1,720,991 research outputs found
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
Get PDFWe 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
One-day prediction of state of turbulence for financial instrument based on models for binary dependent variable
No full textW artykule przedstawiono propozycję modeli prognozowania stanów dla instrumentu finansowego w horyzoncie jednodniowym. W badaniu poddano analizie modele zakładające: jeden z trzech modeli dla zmiennej binarnej (logitowy, probitowy oraz cloglog), cztery definicje zmiennej zależnej (20%, 10%, 5% oraz 1% najgorszych realizacji stopy zwrotu) oraz trzy różne zbiory zmiennych niezależnych (dane nieprzekształcone, główne składowe z analizy PCA oraz czynniki z analizy czynnikowej). Ponadto w badaniu przeprowadzono analizę wyboru optymalnego punktu odcięcia. Ocena modeli została wykonana na podstawie testów LR i Hosmera-Lemeshowa oraz analizy parametru GINI i kryterium KROC. Na podstawie wyników badania empirycznego ustalono dziewięć kombinacji założeń, dla których modele stanu turbulencji spełniają określone w badaniu wymogi formalne oraz charakteryzują się wysoką zdolnością prognostyczną i dyskryminacyjną.This paper proposes an approach to predict states (states of tranquillity and turbulence) for a financial instrument in a one-day horizon. The prediction is made using 3 different models for a binary variable (LOGIT, PROBIT, CLOGLOG), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of worst realization of returns), 3 sets of independent variables (untransformed data, PCA analysis and factor analysis). Additionally an optimal cut-off point analysis is performed. The evaluation of the models was based on the LR test, Hosmer-Lemeshow test, GINI coefficient analysis and KROC criterion based on the ROC curve. Nine combinations of assumptions have been chosen as appropriate (any model for a binary variable, the dependent variable defined as 1%, 5% or 10% of worst realization of returns, untransformed data, 1%, 5% or 10% cut-off point respectively). Models built on these assumptions meet all the formal requirements and have a high predictive and discriminant ability
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe 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
Czy zastosowanie rozkładów lognormalnego, Weibulla lub Gamma może poprawić prognozy wartości narażonej na ryzyko uzyskiwane na podstawie modeli EWS-GARCH?
No full textIn the study, two-step EWS-GARCH models to forecast Value-at-Risk are analysed. The following models were considered: the EWS-GARCH models with lognormal, Weibull or Gamma distributions as a distributions in a state of turbulence, and with GARCH(1,1) or GARCH(1,1) with the amendment to empirical distribution of random error models as models used in a state of tranquillity.
The evaluation of the quality of the Value-at-Risk forecasts was based on the Value-at-Risk forecasts adequacy (the excess ratio, the Kupiec test, the Christoffersen test, the asymptotic test of unconditional coverage and the backtesting criteria defined by the Basel Committee) and the analysis of loss functions (the Lopez quadratic loss function, the Abad & Benito absolute loss function, the 3rd version of Caporin loss function and the function of excessive costs). Obtained results show that the EWSGARCH models with lognormal, Weibull or Gamma distributions may compete with EWS-GARCH models with exponential and empirical distributions. The EWS-GARCH model with lognormal, Weibull or Gamma distributions are relatively less conservative, but using them is less expensive than using the other EWS-GARCH models.W badaniu analizie poddane zostały dwustopniowe modele EWS-GARCH służące do prognozowania wartości narażonej na ryzyko. W ramach analizy rozpatrywane były modele EWS-GARCH zakładające rozkłady lognormalny, Weibulla oraz Gamma w stanie turbulencji oraz modele GARCH(1,1) i GARCH(1,1) z poprawką na rozkład empiryczny w stanie spokoju. Ocena jakości prognoz Value-at-Risk uzyskanych na podstawie wspomnianych modeli została przeprowadzona na podstawie miar adekwatności (wskaźnik przekroczeń, test Kupca, test Christoffersena, test asymptotyczny bezwarunkowego pokrycia oraz kryteria backtestingu określone przez Komitet Bazylejski) oraz analizy funkcji strat (kwadratowa funkcja straty Lopeza, absolutna funkcja straty Abad i Benito, 3 wersja funkcji straty Caporina oraz funkcja nadmiernych kosztów). Uzyskane wyniki wskazują, że modele EWS-GARCH z rozkładem lognormalnym, Weibulla lub Gamma mogą konkurować z modelami EWS-GARCH z rozkładem wykładniczym lub empirycznym. Modele EWS-GARCH z rozkładem lognormalnym, Weibulla lub Gamma są nieco mniej konserwatywne, jednocześnie jednak koszt ich stosowania jest mniejszy niż modeli EWS-GARCH z rozkładem wykładniczym lub empirycznym
Market risk measuring using Value at Risk - two-step approach
No full textPraca dotyczy oceny jakości prognoz Value at Risk uzyskiwanych na podstawie modeli EWS-GARCH. Modele klasy EWS-GARCH prognozują wartość Value at Risk w dwóch etapach. Najpierw prognozowany jest jeden z dwóch stanów, a następnie, na podstawie modelu dla prognozowanego stanu, szacowana jest wartość Value at Risk. Przeprowadzona w badaniu analiza została wykonana na podstawie stóp zwrotu wybranych aktywów z Giełdy Papierów Wartościowych w Warszawie. Uzyskane wyniki wskazują, że modele EWS-GARCH mogą podnosić jakości prognoz Value at Risk otrzymywanych na podstawie modeli benchmarkowych zarówno według kryterium konserwatywnego, jak i kryterium adekwatności. Wybór optymalnych założeń powinien być wypadkową oczekiwanego poziomu adekwatności, konserwatyzmu oraz kosztowności stosowanego modelu.The aim of my study was to evaluate the EWS-GARCH models in terms of the quality of the Value at Risk (further also: VaR) forecasts derived from them. The EWS-GARCH models are two-step models. In the first step, a model to predict the state (state of tranquility or turbulence) of the analyzed portfolio is estimated. In the second step, two different models (for each of portfolio states) for the level of the market risk calculation are estimated. The assessment of the Value at Risk predictions quality was based on the comparison between forecasts for different EWS-GARCH and benchmark models (GARCH(1,1), EGARCH(1,1,1), GARCH-t(1,1), GARCH(1,1) with the empirical distribution of returns correction and EGARCH (1,1,1) with the empirical distribution of returns correction). Searching for the optimal model to predict the Value at Risk measure is important because of the international regulations concerning market risk management in banks (and other financial institutions), such as Basel II or CRD IV package.
The study was conducted for 79 different shares listed on the Warsaw Stock Exchange. The shares were chosen randomly. The only condition to be met was that the shares had been listed on the Warsaw Stock Exchange since at least January 2006. The study covered the period from 1 January 2006 to 31 January 2012.
The quality of the Value at Risk predictions obtained from the analyzed models was evaluated based on the following criteria: the Value at Risk exceedances ratio, cost functions (i.e. Lopez & Abad functions), Basel II back-testing procedure and conditional & unconditional coverage tests. Additionally, the stressed Value at Risk measure analysis were performed.
The results indicate that the EWS-GARCH models can improve the quality of the Value at Risk forecasts in comparison to the Value at Risk forecasts obtained from the benchmark models. The final selection of the best assumptions for the EWS-GARCH models may be performed with respect to predictions accurateness (the relation between the ratio of VaR exeedances and assumed 1% of exeedances) or predictions safety (decreasing the ratio of VaR exeedances). The results obtained show that the use of the EWS-GARCH models can raise the conservatism of the Value at Risk predictions in comparison to the benchmark models without increasing, at the same time, costs associated with the market risk. Additionally, for the EWS-GARCH models with the GARCH(1,1) model, as the model for the state of tranquility, it is also possible to obtain more accurate Value at Risk predictions than for the benchmark models
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