying problems have been long-known in the literature, the continued widespread use of the associated empirical procedures suggests that researchers are unaware of the extent and severity of the estimation problems. This study aims to illustrate their practical importance for applied research. 相似文献
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Vincent Vandenberghe 《Applied economics letters》2019,26(5):358-361
A common problem with differences-in-differences (DD) estimates is the failure of the parallel-trend assumption. To cope with this, most authors include polynomial (linear, quadratic…) trends among the regressors, and estimate the treatment effect as a once-in-a-time trend shift. In practice, that strategy does not work very well, because inter alia the estimation of the trend uses post-treatment data. An extreme case is when sample covers only one period before treatment and many after. Then the trend’s estimate relies almost completely on post-treatment developments, and absorbs most of the treatment effect. What is needed is a method that i) uses pretreatment observations to capture linear or nonlinear trend differences, and ii) extrapolates these to compute the treatment effect. This article shows how this can be achieved using a fully flexible version of the canonical DD equation. It also contains an illustration using data on a 1994–2000 EU programme that was implemented in the Belgian province of Hainaut. 相似文献
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Bunchai Chongmelaxme Maythika Hammanee Wariya Phooaphirak Surachai Kotirum Raymond Hutubessy 《Journal of medical economics》2017,20(10):1094-1106
Aims: The World Health Organization (WHO) recommends the use of Haemophilus influenzae type b (Hib) conjugate vaccines, but China and Thailand have not used Hib vaccination in their national immunization programs. This systematic review aimed to update published economic evaluations of Hib vaccinations and to determine factors that potentially affected their cost-effectiveness.
Methods: Searches were performed from the inception until December 2015 using 13 databases: CAB direct; CEA registry; EconLit; EMBASE; E-library; NHSEED; PAHO; POPLINE; PubMed; Redalyc project; RePEc; SciELO; and WHOLIS. Reference lists of relevant studies and grey literature were also searched. Full economic evaluations of Hib vaccination with results of costs and outcomes were included. The WHO checklist was used to evaluate the quality of the included studies. Data from eligible studies were extracted using a standardized data collection form.
Results: Out of 830 articles, 27 were included. Almost half of the studies (12/27) were conducted in high-income countries. Twelve studies (12/27) investigated the Hib vaccine as an addition to the existing vaccination program. Most studies (17/27) examined a 3-dose schedule of Hib vaccine. Nineteen studies (19/27) reported the model used, where all were decision tree models. Most of the studies (23/27) demonstrated an economic value of Hib vaccination programs, key influential parameters being incidence rates of Hib disease and vaccine price.
Conclusions: Hib vaccination programs are mostly found to be cost-effective across geographic regions and country income levels, and Hib vaccination is recommended for inclusion into all national immunization programs. The findings are expected to support policy-makers for making decisions on allocating limited resources of the Hib vaccination program effectively. 相似文献
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将企业作为社会人的影响纳入研究范围,可对其竞争优势的获取给出更全面的解释。基于动态能力视角与组织角色视角,对企业的朋友角色导向如何影响产品创新绩效进行探讨,分析朋友角色导向对产品创新绩效的促进作用,以及环境动态性对该促进作用的进一步调节作用,提出研究假设。收集上海市256家制造商的数据,利用分层回归对假设进行检验。研究结果表明：朋友角色导向不仅会直接促进产品创新绩效(即直接作用)的提升,还会增强战略柔性对创新绩效的正向影响（即调节作用）;环境动态性对朋友角色导向的调节作用会产生进一步线性调节作用,而对其直接作用却有非线性倒U型调节作用。此外,朋友角色导向对创新绩效的直接影响大于战略柔性这一具体动态能力的作用。研究展示了企业社会人属性对其创新绩效的影响,明晰了环境动态性对朋友角色导向影响的两种不同类型的调节作用,将朋友角色导向融入动态能力对企业竞争优势获取的解释体系之中,同时为企业创新活动的开展提供了一些新启示。 相似文献
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中国地区工业知识生产效率测算 总被引：10，自引：0，他引：10
文章运用1996-2003年我国29个省(自治区,直辖市)的大中型工业企业面板数据,以新产品开发项目数衡量创新产出,以研发资本存量和研发人员表示创新投入,采用数据包络分析和随机前沿分析方法,对我国地区工业的知识生产效率进行了测算和分析。分析结果表明,用随机前沿法测算的知识生产效率较大而且较为稳定;各地区工业的知识生产效率存在较大差异,具有明显的不均衡发展特征;总体而言,我国地区工业的知识生产效率偏低,存在较大的改进潜力。 相似文献
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Sanford?Berg "author-information "> "author-information__contact u-icon-before "> "mailto:sanford.berg@cba.ufl.edu " title= "sanford.berg@cba.ufl.edu " itemprop= "email " data-track= "click " data-track-action= "Email author " data-track-label= " ">Email author Chen?Lin Valeriy?Tsaplin 《Journal of Regulatory Economics》2005,28(3):259-287
Both ownership and regulation affect the behavior of utility managers. Private ownership rewards managerial decisions that enhance shareholder value. Regulatory incentives reward behavior that affects profits and costs. An empirical analysis of 24 Ukraine electricity distribution companies from 1998 to 2002 indicates that privately owned firms do respond to incentives that add to net cash flows (associated with reducing commercial and non-commercial network losses). However, they also respond more aggressively than do state-owned distribution utilities to mark-up (cost-plus) regulatory incentives that increase shareholder value but decrease cost efficiency. This study was initiated while Val Tsaplin was a PURC Visiting Scholar with funding from the FSA Contemporary Issues Fellowship Program. Michael Pollitt, David Sappington, Fernando Damonte, and an unknown reviewer provided very helpful comments on earlier drafts. We thank Patricia Mason for copy-editing the paper. The conclusions do not necessarily represent the views of organizations with which the researchers are affiliated. 相似文献
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Shuang Liu Michael HurleyKim E. Lowell Abu-Baker M. SiddiqueArt Diggle David C. Cook 《Ecological Economics》2011,70(11):1924-1930
When evaluating the risks of future invasions, we often have sparse information on the likelihood that a species will arrive, establish and spread in a new environment, and on the potential impacts should this occur. Conventional risk assessment, therefore, is limited in providing guidance in managing the risk of non-indigenous species (NIS). However, risk management decisions must be made facing these uncertainties to avoid high and irreversible impacts.We develop an integrated ecological economic modeling and deliberative multi-criteria evaluation (DMCE) approach to support group decision-making in risk prioritization, using an example of ten NIS that could potentially impact Australian plant industries. This innovative approach seeks to combine the advantages of dynamic modeling with the benefits of DMCE in assessing and communicating uncertainty. The model unveils the complexity of the socio-ecological system of biological invasion, with a scenario analysis designed to interactively communicate scientific uncertainty to decision-makers. The DMCE provides a structured approach to identifying stakeholders' key concerns in addressing economic, social, and environmental dimensions of NIS risk explicitly. Functioning as a platform for risk communication, the DMCE also offers an opportunity for diverse views to enter the decision-making process and for the negotiation of consensus consensuses. 相似文献
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创新要素的空间分布及其对区域创新产出的影响——基于中国省域的ESDA-GWR分析 总被引：2，自引：0，他引：2
以我国31个省域为研究单元,通过Moran指数I的全局分析,发现创新要素存在正向的空间相关性。Moran散点图和LISA聚类表的局部分析结果显示,不同的省域各个创新要素有着空间相关性的差异和不同的集聚模式。在此基础上,进一步运用GWR,分析我国省域创新要素对创新产出的空间影响差异。结果表明,R＆D经费支出对专利授权量有正相关性,绝大部分沿海省市的R＆D经费支出（对数）估计系数值较大;每万人口在校大学生数对专利授权量具有负相关性;其他变量的参数估计值都有正有负,其中,R＆D人员占总就业人员的比例（对数）的回归系数都不大;高等院校数对专利授权量的影响,新疆和内蒙古具有较大的正相关性,浙江、福建、江西、海南具有较大的负相关性。大多数省区技术合同项目数对专利授权量的影响具有正相关性,福建、广东和海南省除外。 相似文献