scholarly journals Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach

Econometrics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 45
Author(s):  
Xin Jin ◽  
Jia Liu ◽  
Qiao Yang
Keyword(s):  
Forecast Performance ◽  
New Approach ◽  
Density Prediction ◽  
Ex Post ◽  
Covariance Estimator ◽  
Covariance Modeling ◽  
Modeling And Forecasting ◽  
Realized Covariance ◽  
Density Forecasting ◽  
Prediction Approach

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast performance of a covariance estimator can be assessed according to its improvement in return density forecasting. Empirical applications to equity data show that several RCOV estimators consistently perform better than others and emphasize the importance of RCOV selection in covariance modeling and forecasting.

Survey Data Quality in Analyzing Harmonized Indicators of Protest Behavior: A Survey Data Recycling Approach

2021 ◽  
pp. 000276422110216
Author(s):  
Kazimierz M. Slomczynski ◽  
Irina Tomescu-Dubrow ◽  
Ilona Wysmulek
Keyword(s):  
Data Processing ◽  
Data Quality ◽  
Survey Data ◽  
A Priori ◽  
Data Sets ◽  
New Approach ◽  
Survey Quality ◽  
Survey Error ◽  
Ex Post ◽  
The Impact

This article proposes a new approach to analyze protest participation measured in surveys of uneven quality. Because single international survey projects cover only a fraction of the world’s nations in specific periods, researchers increasingly turn to ex-post harmonization of different survey data sets not a priori designed as comparable. However, very few scholars systematically examine the impact of the survey data quality on substantive results. We argue that the variation in source data, especially deviations from standards of survey documentation, data processing, and computer files—proposed by methodologists of Total Survey Error, Survey Quality Monitoring, and Fitness for Intended Use—is important for analyzing protest behavior. In particular, we apply the Survey Data Recycling framework to investigate the extent to which indicators of attending demonstrations and signing petitions in 1,184 national survey projects are associated with measures of data quality, controlling for variability in the questionnaire items. We demonstrate that the null hypothesis of no impact of measures of survey quality on indicators of protest participation must be rejected. Measures of survey documentation, data processing, and computer records, taken together, explain over 5% of the intersurvey variance in the proportions of the populations attending demonstrations or signing petitions.

scholarly journals Optimization of Laser Powder Bed Fusion Processing Using a Combination of Melt Pool Modeling and Design of Experiment Approaches: Density Control

2019 ◽  
Vol 3 (1) ◽  
pp. 21 ◽  
Author(s):  
Morgan Letenneur ◽  
Alena Kreitcberg ◽  
Vladimir Brailovski
Keyword(s):  
Scanning Speed ◽  
Powder Bed Fusion ◽  
Laser Powder Bed Fusion ◽  
Powder Bed ◽  
Density Prediction ◽  
Melt Pool ◽  
Density Control ◽  
Pool Model ◽  
Conventional Material ◽  
Prediction Approach

A simplified analytical model of the laser powder bed fusion (LPBF) process was used to develop a novel density prediction approach that can be adapted for any given powder feedstock and LPBF system. First, calibration coupons were built using IN625, Ti64 and Fe powders and a specific LPBF system. These coupons were manufactured using the predetermined ranges of laser power, scanning speed, hatching space, and layer thickness, and their densities were measured using conventional material characterization techniques. Next, a simplified melt pool model was used to calculate the melt pool dimensions for the selected sets of printing parameters. Both sets of data were then combined to predict the density of printed parts. This approach was additionally validated using the literature data on AlSi10Mg and 316L alloys, thus demonstrating that it can reliably be used to optimize the laser powder bed metal fusion process.

scholarly journals The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company

Energies ◽  
2018 ◽  
Vol 11 (8) ◽  
pp. 2093 ◽  
Author(s):  
Umut Ugurlu ◽  
Oktay Tas ◽  
Aycan Kaya ◽  
Ilkay Oksuz
Keyword(s):  
Short Term Memory ◽  
Mean Absolute Error ◽  
Absolute Error ◽  
Economic Loss ◽  
Electricity Price ◽  
Mixed Integer ◽  
Forecast Performance ◽  
Price Forecast ◽  
Ex Post ◽  
Loss Index

Electricity price forecasting has a paramount effect on generation companies (GenCos) due to the scheduling of the electricity generation scheme according to electricity price forecasts. Inaccurate electricity price forecasts could cause important loss of profits to the suppliers. In this paper, the financial effect of inaccurate electricity price forecasts on a hydro-based GenCo is examined. Electricity price forecasts of five individual and four hybrid forecast models and the ex-post actual prices are used to schedule the hydro-based GenCo using Mixed Integer Linear Programming (MILP). The financial effect measures of profit loss, Economic Loss Index (ELI) and Price Forecast Disadvantage Index (PFDI), as well as Mean Absolute Error (MAE) of the models are used for comparison of the data from 24 weeks of the year. According to the results, a hybrid model, 50% Artificial Neural Network (ANN)–50% Long Short Term Memory (LSTM), has the best performance in terms of financial effect. Furthermore, the forecast performance evaluation methods, such as Mean Absolute Error (MAE), are not necessarily coherent with inaccurate electricity price forecasts’ financial effect measures.

scholarly journals Performance Of Deterministic And Stochastic Trends Models In Forecasting The Behavior Of The Canadian Dollar And The Japanese Yen Against The US Dollar

2011 ◽  
Vol 5 (12) ◽  
Author(s):  
Arav Ouandlous
Keyword(s):  
Exchange Rate ◽  
Canadian Dollar ◽  
Forecast Performance ◽  
Stochastic Trends ◽  
The Us ◽  
Modeling And Forecasting ◽  
Rate Behavior ◽  
Us Dollar ◽  
Exchange Rate Models ◽  
Japanese Yen

The literature on modeling and forecasting exchange rate behavior shows that complex forecasting exchange rate models do not often outperform ARIMA models. We show that the same forecasting models applied to forecast the behavior of the Canadian dollar and the Japanese Yen against the US dollar produced varying forecast performance.

scholarly journals Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice

2016 ◽  
Vol 32 (1) ◽  
pp. 140-158 ◽  
Author(s):  
Laurent A. F. Callot ◽  
Anders B. Kock ◽  
Marcelo C. Medeiros
Keyword(s):  
Portfolio Choice ◽  
Covariance Matrices ◽  
Modeling And Forecasting ◽  
Realized Covariance

scholarly journals Reduced-form mechanism design and ex post fairness constraints

2021 ◽  
Author(s):  
Erya Yang
Keyword(s):  
Mechanism Design ◽  
Single Unit ◽  
Econ Theory ◽  
Reduced Form ◽  
New Approach ◽  
Ex Post ◽  
Implementation Problem ◽  
Fairness Constraints ◽  
Form Mechanism ◽  
Do So

AbstractThis paper incorporates fairness constraints into the classic single-unit reduced-form implementation problem (Border in Economet J Econ Soc, 59(4):1175–1187, 1991, Econ Theory 31(1):167–181, 2007; Che et al. in Econometrica 81(6): 2487–2520, 2013; Manelli and Vincent in Econometrica, 78(6):1905–1938, 2010) with two agents. To do so, I use a new approach that utilizes the results from Kellerer (Math Ann 144(4):323–344, 1961) and Gutmann et al. (Ann Prob 19:1781–1797, 1991). Under realistic assumptions on the constraints, the conditions are transparent and can be verified in polynomial time.

scholarly journals EVALUATION POSITIONS OF CREDIT UNIONS IN THE WORLD MARKET OF FINANCIAL SERVICES

2017 ◽  
Vol 16 (2 (2017)) ◽  
pp. 197-212
Author(s):  
Ruslana Ruska
Keyword(s):  
Financial Market ◽  
Financial Services ◽  
Credit Unions ◽  
World Market ◽  
Basic Principles ◽  
New Approach ◽  
Ex Post ◽  
The World ◽  
Different Types ◽  
Imperfect System

Credit unions have been functioning on the financial market of Ukraine for more than twenty years, and necessity of their existence is still questionable. Imperfect system which controls credit unions in our country often leads to distorted activity. Investigating the uniqueness of the world credit unions and basic principles of their activity stipulated the necessity of a completely new approach to the evaluation of credit unions positions in the world market of financial services. Due to the analysis of penetration it is educed that credit unions embrace a substantial financial market share on different world continents. A cluster analysis revealed that credit unions with the similar functions belong to the same cluster. After investigation of management monitoring systems of credit unions in different countries it has been established that these systems are rather «ex»/ «post» indicators of the present credit unions problems. Relations between regulators and credit unions are of different types. «Three Bucket Approach» methodology for credit unions and theoretical aspects of the methodology, which involves reserve formation on loans and its application have been considered.

A real product scandal’s impact on a high-equity brand: a new approach to assessing scandal impact

2018 ◽  
Vol 27 (4) ◽  
pp. 427-439 ◽  
Author(s):  
Verena Sabine Thaler ◽  
Uta Herbst ◽  
Michael A. Merz
Keyword(s):  
Brand Management ◽  
A Priori ◽  
Spillover Effects ◽  
Negative Effects ◽  
New Approach ◽  
Content Type ◽  
Ex Post ◽  
Research Findings ◽  
Longitudinal Support ◽  
The Impact

Purpose While product scandals generate many negative headlines, the extent of their impact on the scandalized brands’ equity remains unclear. Research findings are mixed. This might be because of the limitations of existing measurement approaches when investigating the effects of real crises after they occurred. This study aims to propose a new approach for measuring the impact of a real scandal on a high-equity brand using only post-crisis measures. Design/methodology/approach To overcome the challenge of comparing a priori and ex post outcome measures, this study draws on the brand management literature to evaluate a real scandal’s impact. Volkswagen’s emission scandal serves as a failure context. Two consumer experiments are conducted to examine its impact. Findings The results provide (longitudinal) support for the proposed evaluative approach. They reveal new evidence that building brand equity is a means to mitigate negative effects, and indicate that negative spillover effects within a high-equity brand portfolio are unlikely. Finally, this research identifies situations in which developing a new brand might be more beneficial than leveraging an existing brand. Practical implications This research has significant implications for firms with high-equity brands that might be affected by a scandal. The findings support managers to navigate their brands through a crisis. Originality/value This research adds to the discussion concerning the role of a brand’s equity in a crisis. Existing research findings are contradictory. This research provides new empirical evidence and another view on how to measure “impact”.

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