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International Tourism and Economic Growth and Trade: Variance Decomposition Analysis
Journal of Tourism & Hospitality, 2017This study investigates the panel Granger causality relationship approach and variance decomposition to test whether domestic economic growth promote tourists receipts, using international tourism receipts, real GDP per capita growth, exchange rate, financial development, and trade openness for Asian countries over the period of 1995-2014 and whether ...
Bahram Shakouri +3 more
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Model uncertainty analysis by variance decomposition
Physics and Chemistry of the Earth, Parts A/B/C, 2012Abstract Errors and uncertainties in hydrological, hydraulic and environmental models are often substantial. In good modelling practice, they are quantified in order to supply decision-makers with important additional information on model limitations and sources of uncertainty. Several uncertainty analysis methods exist, often with various underlying
P. Willems
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Variance decomposition analysis of the demand for foreign money in Egypt
Journal of Economic Studies, 2001The demand for money is an important function of stabilization policies where such policies depend on the ability to manipulate the size of money supply in order to insulate real output from monetary disturbances. This paper investigates whether foreign money in Egypt should be included in transactions oriented measures of money supply.
Tarik H. Alami
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Corporate Social Performance and Idiosyncratic Risk: A Variance Decomposition Analysis
SSRN Electronic Journal, 2013I investigate the relationship between corporate social responsibility and idiosyncratic risk using a 17 year panel of over 3,269 US listed companies. Following Vuolteenaho (2002), I use a three state vector autoregressive model of expected returns and decompose the residuals into earnings and discount rate shocks.
Allen Goss
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Variance decomposition-based sensitivity analysis via neural networks
Reliability Engineering & System Safety, 2003Abstract This paper illustrates a method for efficiently performing multiparametric sensitivity analyses of the reliability model of a given system. These analyses are of great importance for the identification of critical components in highly hazardous plants, such as the nuclear or chemical ones, thus providing significant insights for their risk ...
MARSEGUERRA, MARZIO +3 more
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A Bayesian analysis of a variance decomposition for stock returns
Journal of Empirical Finance, 2002We apply Bayesian methods to study a common VAR-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock returns, future real interest rates, and future dividends. We develop a new prior elicitation strategy which involves expressing beliefs about the components of the variance ...
Hollifield, B., Koop, G.M., Li, K.
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Do Accruals Drive Stock Returns? A Variance Decomposition Analysis
SSRN Electronic Journal, 2003This paper extends the variance decomposition framework of Campbell (1991), Campbell and Ammer (1993) and Vuolteenhao (2002) to address the relative value relevance of accruals news, cash flow news and expected return news in driving firm-level equity returns. The extension is based on the Feltham-Ohlson (1995, 1996) clean surplus relations.
Jeffrey L. Callen, Dan Segal
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A neural-network-based variance decomposition sensitivity analysis
International Journal of Nuclear Knowledge Management, 2007This paper describes the implementation of an artificial neural network for obtaining the numerous model output calculations within a variance decomposition scheme for performing the model sensitivity analysis with respect to both individual and grouped parameters. A case study concerning the identification of the input variables mostly contributing to
CADINI, FRANCESCO +4 more
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An interdependence analysis of Australian house prices using variance decomposition
International Journal of Housing Markets and Analysis, 2009PurposeThe purpose of this paper is to analyse the interdependencies of the house price growth rates in Australian capital cities.Design/methodology/approachA vector autoregression model and variance decomposition are introduced to estimate and interpret the interdependences among the growth rates of regional house prices in Australia.FindingsThe ...
Chunlu Liu +3 more
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The Quarterly Review of Economics and Finance, 2007
Abstract This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with the degree of susceptibility to foreign shocks ...
Elyas Elyasiani +2 more
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Abstract This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with the degree of susceptibility to foreign shocks ...
Elyas Elyasiani +2 more
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