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Particular Assumptions (particular + assumption)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	66%

Selected Abstracts

Bootstrapping Financial Time Series

JOURNAL OF ECONOMIC SURVEYS, Issue 3 2002
Esther Ruiz
It is well known that time series of returns are characterized by volatility clustering and excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and prediction methods, based on independent and/or Gaussian observations may be inadequate. As bootstrap methods are not, in general, based on any particular assumption on the distribution of the data, they are well suited for the analysis of returns. This paper reviews the application of bootstrap procedures for inference and prediction of financial time series. In relation to inference, bootstrap techniques have been applied to obtain the sample distribution of statistics for testing, for example, autoregressive dynamics in the conditional mean and variance, unit roots in the mean, fractional integration in volatility and the predictive ability of technical trading rules. On the other hand, bootstrap procedures have been used to estimate the distribution of returns which is of interest, for example, for Value at Risk (VaR) models or for prediction purposes. Although the application of bootstrap techniques to the empirical analysis of financial time series is very broad, there are few analytical results on the statistical properties of these techniques when applied to heteroscedastic time series. Furthermore, there are quite a few papers where the bootstrap procedures used are not adequate. [source]

Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited

ENVIRONMETRICS, Issue 3 2008
Aristidis K. Nikoloulopoulos
Abstract The seismic gap hypothesis assumes that the intensity of an earthquake and the time elapsed from the previous one are positively related. Previous works on this topic were based on particular assumptions for the joint distribution implying specific type of dependence. We investigate this hypothesis using copulas. Copulas are flexible for modelling the dependence structure far from assuming simple linear correlation structures and, thus, allow for better examination of this controversial aspect of geophysical research. In fact, via copulas, marginal properties and dependence structure can be separated. We propose a model averaging approach in order to allow for model uncertainty and diminish the effect of the choice of a particular copula. This enlarges the range of potential dependence structures that can be investigated. Application to a real data set is provided. Copyright © 2007 John Wiley & Sons, Ltd. [source]

Aggregation in Matching Markets

INTERNATIONAL ECONOMIC REVIEW, Issue 1 2000
John K. Dagsvik
This article develops aggregate relations for a matching market of heterogeneous suppliers and demanders. Under particular assumptions about the distribution of preferences and the matching game, asymptotic aggregate relations for the number of realized matches of different types in the presence of flexible contracts (such as a price) are derived. Simulation experiments demonstrate that the model also provides excellent predictions in small populations. The potential for applications within demographic, labor market, and welfare analyses is discussed. [source]

Bargaining and Efficiency in Sharecropping

JOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2001
Jon Reiersen
In this paper the Nash bargaining solution is used to derive solutions for the rental share and labour input in sharecropping. The bargaining is modeled as a two-stage process. First there is a bargain about the rental share, and then a bargain about labour input. The power of the landlord to ensure an outcome favourable to himself may differ in the two stages. By imposing particular assumptions about this bargaining power, some popular models of sharecropping, that have been treated as completely separate in the literature, can be derived as special cases in our model. However, we also generate a new class of models. It is also demonstrated that it is not the tenant's influence in the labour input decision per se which causes inefficiency in sharecropping, but differences in the tenant's influence over different issues in the contract. This is in contrast to the popular view which states that if the tenant controls the level of labour input, sharecropping will result in an inefficient resource allocation. [source]

Looking inside the box: bacterial transistor arrays

MOLECULAR MICROBIOLOGY, Issue 1 2008
Thomas S. Shimizu
Summary One often compares cells to computers, and signalling proteins to transistors. Location and wiring of those molecular transistors is paramount in defining the function of the subcellular chips. The bacterial chemotactic sensing apparatus is a large, stable assembly consisting of thousands of receptors, signal transducing kinases and linking proteins, and is responsible for the motile response of the bacterium to environmental signals, whether chemical, mechanical, or thermal. Because of its rich functional repertoire despite its relative simplicity, this chemosome has attracted much attention from both experimentalists and theoreticians, and the bacterial chemotaxis response becoming a benchmark in Systems Biology. Structural and functional models of the chemotactic device have been developed, often based on particular assumptions regarding the topology of the receptor lattice. In this issue of Molecular Microbiology, Briegel et al. provide a detailed view of the receptor arrangement, unravelling the wiring of the molecular signal processors. [source]

Research returns redux: a meta-analysis of the returns to agricultural R&D

AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 2 2000
Julian M. Alston
A total of 289 studies of returns to agricultural R&D were compiled and these provide 1821 estimates of rates of return. After removing statistical outliers and incomplete observations, across the remaining 1128 observations the estimated annual rates of return averaged 65 per cent overall , 80 per cent for research only, 80 per cent for extension only, and 47 per cent for research and extension combined. These averages reveal little meaningful information from a large body of literature, which provides rate-of-return estimates that are often not directly comparable. This study was aimed at trying to account for the differences. Several features of the methods used by research evaluators matter, in particular assumptions about lag lengths and the nature of the research-induced supply shift. [source]