Search results

1 – 10 of over 81000
To view the access options for this content please click here
Book part
Publication date: 16 December 2009

Zongwu Cai and Yongmiao Hong

This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of…

Abstract

This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric pricing of derivatives, nonparametric estimation and hypothesis testing for nonlinear pricing kernel, and nonparametric predictability of asset returns. For each financial context, the paper discusses the suitable statistical concepts, models, and modeling procedures, as well as some of their applications to financial data. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and more importantly, the paper points to several aspects that deserve further investigation.

Details

Nonparametric Econometric Methods
Type: Book
ISBN: 978-1-84950-624-3

To view the access options for this content please click here

Abstract

Details

The Theory of Monetary Aggregation
Type: Book
ISBN: 978-0-44450-119-6

To view the access options for this content please click here
Article
Publication date: 9 May 2018

Debarpita Roy

This paper aims to understand housing demand of urban Indian households in terms of housing and household-level characteristics. Because a house is a bundle of certain…

Abstract

Purpose

This paper aims to understand housing demand of urban Indian households in terms of housing and household-level characteristics. Because a house is a bundle of certain characteristics which vary across houses, each characteristic has an implicit price. Finding this implicit price for certain important characteristics is the first objective of this study. The second objective of the paper is to compute the income elasticity and price elasticity of housing demand for these cities.

Design/methodology/approach

To achieve comparable estimates, household-level data from India’s National Sample Survey Organisation housing surveys for the years 2002 and 2008-2009 have been used. A hedonic price function is estimated using ordinary least squares (OLS) and Box-Cox functional forms to estimate the implicit prices of housing characteristics. This exercise is attempted for owned and rented houses separately. Demand function required for computing the elasticities, uses the hedonic price index derived from the implicit prices and household characteristics.

Findings

The study finds housing demand to be income elastic and price inelastic for the six cities across both the time periods.

Originality/value

Firstly, this study includes housing characteristics such as individual access to drinking water, modern sanitation facility, separate kitchen, condition of the structure, existence of a road with street light and whether the house is in a slum or non-slum area in the hedonic price function. These variables were not used in any of the earlier studies pertaining to India. Secondly, it uses the Box-Cox non-linear form to derive the hedonic price function, a specification not used earlier. Thirdly, this is the first study analysing housing demand across the six largest Indian cities.

Details

International Journal of Housing Markets and Analysis, vol. 13 no. 1
Type: Research Article
ISSN: 1753-8270

Keywords

To view the access options for this content please click here
Article
Publication date: 1 April 2000

Fumiyo N. Kondo and Genshiro Kitagawa

Access to daily store level scanner data has been increasingly easier in recent years in Japan and time series analysis based on a sales response model is becoming…

Downloads
2694

Abstract

Access to daily store level scanner data has been increasingly easier in recent years in Japan and time series analysis based on a sales response model is becoming realistic. Introduces a new method of combining time series analysis and regression analysis on the price promotion effect, which enables simultaneous decomposition of store level scanner sales into trend (including seasonality), day‐of‐the‐week effect and explanatory variable effect due to price promotion. The method was applied to daily store level scanner sales of milk, showing evidence of the existence of day‐of‐the‐week effect. Further, a method of incorporating several kinds of price‐cut variables in regression analysis and the analyzed results were presented.

Details

Marketing Intelligence & Planning, vol. 18 no. 2
Type: Research Article
ISSN: 0263-4503

Keywords

To view the access options for this content please click here
Book part
Publication date: 29 May 2009

William A. Barnett and Apostolos Serletis

This chapter is an up-to-date survey of the state-of-the art in consumer demand analysis. We review (and evaluate) advances in a number of related areas, in the spirit of…

Abstract

This chapter is an up-to-date survey of the state-of-the art in consumer demand analysis. We review (and evaluate) advances in a number of related areas, in the spirit of the recent survey paper by Barnett and Serletis (2008). In doing so, we only deal with consumer choice in a static framework, ignoring a number of important issues, such as, the effects of demographic or other variables that affect demand, welfare comparisons across households (equivalence scales), and the many issues concerning aggregation across consumers.

Details

Quantifying Consumer Preferences
Type: Book
ISBN: 978-1-84855-313-2

Keywords

To view the access options for this content please click here

Abstract

Details

The Theory of Monetary Aggregation
Type: Book
ISBN: 978-0-44450-119-6

To view the access options for this content please click here
Article
Publication date: 17 May 2021

Amin Zaheri, Majid Rafiee and Vahid Kayvanfar

This paper aims to study the impact of existence and lack of discount on the relationships between one manufacturer and one retailer under the cooperative and the…

Abstract

Purpose

This paper aims to study the impact of existence and lack of discount on the relationships between one manufacturer and one retailer under the cooperative and the non-cooperative games and the members’ profits are compared.

Design/methodology/approach

In the first approach, the manufacturer’s price function is constant, and in the second approach, this price function is a decreasing function with respect to lot size. These approaches are modeled through three games structure, including two Stackelberg games and one cooperative game.

Findings

Some numerical instances comprising sensitivity analysis are provided, and then the members’ profits in different scenarios are compared. This paper reveals that in the presented models, whether the members are inclined to change their profits.

Practical implications

This paper presents a tool of decision-making for the type of relationships of members in two different circumstances, and an approach is also presented to maximize the members’ profit.

Originality/value

In this paper, the relationships between one manufacturer and one retailer are studied under six different circumstances, where pricing, cooperative advertising and inventory cost are considered simultaneously. Also, a different model is presented to make a balance in individual profits and gain more profit for each member compared to the cooperative and non-cooperative game.

Details

Journal of Modelling in Management, vol. 16 no. 4
Type: Research Article
ISSN: 1746-5664

Keywords

To view the access options for this content please click here
Article
Publication date: 30 September 2014

Chihiro Shimizu, Koji Karato and Kiyohiko Nishimura

The purpose of this article, starting from linear regression, was to estimate a switching regression model, nonparametric model and generalized additive model as a…

Abstract

Purpose

The purpose of this article, starting from linear regression, was to estimate a switching regression model, nonparametric model and generalized additive model as a semi-parametric model, perform function estimation with multiple nonlinear estimation methods and conduct comparative analysis of their predictive accuracy. The theoretical importance of estimating hedonic functions using a nonlinear function form has been pointed out in ample previous research (e.g. Heckman et al. (2010).

Design/methodology/approach

The distinctive features of this study include not only our estimation of multiple nonlinear model function forms but also the method of verifying predictive accuracy. Using out-of-sample testing, we predicted and verified predictive accuracy by performing random sampling 500 times without replacement for 9,682 data items (the same number used in model estimation), based on data for the years before and after the year used for model estimation.

Findings

As a result of estimating multiple models, we believe that when it comes to hedonic function estimation, nonlinear models are superior based on the strength of predictive accuracy viewed in statistical terms and on graphic comparisons. However, when we examined predictive accuracy using out-of-sample testing, we found that the predictive accuracy was inferior to linear models for all nonlinear models.

Research limitations/implications

In terms of the reason why the predictive accuracy was inferior, it is possible that there was an overfitting in the function estimation. Because this research was conducted for a specific period of time, it needs to be developed by expanding it to multiple periods over which the market fluctuates dynamically and conducting further analysis.

Practical implications

Many studies compare predictive accuracy by separating the estimation model and verification model using data at the same point in time. However, when attempting practical application for auto-appraisal systems and the like, it is necessary to estimate a model using past data and make predictions with respect to current transactions. It is possible to apply this study to auto-appraisal systems.

Social implications

It is recognized that housing price fluctuations caused by the subprime crisis had a massive impact on the financial system. The findings of this study are expected to serve as a tool for measuring housing price fluctuation risks in the financial system.

Originality/value

While the importance of nonlinear estimation when estimating hedonic functions has been pointed out in theoretical terms, there is a noticeable lag when it comes to testing based on actual data. Given this, we believe that our verification of nonlinear estimation’s validity using multiple nonlinear models is significant not just from an academic perspective – it may also have practical applications.

Details

International Journal of Housing Markets and Analysis, vol. 7 no. 4
Type: Research Article
ISSN: 1753-8270

Keywords

To view the access options for this content please click here
Book part
Publication date: 13 December 2013

Migiwa Tanaka

Throughout the 1990s, the supply of new condominiums in Tokyo significantly increased while prices persistently fell. This article investigates whether the market power of…

Abstract

Throughout the 1990s, the supply of new condominiums in Tokyo significantly increased while prices persistently fell. This article investigates whether the market power of condominium developers is a factor in explaining the outcome in this market and whether there is a relationship between production cost trend and the degree of market power that the developers were able to exercise. In order to respond to these questions, we construct and structurally estimate a dynamic durable goods oligopoly model of the condominium market – one incorporating time-variant costs and a secondary market – using a nested GMM procedure. We find that the data provide no evidence that firms in the primary market have substantial market power in this industry. Moreover, the counterfactual experiment provides evidence that inflationary and deflationary expectations on production cost trends have asymmetric effects to the market power of condominium producers. The increase in their markup when cost inflation is anticipated is significantly higher than the decrease in the markup when the same magnitude of cost deflation is anticipated.

Details

Structural Econometric Models
Type: Book
ISBN: 978-1-78350-052-9

Keywords

To view the access options for this content please click here
Article
Publication date: 28 August 2019

Fidelio Tata

Traditionally, full-service broker/dealers catering to institutional investors have bundled trade execution with investment research. Since 2018, new market regulation has…

Abstract

Purpose

Traditionally, full-service broker/dealers catering to institutional investors have bundled trade execution with investment research. Since 2018, new market regulation has forced broker/dealers to unbundle and to sell research separately. The purpose of this paper is to shed some light on the expected pricing of research.

Design/methodology/approach

A stylized model is presented in this study in which a monopolist fixed income, currencies and commodities (FICC) research provider faces a linear demand function and picks an appropriate price schedule.

Findings

It is shown that it is important to initiate the price discovery process using a low price and that some broker/dealers will not be able to identify a regulatory compliant price/quantity solution because their research-production fixed cost is very high compared to the research demand function they face.

Practical implications

There are three main findings from our model: pricing research at cost is not always possible; if there is a unique solution, an iterative approach only works when starting off with a low-enough initial price; and if there are two solutions, only the low-cost/high-volume solution can be discovered in an iterative process.

Originality/value

The results presented are important to broker/dealers about to discover the market demand for their FICC research publications on the back of the implementation of MiFID II. Having distributed FICC research for free in the past, they have no knowledge about the demand function (other than what is demanded at a price of zero). Because research publications are highly differentiated products, observing the pricing of competitors is insufficient. Iteratively gaining knowledge about the demand function using price adjustments and customer questionnaires becomes the most likely mean for discovering the demand function. It is important to initiate the price discovery process with a low price. Some broker/dealers will not be able to identify a regulatory compliant price/quantity solution because their research-production fixed cost is too high compared to the research demand function they face. Finally, it is shown that these broker/dealers with two possible equilibriums face difficulty in identifying the high-price/low-volume research equilibrium because of the non-converging nature of the iterative process.

Details

Journal of Financial Regulation and Compliance, vol. 28 no. 1
Type: Research Article
ISSN: 1358-1988

Keywords

1 – 10 of over 81000