Pub Date : 2020-05-14DOI: 10.1504/ijcee.2020.10029490
Gholamreza Keshavarz Haddad, Mehrnoosh Hasanzade
The recent researches show that value-at-risk (VaR) estimations are biased and is calculated conservatively. Bao and Ullah (2004) proved the bias of an ARCH(1) model for VaR can be decomposed in to two parts: bias due to the returns' misspecification distributional assumption for GARCH(1,1), i.e., (Bias1) and bias due to estimation error, i.e., (Bias2). Using quasi maximum likelihood estimation method this paper intends to find an analytical framework for the two sources of bias. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that Bias1 equals to zero for the Normal likelihood function, but Bias2 ≠ 0. Also, Bias1 and Bias2 are not zero for the t-student likelihood function as analytically were expected, however, all the biases become modest, when the number of observations and degree of freedom gets large.
{"title":"Bias decomposition in the value-at-risk calculation by a GARCH(1,1)","authors":"Gholamreza Keshavarz Haddad, Mehrnoosh Hasanzade","doi":"10.1504/ijcee.2020.10029490","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029490","url":null,"abstract":"The recent researches show that value-at-risk (VaR) estimations are biased and is calculated conservatively. Bao and Ullah (2004) proved the bias of an ARCH(1) model for VaR can be decomposed in to two parts: bias due to the returns' misspecification distributional assumption for GARCH(1,1), i.e., (Bias1) and bias due to estimation error, i.e., (Bias2). Using quasi maximum likelihood estimation method this paper intends to find an analytical framework for the two sources of bias. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that Bias1 equals to zero for the Normal likelihood function, but Bias2 ≠ 0. Also, Bias1 and Bias2 are not zero for the t-student likelihood function as analytically were expected, however, all the biases become modest, when the number of observations and degree of freedom gets large.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47169978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-14DOI: 10.1504/ijcee.2020.10029487
Moawia Alghalith, Christos Floros
The aim of this paper is to present a continuous-time dynamic model of futures hedging. In particular, we extend the theoretical and empirical literature (e.g., Alghalith, 2016; Alghalith et al., 2015; Corsi et al., 2008) in several important ways. First, we present a theory-based model. A significant empirical contribution is that we do not need data for the basis risk or the spot price. To the best of our knowledge, this is the first paper to assume that the volatility of futures price is stochastic and thus to estimate the volatility of volatility of futures price. Using daily futures data from the S&P500 index, we calculate an average daily volatility as well as the volatility of volatility of futures prices. We recommend that the managers of the futures market should report the stochastic volatility of the futures price (and its volatility), in addition to the traditional volatility.
本文的目的是提出一个期货套期保值的连续时间动态模型。特别是，我们扩展了理论和实证文献(例如，Alghalith, 2016;Alghalith等，2015;Corsi et al.， 2008)在几个重要方面。首先，我们提出了一个基于理论的模型。一个重要的经验贡献是，我们不需要基差风险或现货价格的数据。据我们所知，这是第一篇假设期货价格波动是随机的，从而估计期货价格波动率的波动率的论文。使用标准普尔500指数的每日期货数据，我们计算平均每日波动率以及期货价格波动率的波动率。我们建议期货市场的管理者除了报告传统波动率外，还应报告期货价格的随机波动率(及其波动率)。
{"title":"Futures hedging with stochastic volatility: a new method","authors":"Moawia Alghalith, Christos Floros","doi":"10.1504/ijcee.2020.10029487","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029487","url":null,"abstract":"The aim of this paper is to present a continuous-time dynamic model of futures hedging. In particular, we extend the theoretical and empirical literature (e.g., Alghalith, 2016; Alghalith et al., 2015; Corsi et al., 2008) in several important ways. First, we present a theory-based model. A significant empirical contribution is that we do not need data for the basis risk or the spot price. To the best of our knowledge, this is the first paper to assume that the volatility of futures price is stochastic and thus to estimate the volatility of volatility of futures price. Using daily futures data from the S&P500 index, we calculate an average daily volatility as well as the volatility of volatility of futures prices. We recommend that the managers of the futures market should report the stochastic volatility of the futures price (and its volatility), in addition to the traditional volatility.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41359480","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-14DOI: 10.1504/IJCEE.2020.107370
Christos Floros, C. Zopounidis, Y. Tan, C. Lemonakis, Alexandros Garefalakis, Efthalia Tabouratzi
This paper examines banking efficiency using recent data from PIGS countries (i.e., Portugal, Italy, Greece and Spain), which suffer from debt problems. We employ a two-stage approach based on the effect of several items of balance sheets on cash flows and data envelopment analysis (DEA). More specifically, we extend previous studies by giving attention to the deposit dilemma. The reported results show that the choice of inputs and outputs does matter in the case of European banking efficiency. Although the role of deposits is controversial, we find that deposits may be an output variable, owing to liquidity issues that play a major role in the efficiency of PIGS' banking sector. We also report that the DEA model with deposits as an output variable generates efficiency scores that fall between periods. These results are helpful to bank managers and financial analysts dealing with efficiency modelling.
{"title":"Efficiency in banking: does the choice of inputs and outputs matter","authors":"Christos Floros, C. Zopounidis, Y. Tan, C. Lemonakis, Alexandros Garefalakis, Efthalia Tabouratzi","doi":"10.1504/IJCEE.2020.107370","DOIUrl":"https://doi.org/10.1504/IJCEE.2020.107370","url":null,"abstract":"This paper examines banking efficiency using recent data from PIGS countries (i.e., Portugal, Italy, Greece and Spain), which suffer from debt problems. We employ a two-stage approach based on the effect of several items of balance sheets on cash flows and data envelopment analysis (DEA). More specifically, we extend previous studies by giving attention to the deposit dilemma. The reported results show that the choice of inputs and outputs does matter in the case of European banking efficiency. Although the role of deposits is controversial, we find that deposits may be an output variable, owing to liquidity issues that play a major role in the efficiency of PIGS' banking sector. We also report that the DEA model with deposits as an output variable generates efficiency scores that fall between periods. These results are helpful to bank managers and financial analysts dealing with efficiency modelling.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1504/IJCEE.2020.107370","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45052441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-05-14DOI: 10.1504/ijcee.2020.10029489
D. Thomakos, Hossein Hassani
The problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root is studied. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns) and finding an appropriate smoother is thus of immediate practical interest. The filter and resulting smoother are based on the methodology of singular spectrum analysis (SSA). An explicit representation for the asymptotic decomposition of the covariance matrix is obtained. The structure of the impulse and frequency response functions indicates that the optimal filter has a 'permanent' and a 'transitory component', with the corresponding smoother being the sum of two such components. Moreover, a particular form for the extrapolation coefficients that can be used in out-of-sample prediction is proposed. In addition, an explicit representation for the filtering weights in the context of SSA for an arbitrary covariance matrix is derived. This result allows one to examine the specific effects of smoothing in any situation. The theoretical results are illustrated using different datasets, namely US inflation and real GDP growth.
{"title":"Using singular spectrum analysis for inference on seasonal time series with seasonal unit roots","authors":"D. Thomakos, Hossein Hassani","doi":"10.1504/ijcee.2020.10029489","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029489","url":null,"abstract":"The problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root is studied. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns) and finding an appropriate smoother is thus of immediate practical interest. The filter and resulting smoother are based on the methodology of singular spectrum analysis (SSA). An explicit representation for the asymptotic decomposition of the covariance matrix is obtained. The structure of the impulse and frequency response functions indicates that the optimal filter has a 'permanent' and a 'transitory component', with the corresponding smoother being the sum of two such components. Moreover, a particular form for the extrapolation coefficients that can be used in out-of-sample prediction is proposed. In addition, an explicit representation for the filtering weights in the context of SSA for an arbitrary covariance matrix is derived. This result allows one to examine the specific effects of smoothing in any situation. The theoretical results are illustrated using different datasets, namely US inflation and real GDP growth.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47792328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10031001
K. Weyerstrass, R. Neck, D. Blueschke, Boris Majcen, A. Srakar, M. Verbič
{"title":"Stabilisation policies in a small Euro area economy: taxes or expenditures A case study for Slovenia","authors":"K. Weyerstrass, R. Neck, D. Blueschke, Boris Majcen, A. Srakar, M. Verbič","doi":"10.1504/ijcee.2020.10031001","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10031001","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.104177
E. Musia
{"title":"Real options games between two competitors: the case of price war","authors":"E. Musia","doi":"10.1504/ijcee.2020.104177","DOIUrl":"https://doi.org/10.1504/ijcee.2020.104177","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1504/ijcee.2020.104177","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10028459
Varun Chotia
{"title":"INFRASTRUCTURE DEVELOPMENT AND INCOME INEQUALITY IN INDIA: AN EMPIRICAL INVESTIGATION","authors":"Varun Chotia","doi":"10.1504/ijcee.2020.10028459","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10028459","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.104155
B. Rüttimann
This paper summarises the research performed during the last 10 years regarding the globalisation phenomenon measuring and analysing the evolution of trade globalisation of the period 2003-2015. The goal was to find evidence for a new globalisation types model. Indeed, the economic system has become more complex during recent years, the current trade models not being able to capture individually the different aspects, not being universally applicable. The evolution of globalisation has been measured with a new entropy-based metric that computes the interweavement of trade flows. The research has shown that economic world trade has been globalising during recent years but with different patterns: de-globalising for advanced economies and globalising for emerging economies. These differences can be explained with this globalisation types model.
{"title":"Evidence for the globalisation types model integrating different trade theories","authors":"B. Rüttimann","doi":"10.1504/ijcee.2020.104155","DOIUrl":"https://doi.org/10.1504/ijcee.2020.104155","url":null,"abstract":"This paper summarises the research performed during the last 10 years regarding the globalisation phenomenon measuring and analysing the evolution of trade globalisation of the period 2003-2015. The goal was to find evidence for a new globalisation types model. Indeed, the economic system has become more complex during recent years, the current trade models not being able to capture individually the different aspects, not being universally applicable. The evolution of globalisation has been measured with a new entropy-based metric that computes the interweavement of trade flows. The research has shown that economic world trade has been globalising during recent years but with different patterns: de-globalising for advanced economies and globalising for emerging economies. These differences can be explained with this globalisation types model.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"17 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1504/ijcee.2020.104155","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/ijcee.2020.10031002
M. Shahateet
{"title":"The role of R&D in economic growth in Arab countries","authors":"M. Shahateet","doi":"10.1504/ijcee.2020.10031002","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10031002","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1504/IJCEE.2020.10023093
Jian Gan, Faruk Balli, E. Pierucci
{"title":"Determinants of risk sharing via exports: Trade openness and Specialization","authors":"Jian Gan, Faruk Balli, E. Pierucci","doi":"10.1504/IJCEE.2020.10023093","DOIUrl":"https://doi.org/10.1504/IJCEE.2020.10023093","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"10 1","pages":"380"},"PeriodicalIF":0.1,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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