Search results for "Econometric"

Économétrie spatiale : l'autocorrélation spatiale dans les modèles de régression linéaire

2002

Spatial Econometrics : Automatic Spatial Correlation in Linear Regression Models. The aim of this article is to describe the tools necessary to factor in automatic spatial correlation determined by the absence of independence between geographical observations, within the framework of linear regression models. While it is often accepted that spatial data in cross-sections are independent, this assumption is rarely justified. On the contrary, it needs to be tested systematically. After explaining the ways in which to model automatic spatial correlation, we therefore describe estimation and inference procedures geared to econometric models that factor in this effect explicitly. Lastly, we prop…

HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

2018

This paper studies the price processes of a claim on terminal endowment and of a claim on firm book value when the underlying variables follow a bivariate geometric Brownian motion. If the state-price process is multiplicatively separable into time and endowment functions, our main result shows that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, the endowment function is not a power function. In a pure exchange economy populated by two agents with constant relative risk aversion (CRRA) preferences we confirm the separability, and we show furthermore that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, both agents are he…

Stochastic dynamical modelling of spot freight rates

2014

Based on empirical analysis of the Capesize and Panamax indices, we propose different continuous-time stochastic processes to model their dynamics. The models go beyond the standard geometric Brownian motion, and incorporate observed effects like heavy-tailed returns, stochastic volatility and memory. In particular, we suggest stochastic dynamics based on exponential Levy processes with normal inverse Gaussian distributed logarithmic returns. The Barndorff-Nielsen and Shephard stochastic volatility model is shown to capture time-varying volatility in the data. Finally, continuous-time autoregressive processes provide a class of models sufficiently rich to incorporate short-term persistence …

Real Options: an Application to RMS Investment Evaluation

2007

Transmisión entre mercados bursátiles y crisis financiera : el caso de España

2020

El trabajo analiza si la interrelación entre el mercado bursátil español y las bolsas de Estados Unidos, Reino Unido, Alemania y Francia se ha visto afectada y cómo por la reciente crisis financiera. Para ello, se estima un modelo VAR- GARCH bivariante, durante el período enero de 2000 a junio de 2012. Del modelo estimado se obtiene una medida del grado de integración de los mercados, el coeficiente de correlación condicional, y de éste se concluye que la crisis subprime produjo un efecto contagio entre los mercados bursátiles. Asimismo, la evidencia empírica permite concluir que en el período poscrisis ha aumentado la interrelación de la bolsa española con la francesa, reduciéndose la inte…

The relationship between child health, developmental gaps, and parental education: Evidence from administrative data

2012

We use administrative German data to examine the role of physical and mental health conditions in explaining developmental gaps between children whose parents have different educational levels. Specifically, we employ sibling fixed effect models to estimate the effect of a comprehensive list of childhood health conditions – diagnosed by government physicians – on the cognitive and verbal ability of pre-school children. We also apply decomposition methods to examine the extent to which gaps in child development can be attributed to child health conditions. While most physical health conditions have small and insignificant effects, mental health conditions, in particular hyperactivity, have a…

A Lisrel Model for Country Risk Assessment

2015

As German industry is very much export-oriented, country risk assessment is a major problem in international marketing for German suppliers. The data from several country risk assessment indicator concepts were collected and put into a LISREL model to test which hypothesized relationships between the measured variables and hypothetical constructs can be empirically proved. A structural equation model will be developed to be able to test the causal relationships between the hypothetical constructs over time (multi-wave, multi-variable model).

“The Olympic Torch Burns, and Great Suspicion Blazes” – China Narratives in the German Media during the 2008 Summer Olympics in Beijing

2009

This paper focuses on the description of China in leading German daily and weekly newspapers during the 2008 Summer Olympics in Beijing. On the basis of a brief outline of the main China narratives in German media since the 1950s, this paper analyses China-related articles which were published during the period August 8–15, 2008. It argues that reports on China are mostly based on well established German notions of China and centre around the image of a despotic and/or dangerous China. Therefore, they primarily refer back to the source culture and contain little information of value regarding the target culture.

School Tracking and Mental Health

2019

To understand how the type of education affects long-term mental health, we examine the effects of a comprehensive school reform on mental health–related hospitalizations and deaths. The reform postponed the tracking of students into vocational and academic schools from age 11 to age 16, thus affecting the set of peers and the curriculum to which these students were exposed. The reform was implemented gradually across Finnish municipalities between 1972 and 1977. We use difference-in-differences variation and administrative data. Our overall results show no discernible effects on mental health–related hospitalizations or deaths, but heterogeneity analysis shows an adverse effect on hospital…

Glycated Albumin for Glycemic Control in T2DM Population: A Multi-Dimensional Evaluation.

2021

Lucrezia Ferrario,1 Fabrizio Schettini,1 Angelo Avogaro,2 Chiara Bellia,3 Federico Bertuzzi,4 Graziella Bonetti,5 Antonio Ceriello,6 Marcello Ciaccio,3,7 Massimiliano Corsi Romanelli,8,9 Elena Dozio,9 Luca Falqui,10 Angela Girelli,11 Antonio Nicolucci,12 Gianluca Perseghin,13,14 Mario Plebani,15 Umberto Valentini,11 Martina Zaninotto,15 Silvana Castaldi,9,16 Emanuela Foglia1 1Centre for Health Economics, Social and Health Care Management, Università Carlo Cattaneo - LIUC, Castellanza, Italy; 2Department of Medicine, University-Hospital of Padova, Padova, Italy; 3Section of Clinical Biochemistry and Clinical Molecular Medicine, Department of Biopathology and Medical Biotechnologie…