1,720,956 research outputs found
An Empirical Analysis of the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios
No full textSoftcover, 202 S.: 24,00 €Softcover, 17x24State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance. The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios
Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques
No full textThis paper investigates the time-varying behavior of systematic risk for 18 pan-European sectors. Using weekly data over the period 1987-2005, six different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman filter (KF)-based approaches, a bivariate stochastic volatility model estimated via the efficient Monte Carlo likelihood technique as well as two Markov switching models. A comparison of ex-ante forecast performances of the different models indicate that the random walk process in connection with the KF is the preferred model to describe and forecast the time-varying behavior of sector betas in a European context
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
Anwendungen moderner Zeitreihenverfahren zur Analyse zeitvariabler Zusammenhänge zwischen gesamtwirtschaftlichen Entwicklungen, Fundamentaldaten und europäischen Branchenportfolios
No full textUntersuchungsgegenstand der vorliegenden
Arbeit ist die Modellierung zeitvariabler Zusammenhänge an den
internationalen Finanzmärkten. Das Interesse an der Anwendung
moderner Zeitreihenverfahren zur expliziten Modellierung
struktureller Veränderungen ist in den letzten Jahren
kontinuierlich gestiegen. Dennoch gehören komplexere Methoden, wie
zum Beispiel der Kalman Filter oder
Markov-Regime-Switching-Modelle, nach wie vor nicht zum
Standardrepertoire der angewandten Wirtschaftswissenschaften. Um
eine dieser Anwendungslücken zu schließen, werden die
vielschichtigen Zusammenhänge zwischen gesamtwirtschaftlichen
Entwicklungen, Fundamentaldaten und europäischen Branchenportolios
empirisch analysiert. Die Zielsetzung besteht in einem verbesserten
Verständnis realwirtschftlicher Phänomene, wobei der Schwerpunkt
auf drei zentralen Forschungszielen liegt: 1. Herleitung der
theoretischen Grundlagen in einheitlicher Notation. Im
theoretischen Teil der Arbeit wird die Methodologie zur Analyse
zeitvariabler Zusammenhänge zwischen Branchenrenditen und
etablierten systematischen Risikofaktoren thematisiert. Das
ökonometrische Instrumentarium umfasst ein breites Spektrum:
Gauß'sche Zustandsraummodelle in Verbindung mit dem Kalman Filter,
Markov-Regime-Switching-Modelle, lineare und nichtlineare GARCH
Modelle sowie Stochastische Volatilitätsmodelle, welche mit Hilfe
der effiziente Monte Carlo Likelihood-Methode geschätzt werden. Die
Darstellung der theoretischen Grundlagen in einheitlicher Notation
eröffnet einen intuitiven methodischen Zugang, ohne sich mit der
für die jeweilige Disziplin typischen Terminologie
auseinanderzusetzen zu müssen. 2. Vergleichende Analyse
alternativer Ansätze zur Modellierung des zeitvariablen
Marktrisikos. In einer umfassenden Studie, basierend auf
Wochenrenditen über den Zeitraum 1987-2005, wird die Eignung der
unterschiedlichen Verfahren zur Erfassung und Prognose der
dynamischen Entwicklung systematischer Marktrisiken analysiert.
Gemäß der jeweils beobachteten ex-ante Prognosefähigkeit der
verschiedenen Modellierungsansätze liefert das Kalman Filter
basierte Random Walk Modell die beste Beschreibung des Pfades
zeitvariabler Branchenbetas. 3. Evaluierung der praktischen
Relevanz. Mit Hilfe diverser Backtests wird untersucht, ob die
explizite Berücksichtigung der zeitvariablen Bedeutung
makroökonomischer und fundamentaler Informationen für die
Entwicklung europäischer Branchenportfolios in verbesserten
Renditeprognosen resultiert. Hierzu wird über eine Out-Of-Sample
Periode von zehn Jahren ein bedingtes Multifaktorenmodell, welches
auf makroökonomischen und fundamentalen Faktoren sowie einem
Marktresidualfaktor beruht, betrachtet. Die stochastischen Prozesse
bedingter Sensitivitäten werden dabei als individuelle Random Walks
modelliert. Insgesamt deuten die Ergebnisse an, daß Zeitvariablität
bei der Ableitung von Renditeprognosen wichtiger ist als bei der
Analyse von Portfoliorisiken.This thesis is concerned with the modeling
of time-varying sensitivities in financial markets. Although
interest in applying advanced time series techniques, such as the
Kalman filter and Markov regime switching models, to the explicit
modeling of structural changes has increased in recent years, the
application of these concepts on a broad scale is still
underdeveloped. The thesis contributes an empirical analysis of the
complex relationship between macroeconomics, fundamentals and
European industry portfolios. The objective is to provide an
improved understanding and modeling of these phenomena. The three
major research objectives are: 1. Provide a notationally
conformable theoretical framework. The theoretical part
introduces the methodology to analyze the time-varying relationship
between common systematic risk factors and sector returns. The
econometric toolbox comprises a wide range of contemporary time
series techniques of different, and often non-economic, origin:
Gaussian state space models and the Kalman filter, Markov regime
switching models, linear and nonlinear GARCH models, and stochastic
volatility models. These various concepts are presented in a
unified notational framework, thereby making them accessible to
applied researchers, who are thus relieved of the burden of having
to deal with the diverse notation conventions that apply to the
disciplines in which the models were originally developed. 2.
Analyze which modeling technique is best able to model and forecast
time-varying systematic market beta risk. The respective
ability of various techniques to model and forecast the
time-varying behavior of systematic market risk is compared in a
comprehensive study. Using weekly data over the period 1987-2005,
time-variation in beta is modeled by a bivariate t-GARCH(1,1)
model, a bivariate stochastic volatility model estimated via
efficient Monte Carlo likelihood, four Kalman filter based
approaches as well as two Markov switching models. The different
models' ex-ante forecast performances indicate that the Kalman
filter based random walk process is the preferred model to describe
and forecast the time-varying behavior of sector betas in a
European context. 3. Evaluate the practical relevance of taking
time-variation in factor sensitivities explicitly into account.
We investigate whether an explicit consideration of the
time-varying importance of macroeconomics and fundamental
information on European sectors can be exploited in a profitable
way. For this purpose, a conditional multifactor pricing model is
considered. Covering an out-of-sample period of ten years, three
macroeconomic factors, two fundamental factors, and a market factor
are employed as systematic risk factors. The stochastic processes
of conditional betas are modeled as individual random walks. The
question whether employing conditional factor loadings to derive
return forecasts leads to more profitable portfolios is examined
based on a series of backtests. The main results of this
contribution indicate that time-varying betas carry implications
for the prediction of returns, and less so for the analysis of
risk
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
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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