Study of the impact of some factors determining the non-performing loans of the banking network from the public sector in sanction conditions: Application of Wavelet Transform and Markov Switching Models

In the present paper, we extend the current literature in algorithmic trading with Markov-switching models with generalized autoregressive conditional heteroskedastic (MS-GARCH) models. We performed this by using asymmetric log-likelihood functions (LLF) and variance models. From 2 January 2004 to 19 March 2021, we simulated 36 institutional investor’s portfolios. These used homogenous (either symmetric or asymmetric) Gaussian, Student’s t-distribution, or generalized error distribution (GED) and (symmetric or asymmetric) GARCH variance models. By including the impact of stock trading fees and taxes, we found that an institutional investor could outperform the S&P 500 stock index (SP500) if they used the suggested trading algorithm with symmetric homogeneous GED LLF and an asymmetric E-GARCH variance model. The trading algorithm had a simple rule, that is, to invest in the SP500 if the forecast probability of being in a calm or normal regime at t + 1 is higher than 50%. With this configuration in the MS-GARCH model, the simulated portfolios achieved a 324.43% accumulated return, of which the algorithm generated 168.48%. Our results contribute to the discussion on using MS-GARCH models in algorithmic trading with a combination of either symmetric or asymmetric pdfs and variance models.

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Markov-Switching Models with Endogenous Explanatory Variables II: A Two-Step MLE Procedure with Standard-Error Correction

SSRN Electronic Journal ◽

10.2139/ssrn.516683 ◽

2004 ◽

Cited By ~ 1

Author(s):

Chang-Jin Kim

Keyword(s):

Error Correction ◽

Standard Error ◽

Markov Switching ◽

Explanatory Variables ◽

Markov Switching Models ◽

Switching Models

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A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance

Mathematics ◽

10.3390/math9091030 ◽

2021 ◽

Vol 9 (9) ◽

pp. 1030

Author(s):

Oscar V. De la Torre-Torres ◽

Evaristo Galeana-Figueroa ◽

José Álvarez-García

Keyword(s):

Markov Switching ◽

Stock Index ◽

Portfolio Performance ◽

Trading Costs ◽

Weighting Method ◽

Treasury Bills ◽

Markov Switching Models ◽

Switching Models ◽

Asset Portfolio ◽

Stock Portfolio

In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific probabilities at T + 1 and used them as the weighting method of a diversified portfolio in ESTOXX50 and ESTOSS50 volatility index (VSTOXX) futures. With the estimated smoothed probabilities from 9 July 2009 to 29 September 2020, we simulated the performance of three theoretical investors who paid different trading costs and invested in ESTOXX50 during calm periods (low volatility regime) or VSTOXX futures and the three-month German treasury bills in distressed or highly distressed periods (high and extreme volatility regimes). Our results suggest that diversification benefits hold in the short-term, but if a given investor manages a two-asset portfolio with ESTOXX50 and our simulated portfolios, the stock portfolio’s performance is enhanced significantly, in the long term, with the presence of trading costs. These results are of use to practitioners for algorithmic and active trading applications in ESTOXX50 ETFs and VSTOXX futures.

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Long-term effectiveness of elderly health care voucher scheme strategies: a system dynamics simulation analysis

BMC Public Health ◽

10.1186/s12889-021-11280-z ◽

2021 ◽

Vol 21 (1) ◽

Author(s):

Ka Chun Chong ◽

Hong Fung ◽

Carrie Ho Kwan Yam ◽

Patsy Yuen Kwan Chau ◽

Tsz Yu Chow ◽

...

Keyword(s):

Primary Care ◽

Chronic Disease ◽

Public Sector ◽

System Dynamics ◽

The Elderly ◽

Healthcare Services ◽

Dynamics Simulation ◽

Public And Private ◽

The Public ◽

The Impact

Abstract Background The elderly healthcare voucher (EHCV) scheme is expected to lead to an increase in the number of elderly people selecting private primary healthcare services and reduce reliance on the public sector in Hong Kong. However, studies thus far have reported that this scheme has not received satisfactory responses. In this study, we examined changes in the ratio of visits between public and private doctors in primary care (to measure reliance on the public sector) for different strategic scenarios in the EHCV scheme. Methods Based on comments from an expert panel, a system dynamics model was formulated to simulate the impact of various enhanced strategies in the scheme: increasing voucher amounts, lowering the age eligibility, and designating vouchers for chronic conditions follow-up. Data and statistics for the model calibration were collected from various sources. Results The simulation results show that the current EHCV scheme is unable to reduce the utilization of public healthcare services, as well as the ratio of visits between public and private primary care among the local aging population. When comparing three different tested scenarios, even if the increase in the annual voucher amount could be maintained at the current pace or the age eligibility can be lowered to include those aged 60 years, the impact on shifts from public-to-private utilization were insignificant. The public-to-private ratio could only be marginally reduced from 0.74 to 0.64 in the first several years. Nevertheless, introducing a chronic disease-oriented voucher could result in a significant drop of 0.50 in the public-to-private ratio during the early implementation phase. However, the effect could not be maintained for an extended period. Conclusions Our findings will assist officials in improving the design of the EHCV scheme, within the wider context of promoting primary care among the elderly. We suggest that an additional chronic disease-oriented voucher can serve as an alternative strategy. The scheme must be redesigned to address more specific objectives or provide a separate voucher that promotes under-utilized healthcare services (e.g., preventive care), instead of services designed for unspecified reasons, which may lead to concerns regarding exploitation.

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Public Sector Employment, Quality of Government, and Well-Being: A Global Analysis

International Area Studies Review ◽

10.1177/22338659211011747 ◽

2021 ◽

pp. 223386592110117

Author(s):

Robert Davidson ◽

Alexander Pacek ◽

Benjamin Radcliff

Keyword(s):

Public Sector ◽

Global Analysis ◽

Well Being ◽

Subjective Well Being ◽

Cross Sectional ◽

Political Factors ◽

The Public ◽

Employment Quality ◽

The Impact

While a growing literature within the study of subjective well-being demonstrates the impact of socio-political factors on subjective well-being, scholars have conspicuously failed to consider the role of the size and scope of government as determinants of well-being. Where such studies exist, the focus is largely on the advanced industrial democracies of the Organization for Economic Co-Operation and Development. In this study, we examine the size of the public sector as a determinant of cross-national variation in life satisfaction across a worldwide sample. Our findings strongly suggest that as the public sector grows, subjective well-being increases as well, conditional on the extent of quality of government. Using cross-sectional data on 84 countries, we show this relationship has an independent and separable impact from other economic and political factors.

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Up the Garden Path? Enterprise Bargaining and Decentralization in the NSW Public Sector

Journal of Industrial Relations ◽

10.1177/002218569503700201 ◽

1995 ◽

Vol 37 (2) ◽

pp. 203-217 ◽

Cited By ~ 4

Author(s):

Michael O'Donnell

Keyword(s):

Public Sector ◽

New South ◽

Industrial Relations ◽

New South Wales ◽

Green Paper ◽

Garden Path ◽

Reform Agenda ◽

The Public ◽

South Wales ◽

The Impact

Decentralizing industrial relations within New South Wales is a central recom mendation of the Niland Green Paper (1989). Decentralism also represents the cornerstone of the New South Wales government's industrial relations reform agenda enshrined in the New South Wales Industrial Relations Act 1991. To date there has been little analysis of the impact o f this legislative change on industrial relations in the New South Wales public sector. This paper provides a case study that examines the degree to which responsibility for bargaining has been devolved within the Parks and Gardens of the New South Wales Ministry for the Environ ment. It argues that, in contrast to the rhetoric of the New South Wales Act, the central agency presiding over the introduction of enterprise bargaining in the public sector, the Public Employment and Industrial Relations Authority; has been reluctant to delegate responsibility to parties in the workplace.

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Modeling and forecasting of rainfall reoccurrence changes using Markov Switching in Iran

SN Applied Sciences ◽

10.1007/s42452-021-04728-9 ◽

2021 ◽

Vol 3 (8) ◽

Author(s):

Majid Javari

Keyword(s):

Environmental Planning ◽

Rainfall Variability ◽

Markov Switching ◽

Daily Rainfall ◽

First Order ◽

Markov Switching Models ◽

Markov Transition Matrix ◽

Switching Models ◽

Markov Transition ◽

Modeling And Forecasting

AbstractThis paper represents the recurrence (reoccurrence) changes in the rainfall series using Markov Switching models (MSM). The switching employs a dynamic pattern that allows a linear model to be combined with nonlinearity models a discrete structure. The result is the Markov Switching models (MSM) reoccurrence predicting technique. Markov Switching models (MSM) were employed to analyze rainfall reoccurrence with spatiotemporal regime probabilities. In this study, Markov Switching models (MSM) were used based on the simple exogenous probability frame by identifying a first-order Markov process for the regime probabilities. The Markov transition matrix and regime probabilities were used to analyze the rainfall reoccurrence in 167 synoptic and climatology stations. The analysis results show a low distribution from 0.0 to 0.2 (0–20%) per day spatially from selecting stations, probability mean of daily rainfall recurrence is 0.84, and a different distribution based on the second regime was found to be more remarkable to the rainfall variability. The rainfall reoccurrence in daily rainfall was estimated with relatively low variability and strong reoccurrence daily with ranged from 0.851 to 0.995 (85.1–99.5%) per day based on the spatial distribution. The variability analysis of rainfall in the intermediate and long variability and irregular variability patterns would be helpful for the rainfall variability for environmental planning.

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COVID’s Effect on India’s Health Services: A Commentary

Social Change ◽

10.1177/00490857211051305 ◽

2021 ◽

Vol 51 (4) ◽

pp. 483-492

Author(s):

Imrana Qadeer

Keyword(s):

Public Sector ◽

Health Services ◽

Healthcare Services ◽

The Public ◽

State Authority ◽

Comprehensive Framework ◽

The Impact ◽

Second Wave

Using a comprehensive framework (the state’s will to deliver, its institutional strength and its legitimacy), this article assesses the impact of the COVID-19 pandemic on public sector healthcare services in India. The power to deliver was explicit when the interventions were harsh, increasing the burden of death and disease on health services. But when it came to healthcare by the public sector we find a worsening of achievements of non-COVID ailments during the pandemic and an inability to tackle the second wave due to gaps in the nation's infrastructure, a centralised control undermining state authority; and visible results of a flawed policy that pushed further the agenda of making healthcare a profitable business.

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Research from China finds no significant difference in impact of public service motivation (PSM) in public and private sectors

Human Resource Management International Digest ◽

10.1108/hrmid-08-2021-0169 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Keyword(s):

Public Sector ◽

Private Sector ◽

Employee Performance ◽

Intention To Leave ◽

Public And Private ◽

Content Type ◽

The Public ◽

Significant Difference ◽

Set Up ◽

The Impact

Purpose The authors assumed PSM would be higher in the public sector, but they set up a trial to find out if this was the case. Design/methodology/approach To test their theories, the authors conducted two independent surveys. The first consisted of 220 usable responses from public sector employees in Changsha, China. The second survey involved 260 usable responses from private sector employees taking an MBA course at a university in the Changsha district. A questionnaire was used to assess attitudes. Findings The results found no significant difference between the impact of public sector motivation (PSM) on employee performance across the public and private sectors. The data showed that PSM had a significant impact on self-reported employee performance, but the relationship did not differ much between sectors. Meanwhile, it was in the private sector that PSM had the greatest impact on intention to leave. Originality/value The authors said the research project was one of the first to test if the concept of PSM operated in the same way across sectors. It also contributed, they said, to the ongoing debate about PSM in China.

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The Influence of Strategic Leadership on Building Employees’ Entrepreneurial Orientation: A Field Study at the Jordanian Public Sector

International Business Research ◽

10.5539/ibr.v10n6p62 ◽

2017 ◽

Vol 10 (6) ◽

pp. 62

Author(s):

Sahar Mohammad Abu Bakir

Keyword(s):

Public Sector ◽

Entrepreneurial Orientation ◽

Change Agent ◽

Strategic Leadership ◽

Successful Implementation ◽

Continuous Control ◽

The Public ◽

Governmental Organizations ◽

The Impact

The public sector in Jordan is confronting many problems; reports show that citizens are not contented with the number and quality of current services. Consequently; persistent initiatives to uphold the sector performance took place at all levels, relying on the inventive employees and leadership to achieve the intended improvement. So this study seeks to test the impact of strategic leadership (charismatic, visionary, change agent and servant) on building entrepreneurial orientation (proactiveness, innovativeness and risk taking) in Jordanian public sector employees.A random sample was selected of 500 employees working at health, education, agriculture and other service governmental organizations. To obtain the required results multiple regression was calculated using (21) SPSS version.It was found that the charismatic, change agent, servant styles positively influence employees proaciveness, with no influence on the other two entrepreneurship dimensions. While visionary style has no significant influence on all entrepreneurship dimensions. However the public sector reform is achievable, through comprehensive strategies, successful implementation, and effective continuous control. Innovative departments need to be established and financed away from bureaucratic environments.

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