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51.
52.
Smooth transition exponential smoothing (STES) uses a logistic function of a user-specified transition variable as adaptive time varying smoothing parameter. This paper empirically addresses three aspects of the use of STES for volatility forecasting. Previous empirical results showed the method performing well in comparison with fixed parameter exponential smoothing and a variety of GARCH models. However, those results related only to forecasting weekly volatility. In this paper, we address the use of STES for forecasting daily volatility. A second issue that we evaluate is the robustness of STES in the presence of extreme outlying observations. The third aspect that we consider is the use of trading volume within a transition variable in the STES method. Our simulation results suggest that STES performs well in terms of robustness, when compared with standard methods and several alternative robust methods. Analysis using stock return data shows that STES has the potential to outperform standard and robust forms of fixed parameter exponential smoothing and GARCH models. The results suggest the use of the sign and size of past shocks as STES transition variables, and provide no clear support for the incorporation of trading volume in a transition variable. 相似文献
53.
Empirical knowledge on the relationship between innovation and firm performance in the hospitality industry is important for theoretical progress and for decision making. Martin-Rios and Ciobanu’s (2019) recent contribution identifies eight different innovation strategies being significantly associated with firm performance including the ambitious strategy of simultaneously innovating products, processes, organizations, and marketing. By replicating the analysis and testing the robustness of the results with a specification curve analysis using the same dataset, we find only three strategies to be robustly associated with firm performance. All three include process innovation as a necessary component: i) a pure backstage-oriented strategy of process and organizational innovation that can be ii) extended with product innovation and iii) a frontstage-oriented strategy, where marketing innovations complement new products and processes. This substantiates the relevance of the process-based view of innovation in services and call for efforts in theorizing about how different configurations of innovation strategies can represent paths to firm performance. 相似文献
54.
We are interested in detecting changes in the performance of a credit portfolio quickly and robustly. The portfolio is dynamic: customers can either default or pay the full amount, and new customers can be taken on. Robust detection means that changing the number of new customers taken on should not lead to either a false or delayed signal. We investigate the performances of monitoring schemes via a simulation study that uses several scenarios. We consider monitoring based on default rates estimated through a gliding window, cumulative sum (CUSUM) charts based on default rates, CUSUM charts based on defaults within a given follow-up time after arrival, and a survival analysis CUSUM chart. We conclude that using a survival analysis approach is preferable to using the other approaches. 相似文献
55.
In recent decades, human activities have moved beyond the range of natural variability and are approaching critical tipping points that may lead to irreversible changes to the Earth's systems. In particular, the diversity of actors and scales, and their power and interest in Earth system resources, increases natural – social interconnectivity and the vulnerability of these traditionally local resource systems to disturbances. Using a combination of design conditions and robustness analyses, we argue that institutional maturity and local knowledge of self-organised regimes are pre-conditions for the continuity of local forest socio-ecological systems as long-lasting institutions that survive global market disturbances. Vulnerability and robustness against external natural and social disturbances thus largely depend on institutional robustness, as well as socio-ecological dynamics. 相似文献
56.
One of the most important airline's products is to determine the aircraft routing and scheduling and fleet assignment. The key input data of this problem is the traffic forecasting and allocation that forecasts traffic on each flight leg. The complexity of this problem is to define the connecting flights when passengers should change the aircraft to reach the final destination. Moreover, as there exists various types of uncertainties during the flights, finding a solution which is able to absorb these uncertainties is invaluable. In this paper, a new robust mixed integer mathematical model for the integrated aircraft routing and scheduling, with consideration of fleet assignment problem is proposed. Then to find good solutions for large-scale problems in a rational amount of time, a heuristic algorithm based on the Simulated Annealing (SA) is introduced. In addition, some examples are randomly generated and the proposed heuristic algorithm is validated by comparing the results with the optimum solutions. The effects of robust vs non-robust solutions are examined, and finally, a hybrid algorithm is generated which results in more effective solution in comparison with SA, and Particle Swarm Optimization (PSO). 相似文献
57.
《Review of Economic Dynamics》2014,17(4):799-823
We study an investor's optimal consumption and portfolio choice problem when he is confronted with two possibly misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive ambiguity model to accommodate the investor's aversion to model uncertainty. The investor deals with specification doubts by slanting his beliefs about submodels of returns pessimistically, causing his investment strategy to be more conservative than the Bayesian strategy. Unlike in the Bayesian framework, the hedging demand against model uncertainty may cause the investor's stock allocation to decrease sharply given a small doubt of return predictability, even though the expected return according to the VAR model is large. Over much of the parameter space, the robust strategy is very close to the Bayesian strategy with Epstein–Zin preferences and risk aversion chosen to match the same average portfolio holdings. This is true in particular when the IID model is unlikely and the dividend yield is low, as in recent years. However, differences in strategies can be substantial if the IID model is unlikely and the dividend yield is high. 相似文献
58.
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of Föllmer's pathwise Itô calculus, which makes no probabilistic assumptions whatsoever. This shows, on one hand, that CPPI and DPPI are completely independent of any choice of a particular model for the dynamics of asset prices. They even make sense beyond the class of semimartingale sample paths and can be successfully defined for models admitting arbitrage, including some models based on fractional Brownian motion. On the other hand, the result can be seen as a case study for the general issue of robustness in the face of model uncertainty in finance. 相似文献
59.
Quantile models and estimators for data analysis 总被引:1,自引:0,他引:1
Quantile regression is used to estimate the cross sectional relationship between high school characteristics and student
achievement as measured by ACT scores. The importance of school characteristics on student achievement has been traditionally
framed in terms of the effect on the expected value. With quantile regression the impact of school characteristics is allowed
to be different at the mean and quantiles of the conditional distribution. Like robust estimation, the quantile approach detects
relationships missed by traditional data analysis. Robust estimates detect the influence of the bulk of the data, whereas
quantile estimates detect the influence of co-variates on alternate parts of the conditional distribution. Since our design
consists of multiple responses (individual student ACT scores) at fixed explanatory variables (school characteristics) the
quantile model can be estimated by the usual regression quantiles, but additionally by a regression on the empirical quantile
at each school. This is similar to least squares where the estimate based on the entire data is identical to weighted least
squares on the school averages. Unlike least squares however, the regression through the quantiles produces a different estimate
than the regression quantiles. 相似文献
60.
Judith A. Giles Cara L. Williams 《The journal of international trade & economic development》2013,22(4):445-470
This paper continues the investigation of Giles and Williams (2000) on export-led growth (ELG). In the first part, we surveyed the empirical export-led growth literature; it was evident that Granger non-causality tests are commonly applied as a test for ELG. In this paper, we explore the sensitivity of the test for exclusions restrictions often used as the Granger non-causality test for ELG by reconsidering two applications: Oxley's (1993) study for Portugal and Henriques and Sadorsky's (1996) analysis for Canada. We focus on the robustness of the method adopted to deal with non-stationarity, including the choice of deterministic trend degree. We show that different noncausality outcomes are easy to obtain, and consequently we recommend that readers interpret the empirical ELG literature with care. Our analysis also highlights the importance of examining the robustness of Granger non-causality test results to avoid spurious outcomes in applications. 相似文献