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Volume-herding interaction in the American market

BenSaïda, Ahmed; Jlassi, Mouna; Litimi, Houda - In: American Journal of Finance and Accounting 4 (2015) 1, pp. 50-69

This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by modifying the Cross-Sectional Standard Deviation (CSSD) model and the Cross-Sectional Absolute Deviation (CSAD) model. Results are inconclusive about the presence of herding in the...

Persistent link: https://www.econbiz.de/10011207764

Sample vs. Population Mean-Variance Efficient Portfolios

Levy, Haim; Kroll, Yoram - In: Management Science 26 (1980) 11, pp. 1108-1116

It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is...

Persistent link: https://www.econbiz.de/10009203692

The Silver Lining Effect: Formal Analysis and Experiments

Jarnebrant, Peter; Toubia, Olivier; Johnson, Eric - In: Management Science 55 (2009) 11, pp. 1832-1841

The silver lining effect predicts that segregating a small gain from a larger loss results in greater psychological value than does integrating them into a smaller loss. Using a generic prospect theory value function, we formalize this effect and derive conditions under which it should occur. We...

Persistent link: https://www.econbiz.de/10009203707

State of the Art---Utility Assessment Methods

Farquhar, Peter H. - In: Management Science 30 (1984) 11, pp. 1283-1300

This paper is a comprehensive study of methods for assessing unidimensional expected utility functions. The paper describes the utility assessment process in decision analysis and then reviews problem formulation, sources of bias in preference judgments, and the analysis of risk attitudes. Two...

Persistent link: https://www.econbiz.de/10009204102

A Maximum Decisional Efficiency Estimation Principle

Troutt, Marvin D. - In: Management Science 41 (1995) 1, pp. 76-82

This paper proposes a systematic approach to certain parameter estimation problems relevant to applied optimization … of statistics is discussed. The principle is first illustrated on a problem of group ideal point estimation. Next …, estimation of the ratio of ordering and holding costs in inventories managed by the EOQ model is considered. The results in both …

Persistent link: https://www.econbiz.de/10009204360

Finding Starting-Values for the Estimation of Vector STAR Models

Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study …

Persistent link: https://www.econbiz.de/10011147134

Modelling Inter-Regional Trade Flows: Data and Methodological Issues

d'Artis Kancs; Thissen, Mark - Economics and Econometrics Research Institute (EERI) - 2013

The present paper proposes an improved estimation strategy for estimating inter-regional trade flows. Our estimation …, from which many previous estimation approaches suffer. Hence, our estimation strategy is particulalry suitable for for …

Persistent link: https://www.econbiz.de/10011147734

Econométrie - Modélisation et inférence

Florens, Jean-Pierre; Marimoutou, Vêlayoudom; … - Département Sciences Sociales, Agriculture et … - 2004

Persistent link: https://www.econbiz.de/10011149157

A regional machine-building branch potential development management

Romanova, Olga; Starikov, Yevgeniy - In: Economy of region 1 (2009) 4, pp. 90-98

branchâ€™s development management based on the approach of strategic monitoring and develop tools of quantitative estimation …

Persistent link: https://www.econbiz.de/10011150377

A regional machine-building branch potential development management

Romanova, Olga; Starikov, Yevgeniy - In: Economy of region 1 (2009) 4, pp. 82-90

branchâ€™s development management based on the approach of strategic monitoring and develop tools of quantitative estimation …

Persistent link: https://www.econbiz.de/10011150423