Econometrics最新文献_第4页

Single Functional Index Quantile Regression for Functional Data with Missing Data at Random 随机缺失数据功能数据的单一功能指数量值回归

IF 1.5

Econometrics Pub Date : 2023-09-01 DOI: 10.15611/eada.2023.3.01

Nadia Kadiri, Sanaà Dounya Mekki, A. Rabhi

引用次数: 0

The Second Wave of the COVID-19 Pandemic in Poland – Characterised Using FDA Methods 波兰 COVID-19 大流行的第二波--使用 FDA 方法进行描述

IF 1.5

Econometrics Pub Date : 2023-09-01 DOI: 10.15611/eada.2023.3.02

Patrycja Hęćka

引用次数: 0

Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases 检测加密资产的泵和倾倒：处理不平衡的数据集和内部人士的预期购买

IF 1.5

Econometrics Pub Date : 2023-08-30 DOI: 10.3390/econometrics11030022

Dean Fantazzini, Yufeng Xiao

{"title":"Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases","authors":"Dean Fantazzini, Yufeng Xiao","doi":"10.3390/econometrics11030022","DOIUrl":"https://doi.org/10.3390/econometrics11030022","url":null,"abstract":"Detecting pump-and-dump schemes involving cryptoassets with high-frequency data is challenging due to imbalanced datasets and the early occurrence of unusual trading volumes. To address these issues, we propose constructing synthetic balanced datasets using resampling methods and flagging a pump-and-dump from the moment of public announcement up to 60 min beforehand. We validated our proposals using data from Pumpolymp and the CryptoCurrency eXchange Trading Library to identify 351 pump signals relative to the Binance crypto exchange in 2021 and 2022. We found that the most effective approach was using the original imbalanced dataset with pump-and-dumps flagged 60 min in advance, together with a random forest model with data segmented into 30-s chunks and regressors computed with a moving window of 1 h. Our analysis revealed that a better balance between sensitivity and specificity could be achieved by simply selecting an appropriate probability threshold, such as setting the threshold close to the observed prevalence in the original dataset. Resampling methods were useful in some cases, but threshold-independent measures were not affected. Moreover, detecting pump-and-dumps in real-time involves high-dimensional data, and the use of resampling methods to build synthetic datasets can be time-consuming, making them less practical.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42522175","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

Competition–Innovation Nexus: Product vs. Process, Does It Matter? 竞争-创新关系:产品vs过程，重要吗?

IF 1.5

Econometrics Pub Date : 2023-08-25 DOI: 10.3390/econometrics11030021

Emil Palikot

引用次数: 0

Locationally Varying Production Technology and Productivity: The Case of Norwegian Farming 生产技术和生产力的地域差异:挪威农业的案例

IF 1.5

Econometrics Pub Date : 2023-08-18 DOI: 10.3390/econometrics11030020

S. Kumbhakar, Jingfang Zhang, Gudbrand Lien

{"title":"Locationally Varying Production Technology and Productivity: The Case of Norwegian Farming","authors":"S. Kumbhakar, Jingfang Zhang, Gudbrand Lien","doi":"10.3390/econometrics11030020","DOIUrl":"https://doi.org/10.3390/econometrics11030020","url":null,"abstract":"In this study, we leverage geographical coordinates and firm-level panel data to uncover variations in production across different locations. Our approach involves using a semiparametric proxy variable regression estimator, which allows us to define and estimate a customized production function for each firm and its corresponding location. By employing kernel methods, we estimate the nonparametric functions that determine the model’s parameters based on latitude and longitude. Furthermore, our model incorporates productivity components that consider various factors that influence production. Unlike spatially autoregressive-type production functions that assume a uniform technology across all locations, our approach estimates technology and productivity at both the firm and location levels, taking into account their specific characteristics. To handle endogenous regressors, we incorporate a proxy variable identification technique, distinguishing our method from geographically weighted semiparametric regressions. To investigate the heterogeneity in production technology and productivity among Norwegian grain farmers, we apply our model to a sample of farms using panel data spanning from 2001 to 2020. Through this analysis, we provide empirical evidence of regional variations in both technology and productivity among Norwegian grain farmers. Finally, we discuss the suitability of our approach for addressing the heterogeneity in this industry.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43414369","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

Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum 追踪比特币和以太坊的“纯粹”系统风险

IF 1.5

Econometrics Pub Date : 2023-08-10 DOI: 10.3390/econometrics11030019

Bilel Sanhaji, Julien Chevallier

{"title":"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum","authors":"Bilel Sanhaji, Julien Chevallier","doi":"10.3390/econometrics11030019","DOIUrl":"https://doi.org/10.3390/econometrics11030019","url":null,"abstract":"Using the capital asset pricing model, this article critically assesses the relative importance of computing ‘realized’ betas from high-frequency returns for Bitcoin and Ethereum—the two major cryptocurrencies—against their classic counterparts using the 1-day and 5-day return-based betas. The sample includes intraday data from 15 May 2018 until 17 January 2023. The microstructure noise is present until 4 min in the BTC and ETH high-frequency data. Therefore, we opt for a conservative choice with a 60 min sampling frequency. Considering 250 trading days as a rolling-window size, we obtain rolling betas < 1 for Bitcoin and Ethereum with respect to the CRIX market index, which could enhance portfolio diversification (at the expense of maximizing returns). We flag the minimal tracking errors at the hourly and daily frequencies. The dispersion of rolling betas is higher for the weekly frequency and is concentrated towards values of β > 0.8 for BTC (β > 0.65 for ETH). The weekly frequency is thus revealed as being less precise for capturing the ‘pure’ systematic risk for Bitcoin and Ethereum. For Ethereum in particular, the availability of high-frequency data tends to produce, on average, a more reliable inference. In the age of financial data feed immediacy, our results strongly suggest to pension fund managers, hedge fund traders, and investment bankers to include ‘realized’ versions of CAPM betas in their dashboard of indicators for portfolio risk estimation. Sensitivity analyses cover jump detection in BTC/ETH high-frequency data (up to 25%). We also include several jump-robust estimators of realized volatility, where realized quadpower volatility prevails.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44587270","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

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 用卡尔曼滤波估计已实现的非对称随机波动模型

IF 1.5

Econometrics Pub Date : 2023-07-31 DOI: 10.3390/econometrics11030018

Manabu Asai

引用次数: 0

Socio-Economic and Demographic Factors Associated with COVID-19 Mortality in European Regions: Spatial Econometric Analysis 与欧洲地区COVID-19死亡率相关的社会经济和人口因素:空间计量分析

IF 1.5

Econometrics Pub Date : 2023-06-20 DOI: 10.3390/econometrics11020017

Mateusz Szysz, Andrzej Torój

{"title":"Socio-Economic and Demographic Factors Associated with COVID-19 Mortality in European Regions: Spatial Econometric Analysis","authors":"Mateusz Szysz, Andrzej Torój","doi":"10.3390/econometrics11020017","DOIUrl":"https://doi.org/10.3390/econometrics11020017","url":null,"abstract":"In some NUTS 2 (Nomenclature of Territorial Units for Statistics) regions of Europe, the COVID-19 pandemic has triggered an increase in mortality by several dozen percent and only a few percent in others. Based on the data on 189 regions from 19 European countries, we identified factors responsible for these differences, both intra- and internationally. Due to the spatial nature of the virus diffusion and to account for unobservable country-level and sub-national characteristics, we used spatial econometric tools to estimate two types of models, explaining (i) the number of cases per 10,000 inhabitants and (ii) the percentage increase in the number of deaths compared to the 2016–2019 average in individual regions (mostly NUTS 2) in 2020. We used two weight matrices simultaneously, accounting for both types of spatial autocorrelation: linked to geographical proximity and adherence to the same country. For the feature selection, we used Bayesian Model Averaging. The number of reported cases is negatively correlated with the share of risk groups in the population (60+ years old, older people reporting chronic lower respiratory disease, and high blood pressure) and the level of society’s belief that the positive health effects of restrictions outweighed the economic losses. Furthermore, it positively correlated with GDP per capita (PPS) and the percentage of people employed in the industry. On the contrary, the mortality (per number of infections) has been limited through high-quality healthcare. Additionally, we noticed that the later the pandemic first hit a region, the lower the death toll there was, even controlling for the number of infections.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48304319","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

Skill Mismatch, Nepotism, Job Satisfaction, and Young Females in the MENA Region 中东和北非地区的技能错配、裙带关系、工作满意度和年轻女性

IF 1.5

Econometrics Pub Date : 2023-06-12 DOI: 10.3390/econometrics11020016

Mahmoud Arayssi, Ali Fakih, Nathir Haimoun

{"title":"Skill Mismatch, Nepotism, Job Satisfaction, and Young Females in the MENA Region","authors":"Mahmoud Arayssi, Ali Fakih, Nathir Haimoun","doi":"10.3390/econometrics11020016","DOIUrl":"https://doi.org/10.3390/econometrics11020016","url":null,"abstract":"Skills utilization is an important factor affecting labor productivity and job satisfaction. This paper examines the effects of skills mismatch, nepotism, and gender discrimination on wages and job satisfaction in MENA workplaces. Gender discrimination implies social costs for firms due to higher turnover rates and lower retention levels. Young females suffer disproportionality from this than their male counterparts, resulting in a wider gender gap in the labor market at multiple levels. Therefore, we find that the skill mismatch problem appears to be more significant among specific demographic groups, such as females, immigrants, and ethnic minorities; it is also negatively correlated with job satisfaction and wages. We bridge the literature gap on youth skill mismatch’s main determinants, including nepotism, by showing evidence from some developing countries. Given the implied social costs associated with these practices and their impact on the labor market, we have compiled a list of policy recommendations that the government and relevant stakeholders should take to reduce these problems in the workplace. Therefore, we provide a guide to address MENA’s skill mismatch and improve overall job satisfaction.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44821986","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: 1

Remote Education during the Covid-19 Pandemic in the Opinion of Students 学生对新冠肺炎疫情期间远程教育的看法

IF 1.5

Econometrics Pub Date : 2023-06-01 DOI: 10.15611/eada.2023.2.01

Dorota Kwiatkowska-Ciotucha, Urszula Załuska

{"title":"Remote Education during the Covid-19 Pandemic in the Opinion of Students","authors":"Dorota Kwiatkowska-Ciotucha, Urszula Załuska","doi":"10.15611/eada.2023.2.01","DOIUrl":"https://doi.org/10.15611/eada.2023.2.01","url":null,"abstract":"Abstract The Covid-19 pandemic forced an immediate switch from the traditional form of education to a remote one, which caused various problems. Comparative studies conducted among students and academic teachers have shown the complexity of the situation and the ambiguity of assessments concerning the effectiveness of the solutions applied. This article presents an analysis of the results of a survey carried out in Q4 of 2021, using own questionnaire, among students from universities in Poland, Hungary and Greece, and a group of attendees of the Adult Education Centre in Finland (N = 769). The presented area of research embraces students’ experiences of distance learning during the first stage of the Covid-19 pandemic. Descriptive statistics and tests of the equality of means were used to analyse the students’ opinions in order to check for differences in assessments based on the selected metric characteristics of the respondents. Possible differentiation of opinions due to respondent characteristics such as gender or country of study was also searched for. The study results can be used to develop solutions which can be used to improve the quality of distance learning.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":"27 1","pages":"1 - 20"},"PeriodicalIF":1.5,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47498394","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