International Journal of Computational Economics and Econometrics最新文献_第8页

Size-distribution analysis in the study of urban systems: evidence from Greece 城市系统研究中的规模分布分析:来自希腊的证据

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International Journal of Computational Economics and Econometrics Pub Date : 2021-01-01 DOI: 10.1504/ijcee.2021.10033209

Zuzana Lišková, L. Sdrolias, G. Aspridis, D. Parmová, D. Tsiotas

引用次数: 3

Bootstrapping the log-periodogram estimator of the long-memory parameter: is it worth weighting 启动长记忆参数的对数周期图估计器:是否值得加权

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International Journal of Computational Economics and Econometrics Pub Date : 2021-01-01 DOI: 10.1504/IJCEE.2021.10037283

K. Patterson, S. Heravi

{"title":"Bootstrapping the log-periodogram estimator of the long-memory parameter: is it worth weighting","authors":"K. Patterson, S. Heravi","doi":"10.1504/IJCEE.2021.10037283","DOIUrl":"https://doi.org/10.1504/IJCEE.2021.10037283","url":null,"abstract":"Estimation of the long-memory parameter from the log-periodogram (LP) regression, due to Geweke and Porter-Hudak (GPH), is a simple and frequently used method of semi-parametric estimation. However, the simple LP estimator suffers from a finite sample bias that increases with the dependency in the short-run component of the spectral density. In a modification of the GPH estimator, Andrews and Guggenberger, AG (2003) suggested a bias-reduced estimator, but this comes at the cost of inflating the variance. To avoid variance inflation, Guggenberger and Sun (2004, 2006) suggested a weighted LP (WLP) estimator using bands of frequencies, which potentially improves upon the simple LP estimator. In all cases a key parameter in these methods is the need to choose a frequency bandwidth, m, which confines the chosen frequencies to be in the ‘neighbourhood’ of zero. GPH suggested a ‘square-root’ rule of thumb that has been widely used, but has no optimality characteristics. An alternative, due to Hurvich and Deo (1999), is to derive the root mean square error (rmse) optimising value of m, which depends upon an unknown parameter, although that can be consistently estimated to make the method feasible. More recently, Arteche and Orbe (2009a,b), in the context of the GPH estimator, suggested a promising bootstrap method, based on the frequency domain, to obtain the rmse value of m that avoids estimating the unknown parameter. We extend this bootstrap method to the AG and WLP estimators and to consideration of bootstrapping in the frequency domain (FD) and the time domain (TD) and, in each case, to ‘blind’ and ‘local’ versions. We undertake a comparative simulation analysis of these methods for relative performance on the dimensions of bias, rmse, confidence interval width and fidelity.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719787","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

Testing for panel cointegration in high dimensional data in the presence of cross-sectional dependency 在横断面依赖性存在的情况下，对高维数据的面板协整检验

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International Journal of Computational Economics and Econometrics Pub Date : 2021-01-01 DOI: 10.1504/ijcee.2021.10040793

Rashid Mansoor, K. Månsson

引用次数: 0

An integrated K-means-GP approach for US stock fund diversification and its impact due to COVID-19 基于k -均值- gp的美股基金分散策略及其对新冠肺炎疫情的影响

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International Journal of Computational Economics and Econometrics Pub Date : 2021-01-01 DOI: 10.1504/ijcee.2021.10043597

V. Awasthi, H. Hota, Devender Kumar Sharma

{"title":"An integrated K-means-GP approach for US stock fund diversification and its impact due to COVID-19","authors":"V. Awasthi, H. Hota, Devender Kumar Sharma","doi":"10.1504/ijcee.2021.10043597","DOIUrl":"https://doi.org/10.1504/ijcee.2021.10043597","url":null,"abstract":"The stock fund diversification process is a tedious task due to the erratic nature of the stock market. On the other hand, work is more challenging due to high annual return expectations with low risk. This research work explores the potential of goal programming (GP) and K-means algorithm as an integrated K-means-GP approach for fund diversification, where K-means is used to create groups of stock based on their performance. Then GP is used to diversify total funds into various groups of stocks to achieve a high annual return. The experimental work has been done in 30 stocks of DOW30 of the years 2017-2018, 2018-2019, and 2019-2020. A comparative study was carried with three different cases based on individual year data and an average of two and three years of data. The empirical results show that: the K-means-GP approach outperformed the GP approach for stock fund diversification;the annual return is higher in the case of the K-means-GP approach using three years of average data with 12.59% of annual return against the expected annual return of 20%. Due to COVID-19, few stocks perform in the negative direction, and hence the annual return is being affected after fund diversification.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66720409","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

Economic and business cycles with time varying in India: evidence from ICT sectors 印度随时间变化的经济和商业周期：来自信息和通信技术部门的证据

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International Journal of Computational Economics and Econometrics Pub Date : 2020-08-04 DOI: 10.1504/ijcee.2020.10031003

C. Chaiboonsri, S. Wannapan, G. Cerulli

引用次数: 0

Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up 断路器设置时贝叶斯和经典风险值模型的性能评估

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International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI: 10.1504/ijcee.2020.10029944

Gholamreza Keshavarz Haddad, H. Heidari

{"title":"Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up","authors":"Gholamreza Keshavarz Haddad, H. Heidari","doi":"10.1504/ijcee.2020.10029944","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029944","url":null,"abstract":"Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei's (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share index in TSE. Using daily data over June 2006 to June 2016, we show that the Censored and Missing- GARCH model with student-t distribution outperforms the other VaR estimation metods. Kullback-Leibler (KLIC), Kupic (1995) test and Lopez score (1998) outcomes show that estimated VaR by Censored and missing- GARCH model with student-t distribution is of the most accuracy among the other GARCH family estimated models.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45513285","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

An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models 利用多变量GARCH模型分析摩洛哥主要国内部门的相互依赖关系和波动溢出效应

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International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI: 10.1504/ijcee.2020.10029950

Ouael El Jebari, Abdelati Hakmaoui

引用次数: 0

Stages and determinants of European Union small and medium sized firms' failure process 欧盟中小企业失败过程的阶段和决定因素

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International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI: 10.1504/ijcee.2020.10029945

Alexios Makropoulos, C. Weir, Xin Zhang

引用次数: 1

Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms 基于启发式遗传算法的具有实际约束的多期均值方差投资组合选择

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International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI: 10.1504/ijcee.2020.10029943

Y. Chen, Hao Yang

引用次数: 2

Abnormal returns and systemic risk: evidence from a non-parametric bootstrap framework during the European sovereign debt crisis 异常收益与系统性风险:来自欧洲主权债务危机期间非参数自举框架的证据

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International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI: 10.1504/ijcee.2020.10029946

Konstantinos Gkillas, Christos Floros, Christoforos Konstantatos, Dimitrios Vortelinos

引用次数: 2