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Search Results: 1 - 10 of 5344 matches for " identification through heteroskedasticity. "
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Monetary policy, default risk and the exchange rate
Gon?alves, Carlos Eduardo;Guimar?es, Bernardo;
Revista Brasileira de Economia , 2011, DOI: 10.1590/S0034-71402011000100003
Abstract: in a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. this paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. indeed, we find that unexpected increases in interest rates tend to lead the brazilian currency to depreciate.
Modeling and Forecasting of Ghana’s Inflation Volatility  [PDF]
Abdul-Karim Iddrisu, Dominic Otoo, Iddrisu Wahab Abdul, Sylvia Ankamah
American Journal of Industrial and Business Management (AJIBM) , 2019, DOI: 10.4236/ajibm.2019.94064
Abstract:
In this paper, we assessed volatility of Ghana’s inflation rates for 2000 to 2018 using the auto-regressive conditionally heteroskedasticity (ARCH), generalized ARCH (GARCH), and the exponential GARCH (EGARCH) models. The inflation data were obtained from the Ghana Statistical Service (GSS). The proposed model should be able to provide projections of inflation volatility from 2019 and beyond. The results showed that higher order models are required to properly explain Ghana’s inflation volatility and the EGARCH(12, 1) is the best fitting model for the data. The EGARCH(12, 1) model is robust to model and forecast volatility of inflation rates. Also, the results suggest that we are forecasting increasing volatility and there is increasing trend in general prices of goods and services for 2018 and beyond. The forecasts figures revealed that Ghana’s economy is likely to be unstable in 2018 and 2019. This study therefore recommends that policy makers and industry players need to put in place stringent monetary and fiscal policies that would put the anticipated increase in inflation under control. The models were implemented using R software.
Are Stock Return Dynamics Truly Explosive or Merely Conditionally Leptokurtic? A Case Study on the Impact of Distributional Assumptions in Econometric Modeling  [PDF]
Peter A. Ammermann
Journal of Data Analysis and Information Processing (JDAIP) , 2016, DOI: 10.4236/jdaip.2016.41003
Abstract: This paper uses the estimation of the Self-Excited Multi Fractal (SEMF) model, which holds theoretical promise but has seen mixed results in practice, as a case study to explore the impact of distributional assumptions on the model fitting process. In the case of the SEMF model, this examination shows that incorporating reasonable distributional assumptions including a non-zero mean and the leptokurtic Student’s t distribution can have a substantial impact on the estimation results and can mean the difference between parameter estimates that imply unstable and potentially explosive volatility dynamics versus ones that describe more reasonable and realistic dynamics for the returns. While the original SEMF model specification is found to yield unrealistic results for most of the series of financial returns to which it is applied, the results obtained after incorporating the Student’s t distribution and a mean component into the model specification suggest that the SEMF model is a reasonable model, implying realistic return behavior, for most, if not all, of the series of stock and index returns to which it is applied in this study. In addition, reflecting the sensitivity of the sample mean to the types of characteristics that the SEMF model is designed to capture, the results of this study also illustrate the value of incorporating the mean component directly into the model and fitting it in conjunction with the other model parameters rather than simply centering the returns beforehand by subtracting the sample mean from them.
Fallback Authentication Manager-A step forward towards Optimization and Optimum Efficiency
Akhil Khare,,Archana Burujwale
International Journal of Computer Technology and Electronics Engineering , 2011,
Abstract: In corporate world, it is really tedious job to remember passwords of so many different systems. Many a times, users write their passwords on sticky notes just because of the fear of forgetting password. Or they tend to keep password very simple so that they can easily remember it. This is a major security loophole because such passwords can easily be guessed and hacked. Providing a fallback authentication mechanism, which helps the user to reset his password and unlock his account without calling the helpdesk, will eliminate those wasted minutes and dollars too. If a fallback authentication mechanism is provided to users to reset their passwords on their own instantly, from their own desktop and even without login to the system, this will address the problem from root.
Identifikationsmerkmal Automobil bzw. Identifikation und Nutzen. Die theoretisch-emotionale Bedeutung des Autos
Pelters, Sarah
Journal of New Frontiers in Spatial Concepts , 2009,
Abstract: The time when a car was used for the purpose of transportation only has probably never been. After its invention when such a machine was still hard to handle the thoughts about cars quickly moved from dangerous devils that should never be used to objects of freedom, safety and speed. They expressed wealth, status and independence and people started not only to want a car but soon enough also to differentiate between brands, models and styling. Now the question is not only how the car influenced modern life but also what the car - including its meaning and general understanding which it developed over the past - made of people. How much does a person identify with the own car, which is far more than just property?
MODEL MATEMATIK UNTUK MENENTUKAN NILAI TUKAR MATA UANG RUPIAH TERHADAP DOLLAR AMERIKA
Siana Halim,Shirley Adelia,Jani Rahardjo
Jurnal Teknik Industri , 1999,
Abstract: The main objective of this paper is to estimate parameters in the heteroskedasticity models, particularly in Auto Regressive Conditional Heteroskedasticity - ARCH(1) and Generalized Autoregressive Conditional Heteroskedasticity- GARCH(1,1). These models will be used to fit, to forecast and to update the volatility of Rupiah Vs US.Dollar rate. In order to get the estimation of fitting and updating parameters of ARCH(1) and GARCH(1,1), here will be used iterative method which is derived from the standard maximum likelihood estimation and the initial values are taken from the result of Yule Walker Estimation. The updating parameters will be estimated by using the approach of ARIMA(p,d,q) updating parameters models. The heteroskedasticity models will give a good fitting even a good forecast in near stasioner condition, however this models can not detect the jump that can be happend due to the changes of political situation that happend in Indonesia. Abstract in Bahasa Indonesia : Tujuan utama dari penelitian ini adalah untuk menentukan nilai estimasi pada parameter-parameter yang terdapat pada model-model heteroskedastik, khususnya dalam Auto Regressive Conditional Heteroskedasticity - ARCH(1) dan Generalized Autoregressive Conditional Heteroskedasticity- GARCH(1,1). Model-model ini akan digunakan untuk menentukan, meramalkan dan memperbaharui nilai parameter dari nilai tukar mata uang Rupiah terhadap Dollar Amerika. Nilai estimasi pada model ARCH(1) dan GARCH(1,1) diperoleh dengan metode iteratif yang diturunkan dari estimasi maksimum likelihood baku dan nilai awalnya didapat dari pendekatan Yule Walker. Penentuan nilai parameter yang diperbaharui akan diestimasi dengan menggunakan pendekatan model ARIMA(p,d,q). Model-model heteroskedastik memberikan nilai pendekatan nilai tukar yang baik bahkan memberikan nilai peramalan yang baik pula, namun demikian model ini belum dapat mendeteksi terjadinya loncatan yang terjadi yang diakibatkan oleh perubahan situasi politik di Indonesia. Kata kunci: ARCH, GARCH, YWE, MLE, Heteroskedasticity
Unified Geostatistical Modeling for Data Fusion and Spatial Heteroskedasticity with R Package ramps
Brian J. Smith,Jun Yan,Mary Kathryn Cowles
Journal of Statistical Software , 2008,
Abstract: This article illustrates usage of the ramps R package, which implements the reparameterized and marginalized posterior sampling (RAMPS) algorithm for complex Bayesian geostatistical models. The RAMPS methodology allows joint modeling of areal and point-source data arising from the same underlying spatial process. A reparametrization of variance parameters facilitates slice sampling based on simplexes, which can be useful in general when multiple variances are present. Prediction at arbitrary points can be made, which is critical in applications where maps are needed. Our implementation takes advantage of sparse matrix operations in the Matrix package and can provide substantial savings in computing time for large datasets. A user-friendly interface, similar to the nlme mixed effects models package, enables users to analyze datasets with little programming effort. Support is provided for numerous spatial and spatiotemporal correlation structures, user-defined correlation structures, and non-spatial random effects. The package features are illustrated via a synthetic dataset of spatially correlated observation distributed across the state of Iowa, USA.
Heteroskedasticity-Consistent Covariance Matrix Estimators in Small Samples with High Leverage Points  [PDF]
Esra ?im?ek, Mehmet Orhan
Theoretical Economics Letters (TEL) , 2016, DOI: 10.4236/tel.2016.64071
Abstract: The aim of this paper is to demonstrate the impact of high leverage observations on the performances of prominent and popular Heteroskedasticity-Consistent Covariance Matrix Estimators (HCCMEs) with the help of computer simulation. Firstly, we figure out high leverage observations, then remove them and recalculate the HCCMEs without these observations in order to compare the HCCME performances with and without high leverage points. We identify high leverage observations with the Minimum Covariance Determinant (MCD). We select from among different covariates and disturbance term variances from the related literature in simulation runs in order to compare the percentage difference between the expected value of the HCCME and true covariance matrix as well as the symmetric loss function. Our results revealed that the elimination of high leverage (high MCD distance) observations had improved the HCCME performances considerably and under some settings substantially, depending on the degree of leverage. We hope our theoretical findings will be benefited for practical purposes in applications.
Upholding the Igbo Cultural Heritage through the Theatre  [PDF]
Christian Ikechukwu Nwaru
Art and Design Review (ADR) , 2015, DOI: 10.4236/adr.2015.32004
Abstract: This paper starts with explaining the meaning of culture and cultural heritage. The researcher discusses the relevance’s of some of the material culture of the Igbo people, and how such materials could be preserved through the theatre. The development, presentation and preservation of Igbo art, Igbo symbol, Igbo mask, Igbo sound symbol, Igbo literature, Igbo festival and ceremonies through the theatre become necessary for advancement. A look at archival materials on Igbo art led to the submission that the Igbo and Nigeria artists can as a matter of fact draw inspiration from our rich arts and culture for better performances.
Study on the Guqin Teaching Method: “Inner Understanding through Oral Teaching”  [PDF]
Ye Zhao
Open Journal of Social Sciences (JSS) , 2019, DOI: 10.4236/jss.2019.72011
Abstract: “Inner understanding through oral teaching” is the main teaching method that runs through Guqin for thousands of years. In order to inherit and protect traditional Guqin art originally in the modern society, it’s very important to research this method which is used to teach Guqin in the ancient. It consists of two teaching levels: “Oral” and “Mentality”: the combination of the two promotes the inheritance and development of traditional Guqin. The teaching method of “inner understanding through oral teaching” is closely related to the application of the word reduction spectrum, and it is not contradictory to “viewing teaching”. In the current society, “inner understanding through oral teaching” is of great significance to the protection and inheritance of Guqin.
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