SINGAPORE MANAGEMENT UNIVERSITY

Size: px
Start display at page:

Download "SINGAPORE MANAGEMENT UNIVERSITY"

Transcription

1 SINGAPOE MANAGEMENT UNIVESIT School of Economcs Econ07 Inroducon o Economercs Sample Quesons (Tme allowed: hours Consder he varable regresson model 0 ( Denoe o be he OLS esmaor of and se( o be. For each of he followng saemens ndcae wheher s jusfed and eplan your reasons. (a Mulcollneary rases he sandard error of and hence he es based on and se s nvald. (6 marks ( (b Heeroskedascy leads o an unbased esmaor of and hence he es based on and se ( s vald. (6 marks (c Seral correlaon leads o an unbased esmaor of bu he es based on s always nvald. (6 marks (d Msspecfcaon of he funconal form leads o an unbased esmaor of bu he es based on and se( s nvald. (6 marks (e If s a dummy varable, he lnear probably model allows for an unresrced range of probably, hence he es based on s always nvald. (6 marks. Suppose you are gven he followng resuls for a me seres of 3 annual Ausralan aggregae economc daa (sandard errors n parenheses: C w (8.9 ( p ( (.09 a 4 (

2 where C annual Ausralan domesc consumpon (n bllons of A$; w annual Ausralan wage ncome (n bllons of A$; p annual Ausralan nowagenofarm ncome (n bllons of A$; a annual Ausralan farm ncome (n bllons of A$. (a How would you nerpre he coeffcens of w, p, a? (6 marks (b Tes he null hypoheses ha he coeffcens of w, p, a are ndvdually ndfferen from zero respecvely a a 5% sgnfcance level usng a onesded es. (6 marks (c Inerpre. Specfy he hypohess o es he overall sgnfcance of he regresson model. Use he value of o es hs hypohess. (7 marks (d Wha can you conclude from (b and (c? In hs case, wha are he properes of he OLS esmaor? Do you need o be concerned wh he problem from he perspecve of hypohess esng? Why or why no? (7 marks (e Eplan how o use an aulary regresson o deec he problem you denfed n (d. Sugges a way o solve he problem. (7 marks (f If we now measure he dependen varable and all he ndependen varables by mllons of A$ nsead of by bllons of A$, whou reesmang he model, wha are he new esmaed coeffcens? (7 marks The followng resuls are obaned based on he same daa: C p (.67 (0.0..( 0.8 (g Whch model, ( or (, do you prefer? Gve your reasonng. (6 marks 3. Consder he followng model: 0 D 3D 4D D (3 where

3 annual salary of a junor college eacher (n housand S$ years of eachng eperence D 0 f female oherwse D 0 f nonchnese oherwse (a The erm represens he neracon effec. Is hs erm a dummy varable? If so, wha does hs erm means? (4 marks (b (c (d (e Show how equaon (3 can be used o fnd he mean salary for a nonchnese female. ( marks Show how equaon (3 can be used o fnd he mean salary for a Chnese female. ( marks Show how equaon (3 can be used o fnd he mean salary for a nonchnese male. ( marks Show how equaon (3 can be used o fnd he mean salary for a Chnese male. ( marks (f Usng he resuls obaned from (b(e o nerpre 4. (5 marks Evews s used o produce he followng regresson resuls (wh four sascs, one sandard error and one pvalue removed based on crossseconal daa on 000 junor college eachers n Sngapore: Dependen Varable: Mehod: Leas Squares Dae: 0/5/05 Tme: :40 Sample: 000 Included observaons: 000 Varable Coeffcen Sd. Error Sasc Prob. C A A D.36.0 A3 A6 D A4 0.0 D*D 0.65 A squared Mean dependen var Adjused squared S.D. dependen var S.E. of regresson Akake nfo creron Sum squared resd Schwarz creron Log lkelhood Fsasc DurbnWason sa Prob(Fsasc

4 (g Fnd he numercal values for AA6 n he above Evews oupu. (4 marks (h Consruc he 95% confdence nerval for he slope parameer of and nerpre. (4 marks ( If we now measure by S$ nsead of by housands of S$, whou rerunnng he regresson, wha are he new esmaed coeffcens? (5 marks

5 Seleced Formulae ] se( + se( Prob[ ] n[var( n d ( h K (n / ( /K F n TSS K n SS TSS ESS SS + ESS TSS se( n se( K n e + n n y y y / /, /( /(,, 0 0 Seleced Sascal Tables. Table for he Normal dsrbuon.. Table for he dsrbuon. 3. Table for he F dsrbuon 4. Table for he DurbnWason es sasc.

6

7

8

9

10

11

CHAPTER 10 DUMMY VARIABLE REGRESSION MODELS

CHAPTER 10 DUMMY VARIABLE REGRESSION MODELS CHAPTER 10 DUMMY VARIABLE REGRESSION MODELS QUESTIONS 10.1. (a) and (b) These are varables ha canno be quanfed on a cardnal scale. They usually denoe he possesson or nonpossesson of an arbue, such as naonaly,

More information

FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION

FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION JOURAL OF ECOOMIC DEVELOPME 7 Volume 30, umber, June 005 FOREIG AID AD ECOOMIC GROWH: EW EVIDECE FROM PAEL COIEGRAIO ABDULASSER HAEMI-J AD MAUCHEHR IRADOUS * Unversy of Skövde and Unversy of Örebro he

More information

12/7/2011. Procedures to be Covered. Time Series Analysis Using Statgraphics Centurion. Time Series Analysis. Example #1 U.S.

12/7/2011. Procedures to be Covered. Time Series Analysis Using Statgraphics Centurion. Time Series Analysis. Example #1 U.S. Tme Seres Analyss Usng Sagraphcs Cenuron Nel W. Polhemus, CTO, SaPon Technologes, Inc. Procedures o be Covered Descrpve Mehods (me sequence plos, auocorrelaon funcons, perodograms) Smoohng Seasonal Decomposon

More information

Linear methods for regression and classification with functional data

Linear methods for regression and classification with functional data Lnear mehods for regresson and classfcaon wh funconal daa Glber Sapora Chare de Sasue Appluée & CEDRIC Conservaore Naonal des Ars e Méers 9 rue San Marn, case 44 754 Pars cedex 3, France sapora@cnam.fr

More information

The Performance of Seasoned Equity Issues in a Risk- Adjusted Environment?

The Performance of Seasoned Equity Issues in a Risk- Adjusted Environment? The Performance of Seasoned Equy Issues n a Rsk- Adjused Envronmen? Allen, D.E., and V. Souck 2 Deparmen of Accounng, Fnance and Economcs, Edh Cowan Unversy, W.A. 2 Erdeon Group, Sngapore Emal: d.allen@ecu.edu.au

More information

Both human traders and algorithmic

Both human traders and algorithmic Shuhao Chen s a Ph.D. canddae n sascs a Rugers Unversy n Pscaaway, NJ. bhmchen@sa.rugers.edu Rong Chen s a professor of Rugers Unversy n Pscaaway, NJ and Peng Unversy, n Bejng, Chna. rongchen@sa.rugers.edu

More information

Information-based trading, price impact of trades, and trade autocorrelation

Information-based trading, price impact of trades, and trade autocorrelation Informaon-based radng, prce mpac of rades, and rade auocorrelaon Kee H. Chung a,, Mngsheng L b, Thomas H. McInsh c a Sae Unversy of New York (SUNY) a Buffalo, Buffalo, NY 426, USA b Unversy of Lousana

More information

Time Series. A thesis. Submitted to the. Edith Cowan University. Perth, Western Australia. David Sheung Chi Fung. In Fulfillment of the Requirements

Time Series. A thesis. Submitted to the. Edith Cowan University. Perth, Western Australia. David Sheung Chi Fung. In Fulfillment of the Requirements Mehods for he Esmaon of Mssng Values n Tme Seres A hess Submed o he Faculy of Communcaons, ealh and Scence Edh Cowan Unversy Perh, Wesern Ausrala By Davd Sheung Ch Fung In Fulfllmen of he Requremens For

More information

APPLICATION OF CHAOS THEORY TO ANALYSIS OF COMPUTER NETWORK TRAFFIC Liudvikas Kaklauskas, Leonidas Sakalauskas

APPLICATION OF CHAOS THEORY TO ANALYSIS OF COMPUTER NETWORK TRAFFIC Liudvikas Kaklauskas, Leonidas Sakalauskas The XIII Inernaonal Conference Appled Sochasc Models and Daa Analyss (ASMDA-2009) June 30-July 3 2009 Vlnus LITHUANIA ISBN 978-9955-28-463-5 L. Sakalauskas C. Skadas and E. K. Zavadskas (Eds.): ASMDA-2009

More information

Kalman filtering as a performance monitoring technique for a propensity scorecard

Kalman filtering as a performance monitoring technique for a propensity scorecard Kalman flerng as a performance monorng echnque for a propensy scorecard Kaarzyna Bjak * Unversy of Souhampon, Souhampon, UK, and Buro Informacj Kredyowej S.A., Warsaw, Poland Absrac Propensy scorecards

More information

No. 32-2009. David Büttner and Bernd Hayo. Determinants of European Stock Market Integration

No. 32-2009. David Büttner and Bernd Hayo. Determinants of European Stock Market Integration MAGKS Aachen Segen Marburg Geßen Göngen Kassel Jon Dscusson Paper Seres n Economcs by he Unverses of Aachen Geßen Göngen Kassel Marburg Segen ISSN 1867-3678 No. 32-2009 Davd Büner and Bernd Hayo Deermnans

More information

The Feedback from Stock Prices to Credit Spreads

The Feedback from Stock Prices to Credit Spreads Appled Fnance Projec Ka Fa Law (Keh) The Feedback from Sock Prces o Cred Spreads Maser n Fnancal Engneerng Program BA 3N Appled Fnance Projec Ka Fa Law (Keh) Appled Fnance Projec Ka Fa Law (Keh). Inroducon

More information

Spline. Computer Graphics. B-splines. B-Splines (for basis splines) Generating a curve. Basis Functions. Lecture 14 Curves and Surfaces II

Spline. Computer Graphics. B-splines. B-Splines (for basis splines) Generating a curve. Basis Functions. Lecture 14 Curves and Surfaces II Lecure 4 Curves and Surfaces II Splne A long flexble srps of meal used by drafspersons o lay ou he surfaces of arplanes, cars and shps Ducks weghs aached o he splnes were used o pull he splne n dfferen

More information

Malaysia s International Relations and Foreign Direct Investment (FDI): A Structural Change Analysis

Malaysia s International Relations and Foreign Direct Investment (FDI): A Structural Change Analysis www.ccsene.org/ass Asan Socal Scence Vol. 6, No. 7; July Malaysa s Inernaonal Relaons and Foregn Drec Invesmen (FDI: A Srucural Change Analyss Har Wa Mun Faculy of Accounancy and Managemen, Unvers Tunku

More information

Trading volume and stock market volatility: evidence from emerging stock markets

Trading volume and stock market volatility: evidence from emerging stock markets Invesmen Managemen and Fnancal Innovaons, Volume 5, Issue 4, 008 Guner Gursoy (Turkey), Asl Yuksel (Turkey), Aydn Yuksel (Turkey) Tradng volume and sock marke volaly: evdence from emergng sock markes Absrac

More information

Efficiency of General Insurance in Malaysia Using Stochastic Frontier Analysis (SFA)

Efficiency of General Insurance in Malaysia Using Stochastic Frontier Analysis (SFA) Inernaonal Journal of Modern Engneerng Research (IJMER) www.jmer.com Vol., Issue.5, Sep-Oc. 01 pp-3886-3890 ISSN: 49-6645 Effcency of General Insurance n Malaysa Usng Sochasc Froner Analyss (SFA) Mohamad

More information

THE IMPACT OF UNSECURED DEBT ON FINANCIAL DISTRESS AMONG BRITISH HOUSEHOLDS. Ana del Río and Garry Young. Documentos de Trabajo N.

THE IMPACT OF UNSECURED DEBT ON FINANCIAL DISTRESS AMONG BRITISH HOUSEHOLDS. Ana del Río and Garry Young. Documentos de Trabajo N. THE IMPACT OF UNSECURED DEBT ON FINANCIAL DISTRESS AMONG BRITISH HOUSEHOLDS 2005 Ana del Río and Garry Young Documenos de Trabajo N.º 0512 THE IMPACT OF UNSECURED DEBT ON FINANCIAL DISTRESS AMONG BRITISH

More information

The impact of unsecured debt on financial distress among British households

The impact of unsecured debt on financial distress among British households The mpac of unsecured deb on fnancal dsress among Brsh households Ana Del-Río* and Garr Young** Workng Paper no. 262 * Banco de España. Alcalá, 50. 28014 Madrd, Span Emal: adelro@bde.es ** Fnancal Sabl,

More information

What Explains Superior Retail Performance?

What Explains Superior Retail Performance? Wha Explans Superor Real Performance? Vshal Gaur, Marshall Fsher, Ananh Raman The Wharon School, Unversy of Pennsylvana vshal@grace.wharon.upenn.edu fsher@wharon.upenn.edu Harvard Busness School araman@hbs.edu

More information

Fundamental Analysis of Receivables and Bad Debt Reserves

Fundamental Analysis of Receivables and Bad Debt Reserves Fundamenal Analyss of Recevables and Bad Deb Reserves Mchael Calegar Assocae Professor Deparmen of Accounng Sana Clara Unversy e-mal: mcalegar@scu.edu February 21 2005 Fundamenal Analyss of Recevables

More information

A Model for Time Series Analysis

A Model for Time Series Analysis Aled Mahemaal Senes, Vol. 6, 0, no. 5, 5735-5748 A Model for Tme Seres Analyss me A. H. Poo Sunway Unversy Busness Shool Sunway Unversy Bandar Sunway, Malaysa ahhn@sunway.edu.my Absra Consder a me seres

More information

Payout Policy Choices and Shareholder Investment Horizons

Payout Policy Choices and Shareholder Investment Horizons Payou Polcy Choces and Shareholder Invesmen Horzons José-Mguel Gaspar* Massmo Massa** Pedro Maos*** Rajdeep Pagr Zahd Rehman Absrac Ths paper examnes how shareholder nvesmen horzons nfluence payou polcy

More information

The performance of imbalance-based trading strategy on tender offer announcement day

The performance of imbalance-based trading strategy on tender offer announcement day Invesmen Managemen and Fnancal Innovaons, Volume, Issue 2, 24 Han-Chng Huang (awan), Yong-Chern Su (awan), Y-Chun Lu (awan) he performance of mbalance-based radng sraegy on ender offer announcemen day

More information

DOCUMENTOS DE ECONOMIA Y FINANZAS INTERNACIONALES

DOCUMENTOS DE ECONOMIA Y FINANZAS INTERNACIONALES DOCUMENTOS DE ECONOMI Y FINNZS INTERNCIONLES INTERTEMPORL CURRENT CCOUNT ND PRODUCTIVITY SHOCKS: EVIDENCE FOR SOME EUROPEN COUNTRIES Fernando Perez de Graca Juncal Cuñado prl 2001 socacón Española de Economía

More information

YÖNET M VE EKONOM Y l:2005 Cilt:12 Say :1 Celal Bayar Üniversitesi..B.F. MAN SA

YÖNET M VE EKONOM Y l:2005 Cilt:12 Say :1 Celal Bayar Üniversitesi..B.F. MAN SA YÖNET M VE EKONOM Y l:2005 Cl:12 Say :1 Celal Bayar Ünverses..B.F. MAN SA Exchange Rae Pass-Through Elasces n Fnal and Inermedae Goods: The Case of Turkey Dr. Kemal TÜRKCAN Osmangaz Ünverses, BF, ksa Bölümü,

More information

The Sarbanes-Oxley Act and Small Public Companies

The Sarbanes-Oxley Act and Small Public Companies The Sarbanes-Oxley Ac and Small Publc Companes Smry Prakash Randhawa * June 5 h 2009 ABSTRACT Ths sudy consrucs measures of coss as well as benefs of mplemenng Secon 404 for small publc companes. In hs

More information

A STUDY ON THE CAUSAL RELATIONSHIP BETWEEN RELATIVE EQUITY PERFORMANCE AND THE EXCHANGE RATE

A STUDY ON THE CAUSAL RELATIONSHIP BETWEEN RELATIVE EQUITY PERFORMANCE AND THE EXCHANGE RATE A STUDY ON THE CAUSAL RELATIONSHIP BETWEEN RELATIVE EQUITY PERFORMANCE AND THE EXCHANGE RATE The Swedsh Case Phlp Barsk* and Magnus Cederlöf Maser s Thess n Inernaonal Economcs Sockholm School of Economcs

More information

A Hybrid Method for Forecasting Stock Market Trend Using Soft-Thresholding De-noise Model and SVM

A Hybrid Method for Forecasting Stock Market Trend Using Soft-Thresholding De-noise Model and SVM A Hybrd Mehod for Forecasng Sock Marke Trend Usng Sof-Thresholdng De-nose Model and SVM Xueshen Su, Qnghua Hu, Daren Yu, Zongxa Xe, and Zhongyng Q Harbn Insue of Technology, Harbn 150001, Chna Suxueshen@Gmal.com

More information

Swiss National Bank Working Papers

Swiss National Bank Working Papers 01-10 Swss Naonal Bank Workng Papers Global and counry-specfc busness cycle rsk n me-varyng excess reurns on asse markes Thomas Nschka The vews expressed n hs paper are hose of he auhor(s and do no necessarly

More information

Economic Interpretation of Regression. Theory and Applications

Economic Interpretation of Regression. Theory and Applications Economc Interpretaton of Regresson Theor and Applcatons Classcal and Baesan Econometrc Methods Applcaton of mathematcal statstcs to economc data for emprcal support Economc theor postulates a qualtatve

More information

The Cause of Short-Term Momentum Strategies in Stock Market: Evidence from Taiwan

The Cause of Short-Term Momentum Strategies in Stock Market: Evidence from Taiwan he Cause of Shor-erm Momenum Sraeges n Sock Marke: Evdence from awan Hung-Chh Wang 1, Y. Angela Lu 2, and Chun-Hua Susan Ln 3+ 1 B. A. Dep.,C C U, and B. A. Dep., awan Shoufu Unversy, awan (.O.C. 2 Dep.

More information

The Joint Cross Section of Stocks and Options *

The Joint Cross Section of Stocks and Options * The Jon Cross Secon of Socks and Opons * Andrew Ang Columba Unversy and NBER Turan G. Bal Baruch College, CUNY Nusre Cakc Fordham Unversy Ths Verson: 1 March 2010 Keywords: mpled volaly, rsk premums, reurn

More information

Bayesian Forecasting of Stock Prices Via the Ohlson Model

Bayesian Forecasting of Stock Prices Via the Ohlson Model Baesan Forecasng of Soc Prces Va he Ohlson Model B Qunfang Flora Lu A hess Submed o he Facul of WORCESER POLYECHIC ISIUE n paral fulfllmen of he requremens for he Degree of Maser of Scence n Appled Sascs

More information

An Analysis of the Banana Import market in the U.S.

An Analysis of the Banana Import market in the U.S. An Analyss of he Banana Impor marke n he U.S. Cha-Hsen Su Ph.D. Suden Deparmen of Agrculural Economcs Texas A&M Unversy CSu@ag.amu.edu Arun Ishdor Asssan Professor Deparmen of Agrculural Economcs Texas

More information

Fakultet for informasjonsteknologi, Institutt for matematiske fag

Fakultet for informasjonsteknologi, Institutt for matematiske fag Page 1 of 5 NTNU Noregs eknisk-naurviskaplege universie Fakule for informasjonseknologi, maemaikk og elekroeknikk Insiu for maemaiske fag - English Conac during exam: John Tyssedal 73593534/41645376 Exam

More information

International Portfolio Equilibrium and the Current Account

International Portfolio Equilibrium and the Current Account Inernaonal Porfolo Equlbrum and he Curren Accoun Rober Kollmann (*) ECARE Free Unversy of Brussels Unversy of Pars XII Cenre for Economc Polcy Research UK Ocober 006 Ths paper analyzes he deermnans of

More information

A Common Neural Network Model for Unsupervised Exploratory Data Analysis and Independent Component Analysis

A Common Neural Network Model for Unsupervised Exploratory Data Analysis and Independent Component Analysis A Common Neural Nework Model for Unsupervsed Exploraory Daa Analyss and Independen Componen Analyss Keywords: Unsupervsed Learnng, Independen Componen Analyss, Daa Cluserng, Daa Vsualsaon, Blnd Source

More information

DESIGN OF OPTIMAL BONUS-MALUS SYSTEMS WITH A FREQUENCY AND A SEVERITY COMPONENT ON AN INDIVIDUAL BASIS IN AUTOMOBILE INSURANCE ABSTRACT KEYWORDS

DESIGN OF OPTIMAL BONUS-MALUS SYSTEMS WITH A FREQUENCY AND A SEVERITY COMPONENT ON AN INDIVIDUAL BASIS IN AUTOMOBILE INSURANCE ABSTRACT KEYWORDS DESIGN OF OPTIMAL BONUS-MALUS SYSTEMS WITH A FREQUENCY AND A SEVERITY COMPONENT ON AN INDIVIDUAL BASIS IN AUTOMOBILE INSURANCE BY NICHOLAS E. FRANGOS* AND SPYRIDON D. VRONTOS* ABSTRACT The maory of opmal

More information

What influences the growth of household debt?

What influences the growth of household debt? Wha nfluences he growh of household deb? Dag Hennng Jacobsen, economs n he Secures Markes Deparmen, and Bjørn E. Naug, senor economs n he Research Deparmen 1 Household deb has ncreased by 10 11 per cen

More information

Systematic risk measurement in the global banking stock market with time series analysis and CoVaR

Systematic risk measurement in the global banking stock market with time series analysis and CoVaR Invesmen Managemen and Fnancal Innovaons, Volume 1, Issue 1, 213 Tesuo Kurosak (USA, Young Shn Km (Germany Sysemac rsk measuremen n he global bankng sock marke wh meseres analyss and CoVaR Absrac Movaed

More information

MORE ON TVM, "SIX FUNCTIONS OF A DOLLAR", FINANCIAL MECHANICS. Copyright 2004, S. Malpezzi

MORE ON TVM, SIX FUNCTIONS OF A DOLLAR, FINANCIAL MECHANICS. Copyright 2004, S. Malpezzi MORE ON VM, "SIX FUNCIONS OF A DOLLAR", FINANCIAL MECHANICS Copyrgh 2004, S. Malpezz I wan everyone o be very clear on boh he "rees" (our basc fnancal funcons) and he "fores" (he dea of he cash flow model).

More information

Lecture 40 Induction. Review Inductors Self-induction RL circuits Energy stored in a Magnetic Field

Lecture 40 Induction. Review Inductors Self-induction RL circuits Energy stored in a Magnetic Field ecure 4 nducon evew nducors Self-nducon crcus nergy sored n a Magnec Feld 1 evew nducon end nergy Transfers mf Bv Mechancal energy ransform n elecrc and hen n hermal energy P Fv B v evew eformulaon of

More information

Spillover effects from the U.S. financial crisis: Some time-series evidence from national stock returns

Spillover effects from the U.S. financial crisis: Some time-series evidence from national stock returns Spllover effecs from he U.S. fnancal crss: Some me-seres evdence from naonal sock reurns by Apanard Penny Angknand Mlken Insue pangknand@mlkennsue.org James R. Barh Auburn Unversy and Mlken Insue jbarh@mlkennsue.org

More information

Testing techniques and forecasting ability of FX Options Implied Risk Neutral Densities. Oren Tapiero

Testing techniques and forecasting ability of FX Options Implied Risk Neutral Densities. Oren Tapiero Tesng echnques and forecasng ably of FX Opons Impled Rsk Neural Denses Oren Tapero 1 Table of Conens Absrac 3 Inroducon 4 I. The Daa 7 1. Opon Selecon Crerons 7. Use of mpled spo raes nsead of quoed spo

More information

Contract design and insurance fraud: an experimental investigation *

Contract design and insurance fraud: an experimental investigation * Conrac desgn and nsurance fraud: an expermenal nvesgaon * Frauke Lammers and Jörg Schller Absrac Ths paper nvesgaes he mpac of nsurance conrac desgn on he behavor of flng fraudulen clams n an expermenal

More information

DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS. Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand

DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS. Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand ISSN 440-77X ISBN 0 736 094 X AUSTRALIA DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Exponenal Smoohng for Invenory Conrol: Means and Varances of Lead-Tme Demand Ralph D. Snyder, Anne B. Koehler,

More information

How To Calculate Backup From A Backup From An Oal To A Daa

How To Calculate Backup From A Backup From An Oal To A Daa 6 IJCSNS Inernaonal Journal of Compuer Scence and Nework Secury, VOL.4 No.7, July 04 Mahemacal Model of Daa Backup and Recovery Karel Burda The Faculy of Elecrcal Engneerng and Communcaon Brno Unversy

More information

Selected Financial Formulae. Basic Time Value Formulae PV A FV A. FV Ad

Selected Financial Formulae. Basic Time Value Formulae PV A FV A. FV Ad Basc Tme Value e Fuure Value of a Sngle Sum PV( + Presen Value of a Sngle Sum PV ------------------ ( + Solve for for a Sngle Sum ln ------ PV -------------------- ln( + Solve for for a Sngle Sum ------

More information

The Incentive Effects of Organizational Forms: Evidence from Florida s Non-Emergency Medicaid Transportation Programs

The Incentive Effects of Organizational Forms: Evidence from Florida s Non-Emergency Medicaid Transportation Programs The Incenve Effecs of Organzaonal Forms: Evdence from Florda s Non-Emergency Medcad Transporaon Programs Chfeng Da* Deparmen of Economcs Souhern Illnos Unversy Carbondale, IL 62901 Davd Denslow Deparmen

More information

JCER DISCUSSION PAPER

JCER DISCUSSION PAPER JCER DISCUSSION PAPER No.135 Sraegy swchng n he Japanese sock marke Ryuch Yamamoo and Hdeak Hraa February 2012 公 益 社 団 法 人 日 本 経 済 研 究 センター Japan Cener for Economc Research Sraegy swchng n he Japanese

More information

Effects of Regional Bank Merger on Small Business Borrowing: Evidence from Japan

Effects of Regional Bank Merger on Small Business Borrowing: Evidence from Japan Inernaonal Journal of Economcs and Fnance; Vol. 7, No. 11; 015 ISSN 1916-971X E-ISSN 1916-978 Publshed by Canadan Cener of Scence and Educaon Effecs of Regonal Bank Merger on Small Busness Borrowng: Evdence

More information

Estimating intrinsic currency values

Estimating intrinsic currency values Cung edge Foregn exchange Esmang nrnsc currency values Forex marke praconers consanly alk abou he srenghenng or weakenng of ndvdual currences. In hs arcle, Jan Chen and Paul Dous presen a new mehodology

More information

The current account-interest rate relation: A panel data study for OECD countries

The current account-interest rate relation: A panel data study for OECD countries E3 Journal of Busness Managemen and Economcs Vol. 3(2). pp. 048-054, February, 2012 Avalable onlne hp://www.e3journals.org/jbme ISSN 2141-7482 E3 Journals 2012 Full lengh research paper The curren accoun-neres

More information

Analyzing Energy Use with Decomposition Methods

Analyzing Energy Use with Decomposition Methods nalyzng nergy Use wh Decomposon Mehods eve HNN nergy Technology Polcy Dvson eve.henen@ea.org nergy Tranng Week Pars 1 h prl 213 OCD/ 213 Dscusson nergy consumpon and energy effcency? How can energy consumpon

More information

An Introductory Study on Time Series Modeling and Forecasting

An Introductory Study on Time Series Modeling and Forecasting An Inroducory Sudy on Tme Seres Modelng and Forecasng Ranadp Adhkar R. K. Agrawal ACKNOWLEDGEMENT The mely and successful compleon of he book could hardly be possble whou he helps and suppors from a lo

More information

How To Write A Dscusson Paper On The Power Of The Internet

How To Write A Dscusson Paper On The Power Of The Internet Dscusson Paper No. 5-048 Facly- and Servce-based Compeon and Invesmen n Fxed Broadband Neworks: Lessons from a Decade of Access Regulaons n he European Unon Member Saes Wolfgang Brglauer laus Gugler and

More information

Short-term to long-term employment effects of the Football World Cup 1974 in Germany

Short-term to long-term employment effects of the Football World Cup 1974 in Germany Floran Hagn, Wolfgang Maenng Shor-erm o long-erm employmen effecs of he Fooball World Cup 1974 n Germany Absrac: Ths sudy demonsraes ha he Fooball World Cup 1974 n Germany was no able o generae any shor

More information

Banks Non-Interest Income and Systemic Risk. July 2011. Abstract

Banks Non-Interest Income and Systemic Risk. July 2011. Abstract Banks Non-Ineres Income and Sysemc Rsk Markus K. Brunnermeer, a Gang Dong, b and Darus Pala b July 2011 Absrac Whch bank acves conrbue more o sysemc rsk? Ths paper documens ha banks wh hgher non-neres

More information

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds Reurn Perssence, Rsk Dynamcs and Momenum Exposures of Equy and Bond Muual Funds Joop Hu, Marn Marens, and Therry Pos Ths Verson: 22-2-2008 Absrac To analyze perssence n muual fund performance, s common

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

FINANCIAL CONSTRAINTS, THE USER COST OF CAPITAL AND CORPORATE INVESTMENT IN AUSTRALIA

FINANCIAL CONSTRAINTS, THE USER COST OF CAPITAL AND CORPORATE INVESTMENT IN AUSTRALIA FINANCIAL CONSTRAINTS THE USER COST OF CAPITAL AND CORPORATE INVESTMENT IN AUSTRALIA Gann La Cava Research Dscusson Paper 2005-2 December 2005 Economc Analyss Reserve Bank of Ausrala The auhor would lke

More information

Calculating and interpreting multipliers in the presence of non-stationary time series: The case of U.S. federal infrastructure spending

Calculating and interpreting multipliers in the presence of non-stationary time series: The case of U.S. federal infrastructure spending AMERICAN JOURNAL OF SOCIAL AND MANAGEMENT SCIENCES ISSN Prn: 156-1540, ISSN Onlne: 151-1559, do:10.551/ajsms.010.1.1.4.38 010, ScenceHuβ, hp://www.schub.org/ajsms Calculang and nerpreng mulplers n he presence

More information

Retransformation bias in the adjacent art price index

Retransformation bias in the adjacent art price index ISSN: 2038-7296 POLIS Workng Papers [Onlne] Dparmeno d Polche Pubblche e Scele Colleve POLIS Deparmen of Publc Polcy and Publc Choce POLIS POLIS Workng Papers n. 178 December 2010 Reransformaon bas n he

More information

Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?

Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion? Long Run Underperformance of Seasoned Equy Offerngs: Fac or an Illuson? 1 2 Allen D.E. and V. Souck 1 Edh Cowan Unversy, 2 Unversy of Wesern Ausrala, E-Mal: d.allen@ecu.edu.au Keywords: Seasoned Equy Issues,

More information

Searching for a Common Factor. in Public and Private Real Estate Returns

Searching for a Common Factor. in Public and Private Real Estate Returns Searchng for a Common Facor n Publc and Prvae Real Esae Reurns Andrew Ang, * Nel Nabar, and Samuel Wald Absrac We nroduce a mehodology o esmae common real esae reurns and cycles across publc and prvae

More information

Anomaly Detection in Network Traffic Using Selected Methods of Time Series Analysis

Anomaly Detection in Network Traffic Using Selected Methods of Time Series Analysis I. J. Compuer Nework and Informaon Secury, 2015, 9, 10-18 Publshed Onlne Augus 2015 n MECS (hp://www.mecs-press.org/) DOI: 10.5815/jcns.2015.09.02 Anomaly Deecon n Nework Traffc Usng Seleced Mehods of

More information

Applying the Theta Model to Short-Term Forecasts in Monthly Time Series

Applying the Theta Model to Short-Term Forecasts in Monthly Time Series Applyng he Thea Model o Shor-Term Forecass n Monhly Tme Seres Glson Adamczuk Olvera *, Marcelo Gonçalves Trenn +, Anselmo Chaves Neo ** * Deparmen of Mechancal Engneerng, Federal Technologcal Unversy of

More information

Journal of Econometrics

Journal of Econometrics Journal of Economercs 7 ( 7 4 Conens lss avalable a ScVerse ScenceDrec Journal of Economercs ournal homepage: www.elsever.com/locae/econom Inernaonal mare lns and volaly ransmsson Valenna Corrad a,, Waler

More information

Contagion Across and Integration of European Emerging Stock Markets: Evidence from Intraday Data

Contagion Across and Integration of European Emerging Stock Markets: Evidence from Intraday Data Conagon Across and Inegraon of European Emergng Sock Markes: Evdence from Inraday Daa Balázs Éger a Evžen Kočenda b Absrac We analyze nerrelaons beween hree sock markes n Cenral and Easern Europe and,

More information

Sustainability of Public Debt and Budget Deficit: PROHL, Silika and SCHNEIDER, Friedrich *) Working Paper No. 0610 July 2006

Sustainability of Public Debt and Budget Deficit: PROHL, Silika and SCHNEIDER, Friedrich *) Working Paper No. 0610 July 2006 DEPARTMENT OF ECONOMICS JOHANNES KEPLER UNIVERSITY OF LINZ Susanably of Publc Deb and udge Defc: Panel conegraon analyss for he European Unon Member counres by PROHL, Slka and SCHNEIDER, Fredrch *) Workng

More information

Financial Time Series Forecasting: Comparison of Neural Networks and ARCH Models

Financial Time Series Forecasting: Comparison of Neural Networks and ARCH Models Inernaonal Research Journal of Fnance and Economcs ISSN 450-887 Issue 49 (00) EuroJournals Publshng, Inc. 00 h://www.eurojournals.com/fnance.hm Fnancal Tme Seres Forecasng: Comarson of Neural Neworks and

More information

Combining Mean Reversion and Momentum Trading Strategies in. Foreign Exchange Markets

Combining Mean Reversion and Momentum Trading Strategies in. Foreign Exchange Markets Combnng Mean Reverson and Momenum Tradng Sraeges n Foregn Exchange Markes Alna F. Serban * Deparmen of Economcs, Wes Vrgna Unversy Morganown WV, 26506 November 2009 Absrac The leraure on equy markes documens

More information

Exchange Market Pressure and Extreme Value Theory: Incidence of Currency Crises in East Asia and Latin America

Exchange Market Pressure and Extreme Value Theory: Incidence of Currency Crises in East Asia and Latin America Exchange Marke Pressure and Exreme Value Theory: Incdence of Currency Crses n Eas Asa and Lan Amerca Vcor Ponnes 1, and Reza Sregar 2 * School of Economcs, Unversy of Adelade, SA 55, Ausrala Aprl 24 ------------

More information

DOI: 10.18535/ijsshi/v3i2.9

DOI: 10.18535/ijsshi/v3i2.9 The Inernaonal Journal of Socal Scences and Humanes Invenon Volume 3 ssue 2 26 page no.887-89 ISSN: 2349-23 Avalable Onlne A: hp://vallenernaonal.ne/ndex.php/our-jou/hejssh Fscal Polc And Unemplomen In

More information

Ź Ź ł ź Ź ś ź ł ź Ś ę ż ż ł ż ż Ż Ś ę Ż Ż ę ś ź ł Ź ł ł ż ż ź ż ż Ś ę ż ż Ź Ł Ż Ż Ą ż ż ę ź Ń Ź ś ł ź ż ł ś ź ź Ą ć ś ś Ź Ś ę ę ć ż Ź Ą Ń Ą ł ć ć ł ł ź ę Ś ę ś ę ł ś ć ź ś ł ś ł ł ł ł ć ć Ś ł ź Ś ł

More information

Optimal Taxation. 1 Warm-Up: The Neoclassical Growth Model with Endogenous Labour Supply. β t u (c t, L t ) max. t=0

Optimal Taxation. 1 Warm-Up: The Neoclassical Growth Model with Endogenous Labour Supply. β t u (c t, L t ) max. t=0 Opmal Taxaon Reference: L&S 3rd edon chaper 16 1 Warm-Up: The Neoclasscal Growh Model wh Endogenous Labour Supply You looked a lle b a hs for Problem Se 3. Sudy planner s problem: max {c,l,,k +1 } =0 β

More information

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Fnance and Economcs Dscusson Seres Dvsons of Research & Sascs and Moneary Affars Federal Reserve Board, Washngon, D.C. Prcng Counerpary Rs a he Trade Level and CVA Allocaons Mchael Pyhn and Dan Rosen 200-0

More information

Modeling state-related fmri activity using change-point theory

Modeling state-related fmri activity using change-point theory Modelng sae-relaed fmri acvy usng change-pon heory Marn A. Lndqus 1*, Chrsan Waugh and Tor D. Wager 3 1. Deparmen of Sascs, Columba Unversy, New York, NY, 1007. Deparmen of Psychology, Unversy of Mchgan,

More information

This research paper analyzes the impact of information technology (IT) in a healthcare

This research paper analyzes the impact of information technology (IT) in a healthcare Producvy of Informaon Sysems n he Healhcare Indusry Nrup M. Menon Byungae Lee Lesle Eldenburg Texas Tech Unversy, College of Busness MS 2101, Lubbock, Texas 79409 menon@ba.u.edu The Unversy of Illnos a

More information

2. Linear regression with multiple regressors

2. Linear regression with multiple regressors 2. Linear regression with multiple regressors Aim of this section: Introduction of the multiple regression model OLS estimation in multiple regression Measures-of-fit in multiple regression Assumptions

More information

How Much Life Insurance is Enough?

How Much Life Insurance is Enough? How Much Lfe Insurance s Enough? Uly-Based pproach By LJ Rossouw BSTRCT The paper ams o nvesgae how much lfe nsurance proecon cover a uly maxmsng ndvdual should buy. Ths queson s relevan n he nsurance

More information

HEAT CONDUCTION PROBLEM IN A TWO-LAYERED HOLLOW CYLINDER BY USING THE GREEN S FUNCTION METHOD

HEAT CONDUCTION PROBLEM IN A TWO-LAYERED HOLLOW CYLINDER BY USING THE GREEN S FUNCTION METHOD Journal of Appled Mahemacs and Compuaonal Mechancs 3, (), 45-5 HEAT CONDUCTION PROBLEM IN A TWO-LAYERED HOLLOW CYLINDER BY USING THE GREEN S FUNCTION METHOD Sansław Kukla, Urszula Sedlecka Insue of Mahemacs,

More information

TURBULENCE MODELING FOR BEGINNERS

TURBULENCE MODELING FOR BEGINNERS TURBULENCE MODELING FOR BEGINNERS by TONY SAAD UNIVERSITY OF TENNESSEE SPACE INSTITUTE saad@us.edu hp://ed.nows. The purpose of hs ny gude s o summarze he basc conceps of urbulence modelng and o a comple

More information

THE METHOD OF LEAST SQUARES THE METHOD OF LEAST SQUARES

THE METHOD OF LEAST SQUARES THE METHOD OF LEAST SQUARES The goal: to measure (determne) an unknown quantty x (the value of a RV X) Realsaton: n results: y 1, y 2,..., y j,..., y n, (the measured values of Y 1, Y 2,..., Y j,..., Y n ) every result s encumbered

More information

Modèles financiers en temps continu

Modèles financiers en temps continu Modèles fnancers en emps connu Inroducon o dervave prcng by Mone Carlo 204-204 Dervave Prcng by Mone Carlo We consder a conngen clam of maury T e.g. an equy opon on one or several underlyng asses, whn

More information

Working Paper Tracking the new economy: Using growth theory to detect changes in trend productivity

Working Paper Tracking the new economy: Using growth theory to detect changes in trend productivity econsor www.econsor.eu Der Open-Access-Publkaonsserver der ZBW Lebnz-Informaonszenrum Wrschaf The Open Access Publcaon erver of he ZBW Lebnz Informaon Cenre for Economcs Kahn James A.; Rch Rober Workng

More information

Marginal tax rates and tax-favoured pension savings of the self-employed Evidence from Sweden. Håkan Selin

Marginal tax rates and tax-favoured pension savings of the self-employed Evidence from Sweden. Håkan Selin Margnal ax raes and ax-favoured penson savngs of he self-employed Evdence from Sweden Håkan Seln CESfo GmbH Phone: +49 (0 89 9224-1410 Poschngersr. 5 ax: +49 (0 89 9224-1409 81679 Munch E-mal: offce@cesfo.de

More information

CONTROLLER PERFORMANCE MONITORING AND DIAGNOSIS. INDUSTRIAL PERSPECTIVE

CONTROLLER PERFORMANCE MONITORING AND DIAGNOSIS. INDUSTRIAL PERSPECTIVE Copyrgh IFAC 5h Trennal World Congress, Barcelona, Span CONTROLLER PERFORMANCE MONITORING AND DIAGNOSIS. INDUSTRIAL PERSPECTIVE Derrck J. Kozub Shell Global Soluons USA Inc. Weshollow Technology Cener,

More information

GUIDANCE STATEMENT ON CALCULATION METHODOLOGY

GUIDANCE STATEMENT ON CALCULATION METHODOLOGY GUIDANCE STATEMENT ON CALCULATION METHODOLOGY Adopon Dae: 9/28/0 Effecve Dae: //20 Reroacve Applcaon: No Requred www.gpssandards.org 204 CFA Insue Gudance Saemen on Calculaon Mehodology GIPS GUIDANCE STATEMENT

More information

THE USE IN BANKS OF VALUE AT RISK METHOD IN MARKET RISK MANAGEMENT. Ioan TRENCA *

THE USE IN BANKS OF VALUE AT RISK METHOD IN MARKET RISK MANAGEMENT. Ioan TRENCA * ANALELE ŞTIINłIFICE ALE UNIVERSITĂłII ALEXANDRU IOAN CUZA DIN IAŞI Tomul LVI ŞnŃe Economce 009 THE USE IN BANKS OF VALUE AT RISK METHOD IN MARKET RISK MANAGEMENT Ioan TRENCA * Absrac In sophscaed marke

More information

MATURITY AND VOLATILITY EFFECTS ON SMILES

MATURITY AND VOLATILITY EFFECTS ON SMILES 5// MATURITY AND VOLATILITY EFFECTS ON SMILES Or Dyng Smlng? João L. C. Dqe Unversdade Técnca de Lsboa - Inso Speror de Economa e Gesão Ra Mgel Lp,, LISBOA, PORTUGAL Paríca Texera Lopes Unversdade do Poro

More information

Diversification in Banking Is Noninterest Income the Answer?

Diversification in Banking Is Noninterest Income the Answer? Dversfcaon n Bankng Is Nonneres Income he Answer? Kevn J. Sroh Frs Draf: March 5, 2002 Ths Draf: Sepember 23, 2002 Absrac The U.S. bankng ndusry s seadly ncreasng s relance on nonradonal busness acves

More information

Evolution with Individual and Social Learning in an. Agent-Based Stock Market

Evolution with Individual and Social Learning in an. Agent-Based Stock Market Evoluon wh Indvdual and Socal Learnng n an Agen-Based Sock Marke Ryuch YAMAMOTO Brandes Unversy Second Draf May 30, 005 Absrac An agen-based sock marke evolves as agens learn from he pas experence and

More information

Linear Extension Cube Attack on Stream Ciphers Abstract: Keywords: 1. Introduction

Linear Extension Cube Attack on Stream Ciphers Abstract: Keywords: 1. Introduction Lnear Exenson Cube Aack on Sream Cphers Lren Dng Yongjuan Wang Zhufeng L (Language Engneerng Deparmen, Luo yang Unversy for Foregn Language, Luo yang cy, He nan Provnce, 47003, P. R. Chna) Absrac: Basng

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

A Hybrid AANN-KPCA Approach to Sensor Data Validation

A Hybrid AANN-KPCA Approach to Sensor Data Validation Proceedngs of he 7h WSEAS Inernaonal Conference on Appled Informacs and Communcaons, Ahens, Greece, Augus 4-6, 7 85 A Hybrd AANN-KPCA Approach o Sensor Daa Valdaon REZA SHARIFI, REZA LANGARI Deparmen of

More information

Fixed Income Attribution. Remco van Eeuwijk, Managing Director Wilshire Associates Incorporated 15 February 2006

Fixed Income Attribution. Remco van Eeuwijk, Managing Director Wilshire Associates Incorporated 15 February 2006 Fxed Incoe Arbuon eco van Eeuwk Managng Drecor Wlshre Assocaes Incorporaed 5 February 2006 Agenda Inroducon Goal of Perforance Arbuon Invesen Processes and Arbuon Mehodologes Facor-based Perforance Arbuon

More information

Secondary Trading Costs in the Municipal Bond Market

Secondary Trading Costs in the Municipal Bond Market USC FBE FINANCE SEMINAR presened by Larry Harrs FRIDAY, Augus 7, 004 0:30 am :00 pm, Room: JKP-04 Secondary Tradng Coss n he Muncpal Bond Marke Lawrence E. Harrs Mchael S. Pwowar * May 8, 004 * Larry Harrs

More information

Proceedings of the 2008 Winter Simulation Conference S. J. Mason, R. R. Hill, L. Mönch, O. Rose, T. Jefferson, J. W. Fowler eds.

Proceedings of the 2008 Winter Simulation Conference S. J. Mason, R. R. Hill, L. Mönch, O. Rose, T. Jefferson, J. W. Fowler eds. Proceedngs of he 008 Wner Smulaon Conference S. J. Mason, R. R. Hll, L. Mönch, O. Rose, T. Jefferson, J. W. Fowler eds. DEMAND FORECAST OF SEMICONDUCTOR PRODUCTS BASED ON TECHNOLOGY DIFFUSION Chen-Fu Chen,

More information