Search Results - subject:"PCA Approach"

Corporate governance and shareholder litigation

Kalchev, Georgi - 2009

The probability for shareholder litigation is studied and how corporate governance characteristics and other factors explain it. Shareholder litigation results from failure of corporate governance. Thus a better quality of corporate governance is hypothesized to decrease the litigation...

Persistent link: https://www.econbiz.de/10011540783

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...

Persistent link: https://www.econbiz.de/10011293917

A factor analysis of trade integration : the case of Asian and Oceanic economies

Cheung, Yin-Wong; Yiu, Matthew S.; Chow, Kenneth K. - 2009

Persistent link: https://www.econbiz.de/10003974965

A Factor Analysis of Trade Integration : The Case of Asian and Oceanic Economies

Cheung, Yin-Wong - 2009

We study trade integration among 15 selected Asian and Oceanic economies using factor models. The principal component approach is employed to extract the common factor that drives trade integration from bilateral trade integration series. It is found that the estimated common trade integration...

Persistent link: https://www.econbiz.de/10012718130

Dynamics in systematic liquidity

Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2009

. Anderson, Jane M. Binner, Birger Nilsson⁄ May 26, 2009 Abstract We develop the principal component analysis (PCA) approach to …* Richard G. Anderson § Jane M. Binner ± Birger Nilsson May 26, 2009 We develop the principal component analysis (PCA …) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods …

Persistent link: https://www.econbiz.de/10003844567

Revisiting the Determinants of Productivity Growth : What's new?

Loko, Boileau - 2009

This paper studies the main determinants of total factor productivity (TFP) growth using principal component analysis and a dynamic panel data model and, through a case study, explores key areas where accelerated reforms in the Maghreb countries would boost TFP gains. The results reveal that...

Persistent link: https://www.econbiz.de/10014402271

A financial conditions index for Greece

Manning, Jonathan; Shamloo, Maral - 2015

We construct a Financial Conditions Index (FCI) for Greece as a surveillance tool to quantify the degree of the stress in the financial sector. We use principal component analysis to capture the information content of several financial indicators through a single index. We also construct an...

Persistent link: https://www.econbiz.de/10014390615

On the identification of sales forecasting models in the presence of promotions

Trapero, Juan R.; Kourentzes, Nikolaos; Fildes, Robert - In: Journal of the Operational Research Society : OR 66 (2015) 2, pp. 299-307

Persistent link: https://www.econbiz.de/10010487519

Outsourcing practices of Midwest US public universities

Johnson, Dana M.; Graman, Gregory A. - In: International journal of business excellence 8 (2015) 3, pp. 268-297

Persistent link: https://www.econbiz.de/10011538805

Public sector contribution to competitiveness

Patrizi, Vincenzo; Resce, Giuliano - In: Italian economic journal 1 (2015) 3, pp. 401-443

Persistent link: https://www.econbiz.de/10011544849