Results 151 to 160 of about 1,362,662 (220)
How Confident Can We Be in CGE-Based Assessments of Free Trade Agreements? [PDF]
Computable General Equilibrium models, widely used for the analysis of Free Trade Agreements (FTAs) are often criticized for having poor econometric foundations.
David Hummels +3 more
core
Is (Independent) Subordination Relevant in Equity Derivatives?
Applied Stochastic Models in Business and Industry, EarlyView.ABSTRACT Monroe (1978) demonstrates that any local semimartingale can be represented as a time‐changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time‐change are independent? We prove that a local semimartingale is not equivalent to a BM with a time‐change that is independent from the BM ...
Michele Azzone, Roberto Baviera
wiley +1 more source
A DYNAMIC ANALYSIS OF THE EFFECTS OF A PRICE SUPPORT PROGRAM ON PRICE DYNAMICS AND PRICE VOLATILITY [PDF]
This study presents an econometric analysis of the effects of a government price support program on price dynamics and price volatility. Price support programs, a common feature of agricultural policy, provide a lower-bound censoring of the distribution ...
Chavas, Jean-Paul, Kim, Kwansoo
core +1 more source
Applied Stochastic Models in Business and Industry, EarlyView.ABSTRACT Fatigue data arise in many research and applied areas, and there have been statistical methods developed to model and analyze such data. The distributions of fatigue life and fatigue strength are often of interest to engineers designing products that might fail due to fatigue from cyclic‐stress loading.
Peng Liu +3 more
wiley +1 more source
The analysis of the monetary policy dynamics in Romania using a Structural Vector Autoregressive model [PDF]
The present study aims at an econometric investigation oriented toward the estimation of the monetary policy dynamics in Romania, using a model based on the Autoregressive Structural Vector, imposing some restrictions on short term for knowing the ...
Cristi SPULBAR +2 more
core
Comparing Risks for Binomial Reliability Assurance Test Planning
Applied Stochastic Models in Business and Industry, EarlyView.ABSTRACT Balancing consumer's and producer's risk is an important consideration when planning tests. Instead of focusing on finding a single best test plan, we introduce a general framework to systematically identify a set of binomial test plans by leveraging the inverse relationship between the two risks.
Hyoshin Kim, Alyson G. Wilson
wiley +1 more source
Bridging Social Innovation with Forest and Landscape Restoration
Environmental Policy and Governance, Volume 32, Issue 6, Page 520-531, December 2022., 2022 Abstract Mitigating climate change, preventing mass species extinctions, improving rural livelihoods, and disaster risk reduction are among today's most urgent challenges. To meet these challenges, a large number of social actors need to agree to engage and act collectively on Forest and Landscape Restoration (FLR), ensuring its dual goal of restoring ...
Aurélio Padovezi +3 more
wiley +1 more source
Term structure of risk under alternative econometric specifications [PDF]
This paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component ...
Allan Timmerman, Massimo Guidolin
core
Introduction New Challenges in New Economic Geography [PDF]
Developing countries, Developed countries, Economic geography, Econometric ...
Kumagai, Satoru
core
COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning [PDF]
arXivThis paper investigates the forecasting performance of COMEX copper futures realized volatility across various high-frequency intervals using both econometric volatility models and deep learning recurrent neural network models. The econometric models considered are GARCH and HAR, while the deep learning models include RNN (Recurrent Neural Network ...
arxiv