Home  About us  Contact
 

Observable Variables (observable + variable)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting50%
Mathematics and Statistics25%
Humanities and Social Sciences25%

Selected Abstracts

WARRANT PRICING USING OBSERVABLE VARIABLES

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2004
Andrey D. Ukhov
Abstract The classical warrant pricing formula requires knowledge of the firm value and of the firm-value process variance. When warrants are outstanding, the firm value itself is a function of the warrant price. Firm value and firm-value variance are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and stock return variance. The method also enables estimation of firm-value variance. A proof of existence of the solution is provided. [source]

Fluctuating asymmetry as a bio-indicator in isolated populations of the Taita thrush: a Bayesian perspective

JOURNAL OF BIOGEOGRAPHY, Issue 5-6 2002
Luc Lens
Aim We examined whether developmental instability can be used as a bio-monitoring tool in the endangered Taita thrush (Turdus helleri L.) through the measurement of individual levels of fluctuating asymmetry in tarsus length. Because estimates of the association between developmental instability, stress and fitness derived from traditional regression are biased, we compared parameter estimates obtained from likelihood based analysis with those obtained from a Bayesian latent variable model. Location Taita thrushes were captured and measured in three isolated cloud forest fragments located in the Taita Hills of south-east Kenya. Methods We applied mixed-effects regression with Restricted Maximum Likelihood parameter estimation (performed with SAS version 8.0) and Bayesian latent variable modelling (performed with WINBUGS version 1.3 and CODA version 0.4) to estimate unbiased levels of developmental instability and to model relationships between developmental instability and body condition in 312 Taita thrushes. Results Likelihood and Bayesian analyses yielded highly comparable results. Individual levels of developmental instability were strongly inversely related to body condition in the subpopulation with the lowest average condition. In contrast, both variables were unrelated in two other subpopulations with higher average condition. Such heterogeneity in association was in the direction expected by developmental theory, given that higher condition suggests more benign ambient conditions. The estimated levels of body condition in the three subpopulations did not support their presumed ranking in relation to environmental stress. Developmental instability and body condition are therefore believed to reflect different aspects of individual fitness. Main conclusions Variation in developmental homeostasis, either modelled as observable variable (fluctuating asymmetry) or latent variable (developmental instability), appears a useful indicator of stress effects in the Taita thrush. Because relationships between environmental stress and developmental instability may depend on the extent to which stress-mediated changes in other components of phenotypic variation are correlated, the study of trait asymmetry should preferably be combined with that of other measures of trait variability, such as trait size or organismal condition. [source]

WARRANT PRICING USING OBSERVABLE VARIABLES

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2004
Andrey D. Ukhov
Abstract The classical warrant pricing formula requires knowledge of the firm value and of the firm-value process variance. When warrants are outstanding, the firm value itself is a function of the warrant price. Firm value and firm-value variance are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and stock return variance. The method also enables estimation of firm-value variance. A proof of existence of the solution is provided. [source]

Capital-skill Complementarity and Inequality: A Macroeconomic Analysis

ECONOMETRICA, Issue 5 2000
Per Krusell
The supply and price of skilled labor relative to unskilled labor have changed dramatically over the postwar period. The relative quantity of skilled labor has increased substantially, and the skill premium, which is the wage of skilled labor relative to that of unskilled labor, has grown significantly since 1980. Many studies have found that accounting for the increase in the skill premium on the basis of observable variables is difficult and have concluded implicitly that latent skill-biased technological change must be the main factor responsible. This paper examines that view systematically. We develop a framework that provides a simple, explicit economic mechanism for understanding skill-biased technological change in terms of observable variables, and we use the framework to evaluate the fraction of variation in the skill premium that can be accounted for by changes in observed factor quantities. We find that with capital-skill complementarity, changes in observed inputs alone can account for most of the variations in the skill premium over the last 30 years. [source]

Decomposing the Relationship Between Contiguity and Militarized Conflict

AMERICAN JOURNAL OF POLITICAL SCIENCE, Issue 1 2010
William Reed
It is well known that the majority of militarized conflicts and wars have been fought by neighbors. Yet, much remains to be learned about the relationship between shared borders and militarized conflict. This article decomposes the effects of territorial contiguity into,ex ante,"observable" and "behavioral" effects. It provides powerful empirical evidence for the claim that although neighbors are more likely to experience conflict because of,ex ante,differences in observable variables such as economic interdependence, alliance membership, joint democracy, and the balance of military capabilities, most conflicts between neighbors occur because of differences in how neighbors and nonneighbors respond to the observable variables. [source]

Consumption, Aggregate Wealth, and Expected Stock Returns

THE JOURNAL OF FINANCE, Issue 3 2001
Martin Lettau
This paper studies the role of fluctuations in the aggregate consumption,wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption,wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption,wealth ratio forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption,aggregate wealth (human capital plus asset holdings) ratio summarizes expected returns on aggregate wealth, or the market portfolio. Although this ratio is not observable, we provide assumptions under which its important predictive components for future asset returns may be xpressed in terms of observable variables, namely in terms of consumption, asset holdings and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio. [source]

Profile-based push models in manpower planning

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 1 2008
Marie-Anne Guerry
Abstract A methodology is presented to deal with heterogeneity due to observable variables in modeling personnel systems. For a manpower system, a model based on personnel profiles is introduced. The proposed algorithm concerns an analysis of the evolution of personnel profiles under time-discrete Markov assumptions. In this way, based on an historical personnel database, the estimation of transition probabilities of profiles as well as the computation of forecasts on the evolution of the manpower system can be found. Based on the presented procedure, a policy supporting software package has been developed for the Belgian Federal Government (research project financed by Federaal Wetenschapsbeleid). Copyright © 2007 John Wiley & Sons, Ltd. [source]

Related Causal Frameworks for Surrogate Outcomes

BIOMETRICS, Issue 2 2009
Marshall M. Joffe
Summary Four major frameworks have been developed for evaluating surrogate markers in randomized trials: one based on conditional independence of observable variables, another based on direct and indirect effects, a third based on a meta-analysis, and a fourth based on principal stratification. The first two of these fit into a paradigm we call the causal-effects (CE) paradigm, in which, for a good surrogate, the effect of treatment on the surrogate, combined with the effect of the surrogate on the clinical outcome, allow prediction of the effect of the treatment on the clinical outcome. The last two approaches fall into the causal-association (CA) paradigm, in which the effect of the treatment on the surrogate is associated with its effect on the clinical outcome. We consider the CE paradigm first, and consider identifying assumptions and some simple estimation procedures; we then consider the CA paradigm. We examine the relationships among these approaches and associated estimators. We perform a small simulation study to illustrate properties of the various estimators under different scenarios, and conclude with a discussion of the applicability of both paradigms. [source]