1,721,021 research outputs found
UNCONDITIONAL DISTURBANCES A NON PARAMETRIC APPROACH
No full textEstimation of Default Probabilities is critical to the correct pricing of credit derivatives and determining the appropriate level of reserves to support credit risky activities (Basel II). Given that credit default swaps (CDS) reflect the market consensus on default probability (with a direct mapping between the two), much research has focused on modelling observable credit spreads as surrogates for default probabilities. Many credit spread models are parametric, causing model error and parameter estimation error.Working in a Merton (1974) type framework, we first consider the equity -- credit link.Having established that equity and bond prices are positively correleated when debt to asset ratios are high, and that prices in the CDS, bond and equity markets adjust simultaneously when there is new information on credit risk, we simulate alternative equity price paths to assess how credit default spreads may have evolved differently from the historical record. While historically a firm may not have defaulted, financial distress may have occurred if the evolution of the equity prices had differed. By simulation of multiple alternative equity price paths, we aim to assess credit default spreads that could have associated with increased default probabilities. This entails the use of a non-parametric simulation approach, suggested by Tompkins and D'Ecclesia (2005) which both matches facets of the empirical stock price path and provides simultations with exactly the same statistical features as the historical record with alternative paths. We determine standardised disturbances from the unconditional historical equity return series and by mixing these disturbances, generate alternative price paths. Such an approach does not require the assumption of normality in the underlying equity return series. However, it is assumed that the relationship between equity prices and credit default swaps is stationary. Using this relationship and the non parametric simulation approach we estimate the default probabilitie
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
Forecasting Accuracy of Implied and GARCH-based Probability Density Functions
No full textRecent research has investigated the ability of option-implied densities to produce unbiased forecasts of the actual price densities of some financial assets. In this paper, for the first time, we assess the incremental predictive power of option-implied density forecasts to that of standard GARCH-based density forecasts
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
Forecasting Accuracy of Implied and GARCH-based Probability Density Functions
No full textRecent research has investigated the ability of option-implied densities to produce unbiased forecasts of the actual price densities of some financial assets. In this paper, for the first time, we assess the incremental predictive power of option-implied density forecasts to that of standard GARCH-based density forecasts
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
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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