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Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes 非高斯GARCH过程的有效半参数估计
IRPN: Innovation & Econometrics (Topic) Pub Date : 2016-12-02 DOI: 10.2139/ssrn.2879744
Frédéric Godin, A. Luong
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引用次数: 0
Econometric Evidence of the Effectiveness of Different R&D Funding Sources 不同研发资金来源有效性的计量经济学证据
IRPN: Innovation & Econometrics (Topic) Pub Date : 2016-02-15 DOI: 10.2139/ssrn.2732559
G. Alibekova, Arsen Tleppaev, F. Alzhanova
{"title":"Econometric Evidence of the Effectiveness of Different R&D Funding Sources","authors":"G. Alibekova, Arsen Tleppaev, F. Alzhanova","doi":"10.2139/ssrn.2732559","DOIUrl":"https://doi.org/10.2139/ssrn.2732559","url":null,"abstract":"The research aims to reveal the most efficient funding sources and most efficient sectors in terms of R&D&I output: full-time researchers, their publications, PCT patent applications, technology receipts and technology payments. The econometric analysis of 18 OECD and 2 non-OECD countries has been implemented to reach this goal. The empirical results show that Government-financed GERD and BERD have a strong impact on Patent applications to the PCT. HERD and BERD positively influence Technology Receipts. BERD and the Percentage of GERD financed from abroad have a significantly positive influence on technology payments. BERD and HERD have strong positive influence on Total FTE researchers. The number of WoS publications positively depends on HERD and GOVERD.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"254 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123286424","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
Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs 具有序列关联、制度切换和交易成本的止损策略
IRPN: Innovation & Econometrics (Topic) Pub Date : 2015-11-23 DOI: 10.2139/ssrn.2695383
A. Lo, A. Remorov
{"title":"Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs","authors":"A. Lo, A. Remorov","doi":"10.2139/ssrn.2695383","DOIUrl":"https://doi.org/10.2139/ssrn.2695383","url":null,"abstract":"Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching, and subject to transactions costs. When applied to a large sample of individual U.S. stocks, we show that tight stop-loss strategies tend to underperform the buy-and-hold policy in a mean-variance framework due to excessive trading costs. Outperformance is possible for stocks with sufficiently high serial correlation in returns. Certain strategies succeed at reducing downside risk, but not substantially.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115832295","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
Results on the Standard Error of the Coefficient Alpha Index of Reliability 信度系数Alpha指标的标准误差结果
IRPN: Innovation & Econometrics (Topic) Pub Date : 2005-04-15 DOI: 10.1287/MKSC.1040.0097
A. Duhachek, A. Coughlan, D. Iacobucci
{"title":"Results on the Standard Error of the Coefficient Alpha Index of Reliability","authors":"A. Duhachek, A. Coughlan, D. Iacobucci","doi":"10.1287/MKSC.1040.0097","DOIUrl":"https://doi.org/10.1287/MKSC.1040.0097","url":null,"abstract":"In this research, we investigate the behavior of Cronbach's coefficient alpha and its new standard error. We systematically analyze the effects of sample size, scale length, strength of item intercorrelations, and scale dimensionality. We demonstrate the beneficial effects of sample size on alpha's standard error and of scale length and the strengths of item intercorrelations (effects that are substitutes in their benefits) on both alpha and its standard error. Our findings also speak to this adage: Heterogeneity within the item covariance matrix (e.g., through multidimensionality or poor items) negatively impacts reliability by decreasing the precision of the estimation. We also examined the question of \"equilibrium\" scale length, showing the conditions for which it is optimal to add no items, or one, or multiple items to a scale. In terms of \"best practices,\" we recommend that researchers report a confidence interval or standard error along with the coefficient alpha point estimate.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117227502","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: 85
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