Search Results - subject:"Structural Models"

A Dynamic Model of Sponsored Search Advertising

Yao, Song; Mela, Carl F. - NET Institute - 2008

Sponsored search advertising is ascendant---Jupiter Research reports expenditures rose 28% in 2007 to $8.9B and will continue to rise at a 15% CAGR, making it one of the major trends to affect the marketing landscape. Yet little, if any empirical research focuses upon search engine marketing...

Persistent link: https://www.econbiz.de/10005622736

Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems

Aristei, D.; Pieroni, Luca - Department of Accounting, Economics and Finance, … - 2008

Private demand systems provide a practical application for analyzing identification issues in cointegration analysis. The paper conducts Montecarlo simulation experiments of cointegrated demand systems by assuming non-separability of government consumption. This framework enables further to test...

Persistent link: https://www.econbiz.de/10005749238

Forecast with judgment and models

Monti, Francesca - Nationale Bank van België/Banque national de Belqique (BNB) - 2008

This paper proposes a simple and model-consistent method for combining forecasts generated by structural micro-founded models and judgmental forecasts. The method also enables the judgmental forecasts to be interpreted through the lens of the model. We illustrate the proposed methodology with a...

Persistent link: https://www.econbiz.de/10005033328

Linking credit risk premia to the equity premium

Berg, Tobias; Kaserer, Christoph - Fakultät für Wirtschaftswissenschaften, Technische … - 2008

estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity … default barriers - which is usually necessary in traditional applications of structural models. Third, it is robust to model … changes. We examine the model of Duffie/Lando (2001) - which is one of the most sophisticated structural models currently …

Persistent link: https://www.econbiz.de/10009219916

Implied market loss given default: Structural-model approach

Seidler, Jakub - 2008

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...

Persistent link: https://www.econbiz.de/10010322322

Forecast with judgment and models

Monti, Francesca - 2008

Persistent link: https://www.econbiz.de/10011599088

Distribution-Free Structural Estimation with Nonlinear Budget Sets

Liang, Che-Yuan - Nationalekonomiska Institutionen, Uppsala Universitet - 2014

I develop a structural method for evaluating labor supply in nonlinear budget sets that does not require any distributional assumptions. The model only requires that preferences are convex on the budget frontier. It can be extended to account for features such as fixed costs of work and the...

Persistent link: https://www.econbiz.de/10010818668

Welfare Measures to Assess Urban Quality of Life

Andreoli, Francesco; Michelangeli, Alessandra - Dipartimento di Economia, Metodi Quantitativi e … - 2014

The standard index of urban quality of life provides an approximated value of the quality of life, since it associates the bundles of amenities observed in urban areas with their implicit marginal prices, and not with the prices of infra-marginal units. In this paper, we adjust the standard...

Persistent link: https://www.econbiz.de/10010901422

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - In: Review of Derivatives Research 17 (2014) 1, pp. 39-78

literature differentiates between structural models that are based on modeling of the evolution of the balance sheet of the …

Persistent link: https://www.econbiz.de/10010989558

Identification and counterfactuals in dynamic models of market entry and exit

Aguirregabiria, Victor; Suzuki, Junichi - In: Quantitative Marketing and Economics 12 (2014) 3, pp. 267-304

This paper addresses a fundamental identification problem in the structural estimation of dynamic oligopoly models of market entry and exit. Using the standard datasets in existing empirical applications, three components of a firm’s profit function are not separately identified: the fixed...

Persistent link: https://www.econbiz.de/10010959212