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1 – 10 of over 60000Thomas B. Götz, Alain Hecq and Jean-Pierre Urbain
This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the common…
Abstract
This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the common-frequency approach introduced by Engle and Kozicki (1993) and Vahid and Engle (1993). We start with the mixed-frequency VAR representation investigated in Ghysels (2012) for stationary time series. For non-stationary time series in levels, we show that one has to account for the presence of two sets of long-run relationships. The first set is implied by identities stemming from the fact that the differences of the high-frequency
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Wael Hemrit and Mounira Ben Arab
The purpose of this paper is to examine the determinants of operational losses in insurance companies.
Abstract
Purpose
The purpose of this paper is to examine the determinants of operational losses in insurance companies.
Design/methodology/approach
By using most common estimates of frequency and severity of losses that affected business‐lines during 2009, the paper integrates a quantitative aspect that reflects the mode of organization in the insurance company. In this paper, it would be more appropriate to focus on the frequency and severity of losses estimated by insurers and which are related to each category of operational risk events that took place in 2009.
Findings
The paper finds that the frequency of operational losses is positively related to the Market Share (MARKSHARE) and the Rate of Geographic Location (RAGELOC). However, the occurrence of loss is negatively related to the Variety of Insurance Activities (VARIACT). The paper also found a decrease in the frequency of losses associated with a large number of employees. Therefore, there is a significant relationship between the Human Factor (HF) and the occurrence of operational losses. In terms of severity, the empirical study has shown that the probability of zero intensity of operational losses is negatively influenced by the Market Share (MARKSHARE) and the Rate of Geographic Location (RAGELOC). In the same framework, the Variety of Insurance Activities (VARIACT) has a negative effect on the probability of high operational loss severity.
Originality/value
Despite the absence of the quantitative data of operational risk, this article will discover a new research perspective to estimate the frequency and severity of operational losses in the insurance sector in Tunisia.
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Marcelo Royo-Vela and Farina Meyer
To explore and measure wearout or the acceptance threshold, beyond which, messages in the form of mobile text advertising generate irritation. To assess the set of factors that…
Abstract
Purpose
To explore and measure wearout or the acceptance threshold, beyond which, messages in the form of mobile text advertising generate irritation. To assess the set of factors that positively or negatively, according to literature, influences the attitude towards advertising in short message service (SMS) format and on this basis to propose future research along this line. There is also a focus on irritation antecedents.
Methodology/approach
Two surveys are used to prevent unbiased answers. The first one is driven to study the wearout effect in the SMS context. An offline survey is carried out using a structured questionnaire. A sample size of 188 using convenience sampling is collected. The second research is driven to study irritation and attitude towards SMS advertising. Data are collected through an online questionnaire which is published through social media platforms, an e-mail mailing list and a quick response (QR) code. An international sample size of 253 applying a convenience and snow ball sampling procedure is collected.
Findings
The wearout threshold and irritation antecedents in the mobile advertising context are identified as well as positive and negative factors which influence attitude towards SMS advertising. The replies do not match exactly with the significant factors found in previous research.
Research limitations/implications
There are some, among them, sample size and sampling procedure; only one sector was analysed and, although reliability is acceptable, the number of items in each measurement scale was reduced to only two.
Practical implications
Wearout and the characteristics of an SMS message capable to generate positive attitude are described.
Social implications
Guidelines to improve public attitudes towards SMS advertising and prevention from wearout are given.
Originality/value
Wearout in the mobile advertising context is explored and some insights regarding irritation antecedents and the role played by frequency and other positive factors in the causal model proposed by the academy are assessed.
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Weiqing Wang, Zengbin Zhang, Liukai Wang, Xiaobo Zhang and Zhenyu Zhang
The purpose of this study is to forecast the development performance of important economies in a smart city using mixed-frequency data.
Abstract
Purpose
The purpose of this study is to forecast the development performance of important economies in a smart city using mixed-frequency data.
Design/methodology/approach
This study introduces reverse unrestricted mixed-data sampling (RUMIDAS) to support vector regression (SVR) to develop a novel RUMIDAS-SVR model. The RUMIDAS-SVR model was estimated using a quadratic programming problem. The authors then use the novel RUMIDAS-SVR model to forecast the development performance of all high-tech listed companies, an important sector of the economy reflecting the potential and dynamism of urban economic development in Shanghai using the mixed-frequency consumer price index (CPI) producer price index (PPI), and consumer confidence index (CCI) as predictors.
Findings
The empirical results show that the established RUMIDAS-SVR is superior to the competing models with regard to mean absolute error (MAE) and root-mean-squared error (RMSE) and multi-source macroeconomic predictors contribute to the development performance forecast of important economies.
Practical implications
Smart city policy makers should create a favourable macroeconomic environment, such as controlling inflation or stabilising prices for companies within the city, and companies within the important city economic sectors should take initiative to shoulder their responsibility to support the construction of the smart city.
Originality/value
This study contributes to smart city monitoring by proposing and developing a new model, RUMIDAS-SVR, to help the construction of smart cities. It also empirically provides strategic insights for smart city stakeholders.
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Claudia Foroni, Eric Ghysels and Massimiliano Marcellino
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and…
Abstract
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and Bayesian methods of estimating mixed-frequency VARs, and use them for forecasting and structural analysis. We also compare mixed-frequency VARs with other approaches to handling mixed-frequency data.
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Xavier Fageda and Ricardo Flores-Fillol
We investigate the relationship between airline network structure and airport congestion. More specifically, we study the ways in which airlines adjust capacity to delays…
Abstract
We investigate the relationship between airline network structure and airport congestion. More specifically, we study the ways in which airlines adjust capacity to delays depending on the network type they operate. We find some evidence suggesting that airlines operating hub-and-spoke structures react less to delays than airlines operating fully connected configurations. In particular, network airlines have incentives to keep frequency high even if this is at the expense of a greater congestion at their hub airports. We also show that airlines in slot-constrained airports seem to react to higher levels of congestion by using bigger aircraft at lower frequencies; thus, we conclude that conditioning the number of available slots on the levels of delays at the airport seems an effective measure that creates the right incentives for airlines to reduce the congestion they generate.
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THE term ‘mixed frequency generation’ is of American origin and refers to an electrical generating system for an aircraft where the main generators are directly coupled to the…
Abstract
THE term ‘mixed frequency generation’ is of American origin and refers to an electrical generating system for an aircraft where the main generators are directly coupled to the engines and deliver a variable frequency over the engine speed range. A part of the generator output is used directly for such loads as de‐icing and galley loads which are not at all frequency sensitive. Other loads which require a constant frequency of supply (generally 400 Hz.) are supplied by rotary or solid state inverters (called ‘converters’ in the U.S.A.). Direct current loads (generally 28 V.) are obtained from transformer rectifier units.
Anthony Smythe, Igor Martins and Martin Andersson
With the recognition that generating economic growth is not the same as sustaining it, the challenge to catch-up and growth literature is discerning between these processes…
Abstract
Purpose
With the recognition that generating economic growth is not the same as sustaining it, the challenge to catch-up and growth literature is discerning between these processes. Recent research suggests that the decline in the frequency of “shrinking” episodes is more important for long-term development than higher growth rates. By using a framework centred around social capabilities, this study aims to investigate the effects of income inequality and poverty on economic shrinking frequency, as opposed to previous literature that has exclusively had a growth focus. The aim is to investigate how and why some societies might be more resilient to economic shrinking.
Design/methodology/approach
The research is a quantitative study, and the authors build a longitudinal data set including 23 developing countries throughout 42 years to test the paper’s purpose. This study uses country and period fixed-effects specifications as well as cross-sectional graphical representations to investigate the relationship between proxies of economic inclusivity and the frequency of shrinking episodes.
Findings
The authors demonstrate that while inclusive societies are more resilient to shrinking overall, it is changes in poverty levels, but not changes in income inequality, that appear to be correlated with economic shrinking frequency. Inequality, while still an important element to explain countries’ growth potential as an initial condition, does not seem to make the sample more resilient to shrinking. The authors conclude that the mechanisms in which poverty and inequality are correlated with the catch-up process must run through different channels. Ultimately, processes that explain growth may intersect but not always overlap with the ones that explain resilience to shrinking.
Originality/value
The need for inclusive growth in long-term development has been championed for decades, yet inclusion has seldom been explored from the shrinking perspective. Though poverty reduction is already an important mainstream political objective, this paper differentiates itself by providing an alternate viewpoint of why this is important. Income inequality could have more of an economic growth limiting effect, while poverty reduction could be required to build resilience to economic shrinking. Developing countries will need both growth and resilience to shrinking, to catch-up with higher-income economies, which policymakers might need to balance carefully.
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The authors examine the relationship between credit default swaps (CDS) initiation and managers’ earnings forecast choices with different corporate governance structures. The…
Abstract
The authors examine the relationship between credit default swaps (CDS) initiation and managers’ earnings forecast choices with different corporate governance structures. The authors expect that corporate governance plays a significant role in managers’ disclosure behavior as well as CDS initiation. The findings suggest that CDS initiation and managers’ earnings forecast behavior are positively associated. Firms with a strong monitoring mechanism issue a higher number of earnings forecasts and also issue forecasts more frequently when there is a traded CDS contract in the market. Additionally, the results suggest that managers issue more accurate earnings forecasts. Overall, these findings imply that the role of managers is important to mitigate the information asymmetry between individual and institutional investors when there is a new financial instrument because the development of the regulations and market rules for these instruments takes a longer time.
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