1,721,441 research outputs found
Contributions to Bayesian inference for economic and financial applications
Full text linkThe present PhD dissertation consists of two independent job-market papers, therefore each chapter represents an article with its own conclusions. In both studies I introduce innovative statistical models aimed to be applied to the economic and financial data. A detailed description of the related inference and applications is provided.
In the first paper, under the supervision of Professor Brunero Liseo (Sapienza University of Rome), I consider situations where a model for ordered categorical response variable is necessary. In this case the interest of the analysis lies in the shift of the predicted discrete ordered outcome distribution as one or more of the regressors change, i.e., marginal probability effects. Therefore the questions to be addressed are focused not on the scale of each variable, but rather on the association between variables themselves. Standard ordered response models may not be very suited to perform this analysis, being these effects to a large extent predetermined by the rigid parametric structure of the
model. More specifically, in the case of normally distributed data, it is possible to address these issues by the multivariate normal and linear regression models. In this work I use the rank likelihood in non Gaussian situations and show how additional flexibility can be gained by modeling individual heterogeneity by means of a latent class structure. I extend the rank likelihood approach to Generalized Linear
Mixed Effects models' framework which is therefore suitable for longitudinal data applications.
The Bayesian approach using Markov Chain Monte Carlo (MCMC) is adopted.
The performance of the model is illustrated in the context of sovereign credit ratings and Corruption Perception Index modeling and forecasting.
The second study is entitled A Mixture of Heterogeneous Models with Time Dependent Weights. This part of dissertation has been developed and done while I was spending a visiting period at the Statistical and Applied Mathematical Institute, under the supervision of Professor Brunero Liseo and Dr Christian Macaro (SAS Institute).
Understanding stock market volatility is a major task for market analysts, policy makers, economists and investors. However, inference in financial and economic models can be challenging due to the fact that an explicit dependence order between observations is added: a time dimension. Some of the existing approaches aim to address these challenges by using ARMA, GARCH, Dynamic Linear Models and many others. In this work, I provide an alternative way to model and predict these data using a mixture of heterogeneous models with mixing weights characterized by an autoregressive structure. In comparison to the static mixture, the models I introduce are based on time-dependent weights which allows one to learn how the data-generating mechanism changes over time. The resulting dynamic mixtures aim to model the composition of the stock market data. A Bayesian approach is adopted and the Metropolis-Hastings within Gibbs sampling technique is used. Through extensive analysis in both observed and simulated data settings, I show all the benefits the dynamic mixture model has over its static counterpart. I illustrate this performance in the context of the stock market expectation of a 30-day forward-looking volatility expressed by the volatility index VIX
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
A Parisi Formula for Quantum Spin Glasses
Full text linkWe establish three equivalent versions of a Parisi formula for the free
energy of mean-field spin glasses in a transversal magnetic field. These
results are derived from available results for classical vector spin glasses by
an approximation method using the functional integral representation of the
partition function. In this approach, the order parameter is a non-decreasing
function with values in the non-negative, real hermitian Hilbert-Schmidt
operators. For the quantum Sherrington-Kirkpatrick model, we also show that
under the assumption of self-averaging of the self-overlap, the optimising
Parisi order parameter is found within a two-dimensional subspace spanned by
the self-overlap and the fully stationary overlap
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
La prima espansione commerciale delle cartiere Miliani Fabriano riletta attraverso l'analisi strategica, in Paesaggi italiani della protoindustria. Luoghi e processi della produzione dalla storia al recupero
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koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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