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Article
Publication date: 1 February 1999

D.S. Malik and John N. Mordeson

In this paper, we define and examine the concept of a fuzzy recognizer. If L(M) is the language recognized by an incomplete fuzzy recognizer M, we show that there is a…

Abstract

In this paper, we define and examine the concept of a fuzzy recognizer. If L(M) is the language recognized by an incomplete fuzzy recognizer M, we show that there is a completion M of M such that L(M) = L(M). We also show that if A is a recognizable set of words, then there is a complete accessible fuzzy recognizer MA such that L(MA) = A. We lay groundwork to determine rational decompositions of recognizable sets.

Details

Kybernetes, vol. 28 no. 1
Type: Research Article
ISSN: 0368-492X

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Book part
Publication date: 29 February 2008

Francesco Ravazzolo, Richard Paap, Dick van Dijk and Philip Hans Franses

This chapter develops a return forecasting methodology that allows for instability in the relationship between stock returns and predictor variables, model uncertainty…

Abstract

This chapter develops a return forecasting methodology that allows for instability in the relationship between stock returns and predictor variables, model uncertainty, and parameter estimation uncertainty. The predictive regression specification that is put forward allows for occasional structural breaks of random magnitude in the regression parameters, uncertainty about the inclusion of forecasting variables, and uncertainty about parameter values by employing Bayesian model averaging. The implications of these three sources of uncertainty and their relative importance are investigated from an active investment management perspective. It is found that the economic value of incorporating all three sources of uncertainty is considerable. A typical investor would be willing to pay up to several hundreds of basis points annually to switch from a passive buy-and-hold strategy to an active strategy based on a return forecasting model that allows for model and parameter uncertainty as well as structural breaks in the regression parameters.

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

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Book part
Publication date: 18 July 2016

Virginia M. Miori, Zhenpeng Miao and Yingdao Qu

This is the third in a series of papers aimed at providing models effective in predicting the degree of pain and discomfort in canines. The first two papers provided…

Abstract

This is the third in a series of papers aimed at providing models effective in predicting the degree of pain and discomfort in canines. The first two papers provided benchmarking and examination of dogs suffering from osteoarthritis (OA). In this chapter, we extend the study to include dogs suffering from OA, sarcoma, and oral mucositis (a side effect of chemotherapy and radiation treatments). The R programming language and SAS JMP are used to clean data, generate ANOVA, LSR regression, decision tree, and nominal logistic regression models to predict changes in activity levels associated with the progression of arthritis. The predictive models provide a diagnostic basis for determining the degree of disease in a dog (based on demographics and activity levels) and provide forecasts that assist in establishing appropriate medication dosages for suffering dogs.

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Advances in Business and Management Forecasting
Type: Book
ISBN: 978-1-78635-534-8

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Article
Publication date: 29 April 2021

Joao Campos, Vitor Braga, Aldina Correira, Vanessa Ratten and Carla Marques

Public policies provide a way for governments to influence the effectiveness of business strategies in the international marketplace. The main goal of this article is to…

Abstract

Purpose

Public policies provide a way for governments to influence the effectiveness of business strategies in the international marketplace. The main goal of this article is to show the importance of key aspects for policymaking at the national level and, secondly, to try to evaluate if public policies and programmes are effective in the entrepreneurship and internationalization of firms.

Design/methodology/approach

The Global Entrepreneurship Monitor (GEM) data set was used to perform a multivariate analysis through multiple linear regression.

Findings

The economic and financial crisis that has plagued the world recently has incentivized entrepreneurs to be more creative and encouraged policymakers to be more effective in the important role they can play in economic growth. Thus, the findings indicate that government support can help firms be more entrepreneurial and increase their level of internationalization in the marketplace. The findings indicate that entrepreneurship is an important growth factor, so it is important to understand government support can be effective in stimulating business activity.

Research limitations/implications

This study focusses on perceptions of government policy based on the GEM database, which means it is limited to subjective assessments rather than objective measures.

Practical implications

The findings of this study will help business managers focus on their country of origin as a way to stress the impact of government policies on reputation in the international marketplace.

Social implications

Governments need to acknowledge how their entrepreneurial policies regarding innovation and internationalization affect business success rate. This means emphasizing the trustworthiness and credibility of their policies.

Originality/value

This article highlights the need for more entrepreneurial policymaking that emphasizes government reputational affects in the success rate of firms in the international marketplace. This provides a way for firms to gain better recognition from country-of-origin effects but also for policymakers to prioritize international strategic efforts. By comparing data from different countries, the article highlights the different ways government policy can be utilized strategically in order to increase entrepreneurship and internationalization rates.

Details

Journal of Entrepreneurship and Public Policy, vol. 10 no. 4
Type: Research Article
ISSN: 2045-2101

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Article
Publication date: 27 September 2021

Manogna RL and Aswini Kumar Mishra

The phenomenon known as financialization of commodities, arising from the speculation in commodity derivatives market, has raised serious concerns in the recent past. This…

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40

Abstract

Purpose

The phenomenon known as financialization of commodities, arising from the speculation in commodity derivatives market, has raised serious concerns in the recent past. This has prompted distortion in agricultural commodity prices driving them away from rational levels of supply and demand shocks. In the backdrop of financialized commodities leading to increase in price of agricultural products and their interaction with equity markets, the authors examine the investment of institutional investors in impacting the agricultural returns. The paper aims to focus on the financial mechanism that drives extreme values and the mean of agricultural returns.

Design/methodology/approach

The authors employ the Threshold AutoRegressive Quantile (TQAR) methodology to find evidence of linkages between the Indian agricultural and equity markets from January 2010 to May 2020 consistent with the rise in inflows of institutional investors in agricultural markets.

Findings

The results reveal that the investors impact the agricultural commodity markets strongly when the composite commodity index value (COMDEX) is low. Additionally, in the lower extreme quantiles (0.25) of agricultural returns, the integration between the equity index and agricultural returns is found to be highly significant compared to insignificant values in the higher quantiles (0.75 and 0.95) in both the regimes. The results suggest that low values of agricultural commodities are more closely linked to equity indices when composite commodity index value is low. This implies that, at the lower quantiles of COMDEX return (bad day), the investors move to the stock market. In that way, the commodity index returns are seen to be as a strong channel for the financialization of Indian agricultural commodities and suggesting potential involvement of investors during those regime.

Research limitations/implications

Regulators need to anticipate the price fluctuations in spot and futures markets. Investors in commodity markets need to strengthen risk awareness to carry out portfolio strategies.

Practical implications

From policy perspective, it is of pivotal importance to enhance the understanding of the financialization of agricultural products. The findings provide reference measures to stabilize the commodity markets, alleviate price distortions and carry out further evidence of price discovery and risk management in Indian commodity markets.

Originality/value

To the best of the authors’ knowledge, this study is the first to highlight the potential influence of financial markets on the financialization of agricultural commodities in an emerging economy like India.

Details

International Journal of Social Economics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0306-8293

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Article
Publication date: 21 June 2021

Abdelkader Derbali, Kamel Naoui and Lamia Jamel

The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold.

Abstract

Purpose

The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold.

Design/methodology/approach

This paper offers a crucial viewpoint to the predictive capacity of COVID-19 surprises and production pronouncements for the dynamic conditional correlation (DCC) among Bitcoin and Gold returns and volatilities using generalized autoregressive conditional heteroskedasticity-DCC-(1,1) through the period of study since July 1, 2019 to June 30, 2020. To assess the unexpected impact of COVID-19, this study pursues the Kuttner’s (2001) methodology.

Findings

The empirical findings indicate strong important correlation among Bitcoin and Gold if COVID-19 surprises are integrated in variance. This study validates the financialization hypothesis of Bitcoin and Gold. The correlation between Bitcoin and Gold begin to react significantly further in the case of COVID-19 surprises in USA than those in China.

Originality/value

This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between Bitcoin and Gold. This paper gives for the first time an approach to capture the COVID-19 surprise component. Also, this study helps to improve financial backers and policymakers' comprehension of the digital currencies' market elements, particularly in the hours of amazingly unpleasant and inconspicuous occasions.

Details

Pacific Accounting Review, vol. 33 no. 5
Type: Research Article
ISSN: 0114-0582

Keywords

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Book part
Publication date: 8 November 2021

Surachai Chancharat and Julaluk Butda

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This…

Abstract

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or negative ways. The empirical results show that the lagged returns inversely affect their current returns in oil. Based on the return spillovers between Bitcoin and gold, the empirical results indicate a unidirectional return spillover from Bitcoin to gold. Moreover, the authors found a unidirectional return transmission is observed from oil to Bitcoin, implying that oil returns are useful in forecasting Bitcoin returns. These findings are not only valuable for understanding of the interrelationships between the returns of Bitcoin, gold, and oil, but they are also of great interest to portfolio managers, investors, and investment funds that are actively dealing in Bitcoin, gold, and oil.

Details

Environmental, Social, and Governance Perspectives on Economic Development in Asia
Type: Book
ISBN: 978-1-80117-594-4

Keywords

Content available
Article
Publication date: 14 August 2020

Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar and Ali Lamouchi

This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic…

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513

Abstract

Purpose

This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018.

Design/methodology/approach

To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018.

Findings

The authors’ results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises.

Originality/value

This study is a crucial topic for policymakers and portfolio risk managers.

Details

Journal of Capital Markets Studies, vol. 4 no. 1
Type: Research Article
ISSN: 2514-4774

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Article
Publication date: 8 October 2020

Mouna Youssef and Khaled Mokni

This study aims to test the presence of herding behavior in commodity markets, including energy, metals and agriculture. Additionally, the authors investigate the possible…

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168

Abstract

Purpose

This study aims to test the presence of herding behavior in commodity markets, including energy, metals and agriculture. Additionally, the authors investigate the possible asymmetric effect of oil price changes on the herding behavior in these markets.

Design/methodology/approach

The authors examine herding based on the cross-sectional absolute deviation (CSAD) model in a static and time-varying perspective.

Findings

By using daily data over the period 2003–2017, the authors’ findings firstly support the dynamic nature of investor behavior in commodity markets, which oscillates between antiherding during the normal period and herding during and after the global financial crisis of 2008. Furthermore, results highlight that the asymmetric impact of oil shocks on herding differs across commodity sectors and periods. Additionally, herding seems to be more pronounced when the oil market declines, which may be due to the pessimistic investors' sentiments.

Practical implications

This study provides insight into what factors influence herd behavior in commodity markets. The understanding of factors driving herding aids investors to avoid the impact of this behavior and its consequences

Originality/value

To the authors’ knowledge, this study is the first to examine whether the level of herding depends on the oil price fluctuations, as well as the asymmetric effect of the oil price on herding behavior in commodity markets.

Details

Managerial Finance, vol. 47 no. 4
Type: Research Article
ISSN: 0307-4358

Keywords

Content available
Article
Publication date: 23 August 2019

Luciano Campos

This paper aims to estimate the impact of the 2000s commodity boom in the major Latin American economies.

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1040

Abstract

Purpose

This paper aims to estimate the impact of the 2000s commodity boom in the major Latin American economies.

Design/methodology/approach

The author used a structural vector autorregresive analysis where the selection of variables is conditional on a New Keynesian Model for a small open economy.

Findings

The evidence indicates that the Argentinean nominal exchange rate appreciated less while its output and inflation grew more than those of the other nations when subjected to commodity shocks. These results are interpreted as a more aggressive leaning-against-the-wind intervention by Argentina, probably to avoid the Dutch disease. Although the effects with regard to output were indeed stronger in Argentina, this was only at the expense of higher inflation and volatility suffered during the boom.

Originality/value

At the time of the writing of this paper, no work had evaluated Argentinean underperformace to the manner in which its exchange rate policy was handled in comparison with the rest of the region during the boom. This paper intends to fill this gap.

Details

Applied Economic Analysis, vol. 27 no. 79
Type: Research Article
ISSN: 2632-7627

Keywords

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