ERN: Other Econometrics: Econometric Model Construction最新文献_第5页

Model Uncertainty and Exchange Rate Volatility 模型不确定性和汇率波动

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2012-08-01 DOI: 10.1111/j.1468-2354.2012.00702.x

A. Markiewicz

引用次数: 27

Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling 识别电力现货价格数据中的峰值和季节性成分:鲁棒建模指南

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2081738

J. Janczura, S. Trück, R. Weron, R. Wolff

{"title":"Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling","authors":"J. Janczura, S. Trück, R. Weron, R. Wolff","doi":"10.2139/ssrn.2081738","DOIUrl":"https://doi.org/10.2139/ssrn.2081738","url":null,"abstract":"An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations, known as electricity price spikes. Improved robustness of the model can be achieved by (a) filtering the data with some reasonable procedure for outlier detection, and then (b) using estimation and testing procedures on the filtered data. In this paper we examine the effects of different treatments of extreme observations on model estimation and on determining the number of spikes (outliers). In particular we compare results for the estimation of the seasonal and stochastic components of electricity spot prices using either the original or filtered data. We find significant evidence for a superior estimation of both the seasonal short-term and long-term components when the data have been treated carefully for outliers. Overall, our findings point out the substantial impact the treatment of extreme observations may have on these issues and, therefore, also on the pricing of electricity derivatives like futures and option contracts. An added value of our study is the ranking of different filtering techniques used in the energy economics literature, suggesting which methods could be and which should not be used for spike identification.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126440588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 200

Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach 评估可调用和可放置键:一个特征函数展开方法

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2012-06-01 DOI: 10.2139/ssrn.2089131

Dongjae Lim, Lingfei Li, V. Linetsky

引用次数: 38

An Empirical Comparison of the Short Term Interest Rate Models 短期利率模型的实证比较

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2012-01-20 DOI: 10.2139/ssrn.2400433

M. Salah, Fathi Abid

{"title":"An Empirical Comparison of the Short Term Interest Rate Models","authors":"M. Salah, Fathi Abid","doi":"10.2139/ssrn.2400433","DOIUrl":"https://doi.org/10.2139/ssrn.2400433","url":null,"abstract":"This article attempts to identify the best model of the short term interest rates that can predict its stochastic process over time. We studied eight different models of interest rates in the short term. The choice of these models was the aim of analyzing the relevance of certain specifications of the stochastic process of the short term interest rates, the effect of mean reversion and the sensitivity of the volatility to the level of interest rate. The yield on three months treasury bills is used as a proxy for the short term interest rates. The parameters of the different stochastic process are estimated using the generalized method of moments. The results show that the effect of mean reversion is not statistically significant and that volatility is highly sensitive to the level of interest rates. To further study the performance prediction of the intertemporal behavior of the short term interest rate of the various models; we simulated their stochastic process for different periods. The results show that none of the studied models reproduce the actual path of the short term interest rates. The problem lies in the parametric specification of the mean and volatility of the diffusion process.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123093819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Modelos Multinomiales: Un Análisis De Sus Propiedades (Multinomial Models: An Analysis of Its Properties) 多项模型:对其性质的分析(多项模型:对其性质的分析)

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2011-06-13 DOI: 10.2139/SSRN.2419734

Arlen Guarín, Andrés Ramírez Hassan, J. Torres

{"title":"Modelos Multinomiales: Un Análisis De Sus Propiedades (Multinomial Models: An Analysis of Its Properties)","authors":"Arlen Guarín, Andrés Ramírez Hassan, J. Torres","doi":"10.2139/SSRN.2419734","DOIUrl":"https://doi.org/10.2139/SSRN.2419734","url":null,"abstract":"Spanish Abstract: En el presente trabajo se desarrolla un analisis de las propiedades de los modelos Multinomiales a traves de distintos procesos de simulacion; lo anterior se realizo asumiendo tanto el cumplimiento de los supuestos subyacentes de los mecanismos de estimacion como el incumplimiento de los mismos. Igualmente se analizo el comportamiento de los estimadores bajo diferentes escenarios de tamano muestral. Se encontro que bajo un modelo correctamente especificado y tamanos muestrales superiores a 200 observaciones, se cumplen las propiedades de insesgadez y consistencia, mientras que la incorrecta especificacion de la distribucion del proceso lleva a estimaciones sesgadas e inconsistentes; de igual forma se encontro que en tamanos muestrales pequenos y bajo modelos Condicionales se pierden las propiedades que una buena especificacion del proceso suele generar, hallandose aun mas inestabilidad cuando la estimacion es llevada a cabo con la metodologia Probit.English Abstract: This paper develops an analysis of Multinomial models through simulation; this was done under correct and incorrect assumptions on the data generating process. Also, it was analyzed the performance of the models under different sample sizes. It was found that a correct specified model with samples of 200 or more observations achieves estimators which are unbiased and consistent, while incorrect assumptions about the data generating process causes biased and inconsistent estimators. On the other hand, conditional models with small sample sizes imply bad statistical properties, especially when Probit models are estimated.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131238223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

상장폐지율과 생존자편의에 관한 실증연구 (An Empirical Study on the Delisting Rate and the Survivor Bias) (An Empirical Study on the de清单Rate and the Survivor Bias)

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2008-12-31 DOI: 10.2139/ssrn.3018342

J. Yoon

{"title":"상장폐지율과 생존자편의에 관한 실증연구 (An Empirical Study on the Delisting Rate and the Survivor Bias)","authors":"J. Yoon","doi":"10.2139/ssrn.3018342","DOIUrl":"https://doi.org/10.2139/ssrn.3018342","url":null,"abstract":"Korean Abstract: 본 연구는 장기과잉반응가설의 검정에서 생존자편의가 나타날 수 있는가를 검정하였다. 이를 위하여 생존분석방법을 이용하였으며 상장폐지율에 영향을 미치는 요인으로 관리종목 여부, 직전기간 수익률, 주식시장가격, 주식시장가격/액면가격에 대하여 검정하였다. 결과에 따르면 주요내용은 다음과 같다. 첫째 관리종목의 경우 상장폐지율은 유의하게 높았던 것으로 나타났다. 둘째 직전기간을 6, 12, 24, 36개월로 설정하였을 때 직전기간 수익률에 따른 상장폐지율의 차이는 유의하지 않았던 것으로 나타났다. 셋째 관찰시점의 주식시장가격 또는 주식시장가격/액면가격이 낮을수록 예측기간 상장폐지율은 높았던 것으로 나타났다. 이 결과는 비교적 단기간의 직전기간 수익률을 이용하는 장기과잉반응가설의 검정에서 생존자편의가 그다지 중요하지 않을 수 있음을 시사한다. 하지만 장기간의 누적수익에 해당되는 주식시장가격과 예측기간 상장폐지율과 (‐)의 상관관계를 갖는 것으로 나타났기 때문에 장기간의 직전 수익률이 낮았다면 예측기간 상장폐지율은 높다고 볼 수 있다. English Abstract: This article studies whether the survivor bias is important in testing the hypothesis of long-term overreaction. The survival analysis is used including the dummy variables of the administrative issue, the cumulative returns in the reference periods, the market price of equity, and the ratio of market price to face value of equity as covariates. The main results are as follows: First, de-listings in administrative issues are large. Second, cumulative returns in the reference periods are not significant in explaining the de-listings. Third, de-listings of the stocks with a low market price and low ratio of market price to face value are large. The results imply that the survivor bias is not important in testing the hypothesis of long-term overreaction when the cumulative returns in the reference periods shorter than 36 months are used. However, for the cumulative returns in longer terms, the survivor bias may be important.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114619451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Unit Roots in Macroeconomic Time Series: Some Critical Issues 宏观经济时间序列的单位根:一些关键问题

ERN: Other Econometrics: Econometric Model Construction Pub Date : 1993-05-01 DOI: 10.3386/W4368

B. Mccallum

引用次数: 98