Search results for "stochastic"
showing 10 items of 1018 documents
Time operators, innovations and approximations
2003
Abstract We present a new approach to the spectral analysis and prediction of such complex systems for which the time evolution is described by a semigroup of operators. This approach is based on an extended concept of time operator and can be interpreted as a shift representation of dynamical systems. The time operator method includes the multiresolution analysis of wavelets as a particular case but can also be applied for a substantially larger class of dynamical systems. Among the examples where shift representation have been explicitly derived are exact endomorphisms, the diffusion equation, generalized shifts associated with the Haar or Faber–Schauder basis and some classes of stochast…
Water erosion prediction by stochastic and empirical models in the Mediterranean: A case study in Northern Sicily (Italy)
2012
The present thesis aimed to explore the methodological advantages as well as limitations in applying different modelling approaches to predict water soil erosion in Mediterranean environments. The research was accomplished in the central northern part of Sicily (Italy), considering this region to be representative of Mediterranean environmental conditions. In this region soil degradation problems, due to water erosion are becoming more and more serious. Consequently, defining models being able to predict erosion susceptibility and to discriminate environmental factors causing erosion is important to protect soil resources. The prediction of the spatial distribution of soil erosion processes…
Climate variability and agricultural production efficiency: evidence from Ethiopian farmers
2020
It is known that climate and weather variability have negative impacts on agricultural production efficiency. The aim of this study is to analyse the impact of climatic variables on farms’ efficiency in Ethiopia making use of nationally representative datasets from Living Standards Measurement Study–Integrated Surveys on Agriculture (LSMS-ISA) 2011/2012. By using the Stochastic Frontier Approach, we estimate simultaneously the farmers’ optimal production function and technical inefficiency equations, taking into account unobserved heterogeneity of farmers. Our main findings show that climate change variables have a positive effect on households’ efficiency but the impact depends on the diff…
Rising Educational Attainment and Opportunity Equalization: Evidence from France
2020
Educational policies are widely recognized as the means par excellence to equalize opportunities among children with different social and family backgrounds and to promote intergenerational mobility. In this chapter, we focus on the French case and we apply the opportunity equalization criterion proposed by Andreoli, Havnes, and Lefranc (2019) for evaluating the effect of rising compulsory schooling requirements in secondary education. Our results show that such education expansion has a limited redistributive effect on students’ earnings distribution. Nonetheless, we provide evidence of opportunity equalization among groups of students defined by family background circumstances.
ASSESSMENT OF TOURISM COMPETITIVENESS BY ANALYSING DESTINATION EFFICIENCY
2008
The notion and measurement of destination competitiveness have received increasing attention in the economics literature on tourism. The reason for this emerges from both the growing economic importance of the tourist sector and the increasing competition in the tourist market resulting from the transition from mass tourism to a new age of tourism that calls for a tailor-made approach to the specific attitudes and needs of tourists. The central subject of this paper – inspired by the conceptual competitiveness model developed by Crouch and Ritchie – concerns the efficiency of tourist site destinations. Using a data set of 103 Italian regions for 2001, an economic efficiency analysis is car…
Forecasting industry sector default rates through dynamic factor models
2008
In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
A critical view on temperature modelling for application in weather derivatives markets
2012
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
Measuring the presence of organized crime across Italian provinces: a sensitivity analysis
2020
AbstractThe existing literature identifies different indicators to construct organized crime indices and places equal importance to different concepts of organized crime. This paper examines the sensitivity of organized crime across Italian provinces when different set of indicators and weights are used to combine crime indicators. Our findings suggest that there is a remarkable variation in the distribution of organized crime across Italian provinces based on the choice of indicators and the importance given to different crime indicators. It is also found that the relationship of organized crime with socioeconomic and political factors varies depending on the normative choices made in the …
Does Firm Size Affect Self-selection and Learning-by-Exporting?
2010
The trade literature has long discussed the existence of some benefits attributed to exporting, among others, the improvement of firm productivity. This paper examines whether firm size plays a role in this supposedly favourable relationship between exporting and total factor productivity (TFP). To examine this, we investigate, separately for large and small firms, whether firms starting to export perform better ex ante (self-selection) than non-exporting firms and, conditional on this fact, if they are also more productive ex post (learning-by-exporting). With this purpose, we use both stochastic dominance and matching techniques. The dataset is a representative sample of Spanish manufactu…