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1 – 10 of 16The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency…
Abstract
The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency domain form of the model for a fractional process. This representation is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter
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Kirstin Hubrich and Timo Teräsvirta
This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression…
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This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression (VSTR) models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary VTR and VSTR models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.
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Michel Beuthe, Christophe Bouffioux, Cathérine Krier and Michel Mouchart
Michel Beuthe, Christophe Bouffioux, Cathérine Krier and Michel Mouchart
The chapter briefly reviews the eight volumes in my Legend series – organizational buying behavior, consumer behavior, product and new product management, marketing strategy…
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The chapter briefly reviews the eight volumes in my Legend series – organizational buying behavior, consumer behavior, product and new product management, marketing strategy, market segmentation, global marketing, marketing research and modeling, and the future of marketing. In addition, the chapter highlights the three driving forces of much of my research: (a) the real world challenges facing corporations and organizations, (b) the search for new methodological developments, and (c) the continuous challenge of the prevailing marketing concepts and approaches. The chapter concludes with some reflections on the evolution of marketing in the past five decades and my wish list for the discipline and my future activities.
Torbjörn Jansson and Thomas Heckelei
Estimating parameters of constrained optimization models in a consistent way requires a different set of methods than what is available in a typical econometric toolkit. We…
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Estimating parameters of constrained optimization models in a consistent way requires a different set of methods than what is available in a typical econometric toolkit. We identify three complications likely to arise in this context, and suggest solutions to those complications: (i) the bi-level programming character, (ii) ill-posedness, and (iii) derivation of estimator properties. The solutions suggested involve a combination of numerical techniques and utilization of out-of-sample information through Bayesian techniques. The proposed framework is also suitable for typical empirical problems arising in trade analysis such as the estimation of trade equilibrium models and data balancing exercises.
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Lanqing Du, Jinwook Lee, Namjong Kim, Paul Moon Sub Choi and Matthew J. Schneider
Should we include cryptocurrency in risky portfolio investing? Bitcoin, given its status as the leader of cryptocurrencies and a speculative asset due to its non-dividend-paying…
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Should we include cryptocurrency in risky portfolio investing? Bitcoin, given its status as the leader of cryptocurrencies and a speculative asset due to its non-dividend-paying trait and high volatility as well as high returns, poses an interesting question whether it can also be beneficial in a portfolio of risky assets. In order to find an answer, we revisit the conventional dual objective of minimizing risk and maximizing expected return for risky assets. Various models are tested to analyze the risk-return trade-off of risky portfolios including Bitcoin. Given an initial budget for a finite portfolio, the cumulative filtration yields the expected return and the covariance matrix. With the addition of Bitcoin, we compare the performance of the portfolio generated from the optimization models and technical analysis. The main implications are follows: (1) risk tolerance and diversification constraints are the key factors in portfolio optimization; (2) including cryptocurrency enhances portfolio returns; and (3) the Markowitz model (Kataoka’s and conditional value-at-risk models) recommends to fully weigh (unload) Bitcoin in (from) the portfolio.
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In recent years, the airline industry has been growing and transforming rapidly in the Asia-Pacific area. This study analyzes and benchmarks the comparative operational…
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In recent years, the airline industry has been growing and transforming rapidly in the Asia-Pacific area. This study analyzes and benchmarks the comparative operational efficiencies of the major Asian air carriers. Data envelopment analysis model and disaggregate output efficiency measures are used to evaluate the operational efficiencies of 31 Asian airlines from 2015 to 2019. The findings suggest that nonflag carriers, low-cost carriers, and high-income regions' carriers have significantly higher levels of efficiency than flag carriers, full-service carriers, and low-income regions' carriers in overall, revenue, and passenger traffic efficiencies. The efficiencies between alliance carriers and nonalliance carriers along with those of ASEAN and non-ASEAN carriers are not significantly different.
N.K. Kwak, Yong Soo Chun and Seongho Kim
Data Envelopment Analysis (DEA) is a nonparametric mathematical programming technique used to measure the relative efficiency of the production organization's operations. This…
Abstract
Data Envelopment Analysis (DEA) is a nonparametric mathematical programming technique used to measure the relative efficiency of the production organization's operations. This paper presents the theoretical measures of the railway systems, along with the bootstrap DEA analysis. A DEA model is applied to evaluate the relative efficiency of railway operations of 29 UIC (Union Internationale des Chemins de fer) countries, based on the data obtained from the International UIC publications. The bootstrap DEA analysis provides information (bias estimates) on the sensitivity of the DEA efficiency index to the sampling variations. The model results are analyzed and evaluated in terms of their relative operational performance efficiency. The model results facilitate an organization's decision-making by providing valuable information.