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Book part
Publication date: 21 November 2014

Igor Vaynman and Brendan K. Beare

The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and…

Abstract

The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and misspecification-robust alternative to the quasi-maximum likelihood estimator (QMLE). In this paper we investigate the asymptotic behavior of the VTE when the stationary distribution of the GARCH process has infinite fourth moment. Existing studies of historical asset returns indicate that this may be a case of empirical relevance. Under suitable technical conditions, we establish a stable limit theory for the VTE, with the rate of convergence determined by the tails of the stationary distribution. This rate is slower than that achieved by the QMLE. The limit distribution of the VTE is nondegenerate but singular. We investigate the use of subsampling techniques for inference, but find that finite sample performance is poor in empirically relevant scenarios.

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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Book part
Publication date: 24 March 2006

Zhengjun Zhang

In this paper, the gamma test is used to determine the order of lag-k tail dependence existing in financial time series. Using standardized return series, statistical…

Abstract

In this paper, the gamma test is used to determine the order of lag-k tail dependence existing in financial time series. Using standardized return series, statistical evidences based on the test results show that jumps in returns are not transient. New time series models which combine a specific class of max-stable processes, Markov processes, and GARCH processes are proposed and used to model tail dependencies within asset returns. Estimators for parameters in the models are developed and proved to be consistent and asymptotically joint normal. These new models are tested on simulation examples and some real data, the S&P 500.

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Econometric Analysis of Financial and Economic Time Series
Type: Book
ISBN: 978-1-84950-388-4

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Book part
Publication date: 18 October 2019

Hedibert Freitas Lopes, Matthew Taddy and Matthew Gardner

Heavy-tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with internet transaction datasets, and…

Abstract

Heavy-tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with internet transaction datasets, and machine learners often analyze such data without considering the biases and risks associated with the misuse of standard tools. This chapter outlines a procedure for inference about the mean of a (possibly conditional) heavy-tailed distribution that combines nonparametric analysis for the bulk of the support with Bayesian parametric modeling – motivated from extreme value theory – for the heavy tail. The procedure is fast and massively scalable. The work should find application in settings wherever correct inference is important and reward tails are heavy; we illustrate the framework in causal inference for A/B experiments involving hundreds of millions of users of eBay.com.

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Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B
Type: Book
ISBN: 978-1-83867-419-9

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Article
Publication date: 8 January 2020

Murat Hakan Altıntaş, Serkan Kılıç and Can Efecan Akhan

There is an increased interest in e-tailing research in the literature, along with the development of new technologies and e-tailing platforms based on consumer and…

Abstract

Purpose

There is an increased interest in e-tailing research in the literature, along with the development of new technologies and e-tailing platforms based on consumer and industry perspective. The purpose of this paper is to examine the periodic changes within the content of e-tailing literature.

Design/methodology/approach

The data set of this study includes academic papers cited in the Web of Science, which was published between 2000 and 2017. In this context, a co-word analysis was conducted using SciMat software based on the keywords, including “online retailing,” “e-tailing,” “e-store,” “online store,” “e-tail” and “online retail,” found in the titles of published academic articles.

Findings

In this study, three different periods of the e-tailing study field were examined, major and emerging themes for each period were determined with a comparative bibliometric analysis. In this regard, consumer acceptance, choice and satisfaction were found as the major themes in the conceptualization of e-tailing research.

Originality/value

Understanding the transition from traditional marketing channels to online channels is an essential factor for retailers as well as consumers’ use and the acceptance of new technologies. This study contributes to the effective execution of the e-tailing systems.

Details

International Journal of Retail & Distribution Management, vol. 48 no. 2
Type: Research Article
ISSN: 0959-0552

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Article
Publication date: 6 July 2020

Lukasz Prorokowski, Oleg Deev and Hubert Prorokowski

The use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of…

Abstract

Purpose

The use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of the underlying asset in terms of capturing tail risk. Therefore, using empirical examples for the financial collateral haircut model, this paper aims to critically review available statistical tools for measuring the adequacy of capturing tail risk by proxies used in the internal risk models of banks. In doing so, this paper advises on the most appropriate solutions for validating risk proxies.

Design/methodology/approach

This paper reviews statistical tools used to validate if the equity index/fund benchmark are proxies that adequately represent tail risk in the returns on an individual asset (equity/fund). The following statistical tools for comparing return distributions of the proxies and the portfolio items are discussed: the two-sample Kolmogorov–Smirnov test, the spillover test and the Harrell’s C test.

Findings

Upon the empirical review of the available statistical tools, this paper suggests using the two-sample Kolmogorov–Smirnov test to validate the adequacy of capturing tail risk by the assigned proxy and the Harrell’s C test to capture the discriminatory power of the proxy-based collateral haircuts models. This paper also suggests a tool that compares the reactions of risk proxies to tail events to verify possible underestimation of risk in times of significant stress.

Originality/value

The current regulations require banks to prove that the modelled proxies are representative of the real price observations without underestimation of tail risk and asset price volatility. This paper shows how to validate proxy-based financial collateral haircuts models.

Details

The Journal of Risk Finance, vol. 21 no. 3
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 3 July 2017

Fabrizio Nicolosi, Danilo Ciliberti, Pierluigi Della Vecchia, Salvatore Corcione and Vincenzo Cusati

This work aims to deal with a comprehensive review of design methods for aircraft directional stability and vertical tail sizing. The focus on aircraft directional…

Abstract

Purpose

This work aims to deal with a comprehensive review of design methods for aircraft directional stability and vertical tail sizing. The focus on aircraft directional stability is due to the significant discrepancies that classical semi-empirical methods, as USAF DATCOM and ESDU, provide for some configurations because they are based on NACA wind tunnel (WT) tests about models not representative of an actual transport airplane.

Design/methodology/approach

The authors performed viscous numerical simulations to calculate the aerodynamic interference among aircraft parts on hundreds configurations of a generic regional turboprop aircraft, providing useful results that have been collected in a new vertical tail preliminary design method, named VeDSC.

Findings

The reviewed methods have been applied on a regional turboprop aircraft. The VeDSC method shows the closest agreement with numerical results. A WT test campaign involving more than 180 configurations has validated the numerical approach.

Practical implications

The investigation has covered both the linear and the non-linear range of the aerodynamic coefficients, including the mutual aerodynamic interference between the fuselage and the vertical stabilizer. Also, a preliminary investigation about rudder effectiveness, related to aircraft directional control, is presented.

Originality/value

In the final part of the paper, critical issues in vertical tail design are reviewed, highlighting the significance of a good estimation of aircraft directional stability and control derivatives.

Details

Aircraft Engineering and Aerospace Technology, vol. 89 no. 4
Type: Research Article
ISSN: 1748-8842

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Article
Publication date: 10 May 2019

Pradeep Kautish and Rajesh Sharma

The purpose of this paper is to bridge together seemingly disparate yet interconnected paradigmatic antecedents of e-tailing and servicescape, i.e., product assortment…

Abstract

Purpose

The purpose of this paper is to bridge together seemingly disparate yet interconnected paradigmatic antecedents of e-tailing and servicescape, i.e., product assortment, order fulfillment, shopping assistance and its consequences for shopping efficiency.

Design/methodology/approach

The proposed conceptual model is well grounded in the extensive literature from e-tailing as well as retailing domain and to assess the plausibility of the model. Total 246 female online apparel shoppers were surveyed from an Indian university and the data were analyzed using structural equation modeling through SmartPLS.

Findings

The outcomes of the study indicate that the e-customer may derive a substantial share of shopping assistance and service interface through product assortment offered by e-tailing sites. Customer-perceived performance of this e-shopping process – a crucial element of e-tail servicescape – directly affects the shopping assistance, along with order fulfillment capability of retail scope.

Research limitations/implications

The study used a sample of graduate students at a north-west university in India, which limits the generalizability of the research to other consumer groups. The paper links a significant body of literature within a conceptually developed framework and identifies key research areas in the e-tailing realm.

Practical implications

By better understanding the role of product assortment as a value-added feature in online value co-creation process, the e-tail managers can leverage the proposed integrated capability to improve e-tailing performance and customer outcomes in the form of business.

Social implications

With rapid advancements in internet-led communication, we are witnessing the dawn of a new era of e-tail innovations around us which is expected to change the way people experience shopping.

Originality/value

This research is an attempt to enrich the level of understanding about online shopping environment in light of relationships among virtual and physical facets of e-tail, i.e., product assortment, order fulfillment, shopping assistance and shopping efficiency. The authors investigate customer-perceived product assortment performance in e-tailing and its significances on shopping outcomes.

Details

Asia Pacific Journal of Marketing and Logistics, vol. 31 no. 4
Type: Research Article
ISSN: 1355-5855

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Article
Publication date: 16 July 2019

Yang Geng and Yulin Zhang

This paper aims to study the pricing strategies of an online trading platform with indirect network externalities by considering heterogeneous trading behavior in the…

Abstract

Purpose

This paper aims to study the pricing strategies of an online trading platform with indirect network externalities by considering heterogeneous trading behavior in the downstream market and the long tail.

Design/methodology/approach

The game theory, optimization and comparative static are used in this research. The equilibria are derived from the game theory, and with them, the authors optimize the platform’s profit function. Comparative static is used to study pricing strategies.

Findings

It is found that with heterogeneous trading behavior, the transaction-based model is more profitable than the subscription-based model by reason of the feasibility of “price discrimination”. However, with certain advantages of subscription fees such as avoiding offline transactions, the subscription-based model is better with a concentrated distribution of sellers’ revenues (the Gini coefficient is small). With a lucrative long tail, the platform should set a low price to attract small sellers in the long tail. Besides, if the Gini coefficient is large, the effects of the market entry barrier of sellers on the optimal price in each model may be opposite.

Research limitations/implications

It implies that the choice of revenue models and pricing strategies are influenced by the Gini coefficient or the long tail. The exogenous setting in which buyers can use the platform for free needs further extension.

Practical implications

The authors provide insights on how to choose revenue models and how to price the sellers with the long tail phenomenon.

Originality/value

This paper emphasizes the role of the long tail on pricing strategies and the effect of heterogeneous trading behavior on model selection.

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Article
Publication date: 1 December 2005

Sanjeev Varshney and Anita Goyal

Movement of people from one retail trade area to another in search of better options and deals has been studied across the world owing to its large impact on trade flow…

Abstract

Movement of people from one retail trade area to another in search of better options and deals has been studied across the world owing to its large impact on trade flow. Studies have been done in various rural and urban settings. However, almost all except one fails to provide a comprehensive model of outshopping which has its own limitations with regard to its applicability’s across cultures and in various settings. Nonetheless findings from the literature provides necessary inputs to start studies in various other cultures and settings. Results are presented in form of various definitions, various types, methodologies used, factors identified (individual characteristics, market characteristics, product related variables and accessibility factors) and patterns across continents. Attempts have also been made to explain their applicability to Indian conditions along with various limitations and gaps.

Details

Asia Pacific Journal of Marketing and Logistics, vol. 17 no. 4
Type: Research Article
ISSN: 1355-5855

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Article
Publication date: 1 August 2005

Lukas P. Forbes, Scott W. Kelley and K. Douglas Hoffman

The authors propose focusing on e‐commerce service failure and recovery through the presentation of failure and recovery strategies employed by e‐commerce service firms.

Abstract

Purpose

The authors propose focusing on e‐commerce service failure and recovery through the presentation of failure and recovery strategies employed by e‐commerce service firms.

Design/methodology/approach

The authors employ the critical incident technique using 377 customer responses to present ten e‐tail failures and 11 e‐tail recovery strategies used by e‐commerce service firms. The authors also present data on post‐recovery satisfaction levels and propensity to switch behavior.

Findings

Findings indicate that: e‐tail customers experience different types of service failure relative to traditional retail settings; e‐tail firms employ a different series of recovery strategies relative to traditional retail settings; and post‐recovery switching by e‐tail customers can be high even with satisfying experiences.

Originality/value

This paper strengthens the existing failure and recovery literature by presenting data on the largest growing sector of the service industry. These findings will have value to traditional firms looking to expand to e‐commerce channels in addition to e‐commerce firms currently experiencing customer dissatisfaction.

Details

Journal of Services Marketing, vol. 19 no. 5
Type: Research Article
ISSN: 0887-6045

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