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Financial market Volatility, macroeconomic fundamentals and investor Sentiment
فراریت بازار مالی، اساس های اقتصاد کلان و احساسات سرمایه گذار-2018 In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a transitory short run component. Using a structural VAR model with Bayesian sign restrictions, we show that adverse shocks to aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that adverse shocks to the persistent component of either stock or bond market volatility cause a deterioration in macroeconomic fundamentals. We find no evidence of a relationship between the transitory component of volatility and macroeconomic fundamentals. Instead, we find that the transitory component is more closely associated with changes in investor sentiment. Our results are robust to a wide range of alternative specifications. Out-of-sample forecasting shows that the components of volatility can improve forecasts of macroeconomic fundamentals, and vice versa.
keywords: Stock and bond market volatility |Two-factor volatility model |Macroeconomic fundamentals |Structural vector autoregression |Bayesian estimation |
مقاله انگلیسی |
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زمان آن فرا رسیده است: به سوی تخمین بیزی SEM در تحقیقات گردشگری
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 12 - تعداد صفحات فایل doc فارسی: 39 با اینکه درحال حاضر دیدگاه مدلسازی ساختاری معادله ای (SEM) بیزی توجه زیادی را در منابع علمی جلب کرده است، اما مطالعات گردشگری هنوزهم برای تخمین SEM به شدت روی دیدگاه مبتنی بر هم – پراکنش تکیه می کنند. مجله زیفور و اوسوالد (2013) در یک شماره ویژه اختصاص یافته به این موضوع، از عبارت "انقلاب بیزی" برای توصیف رشد سریع دیدگاه بیزی دربین رشته های مختلف علوم اجتماعی استفاده کرده است. این روش چندین مزیت را معرفی می کند که تخمین SEM را انعطاف پذیرتر و قدرتمندتر می کند. هدف ما در این مقاله معرفی قدرت دیدگاه بیزی به محققان گردشگری و بحث روی مزایای منحصر به فرد آن از طریق دیدگاه مبتنی بر هم پراکنش می باشد. ما ابتدا برخی پایه های تخمین و استنتاج بیزی را ارائه می دهیم. سپس با استفاده از یک کاربرد گردشگری، نمایی از این روش را نشان می دهیم. این مقاله همچنین یک شبیه سازی مونت کارلو را انجام می دهد تا عملکرد دیدگاه بیزی را در نمونه های کوچک نشان دهد و روی زمینه های مختلف پیچیده SEM بحث کند جاییکه دیدگاه بیزی مزایای منحصر به فردی را فراهم می کند.
کلیدواژه ها: دیدگاه بیزی | SEM | نمونه های کوچک | شبیه سازی مونت کارلو |
مقاله ترجمه شده |
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The time has come: Toward Bayesian SEM estimation in tourism research
زمان فرا رسیده است: به سوی شبیه سازی بیزی SEM در تحقیقات گردشگری-2018 While the Bayesian SEM approach is now receiving a strong attention in the literature, tourism studies still heavily rely on the covariance-based approach for SEM estimation. In a recent special issue dedicated to the topic, Zyphur and Oswald (2013) used the term “Bayesian revolution” to describe the rapid growth of the Bayesian approach across multiple social science disciplines. The method introduces several advantages that make SEM estimation more flexible and powerful. We aim in this paper to introduce tourism researchers to the power of the Bayesian approach and discuss its unique advantages over the covariance-based approach. We provide first some foundations of Bayesian estimation and inference. We then present an illustration of the method using a tourism application. The paper also conducts a Monte Carlo simulation to illustrate the performance of the Bayesian approach in small samples and discuss several complicated SEM contexts where the Bayesian approach provides unique advantages.
keywords: Bayesian approach |SEMS |mall samples |Monte Carlo simulation |
مقاله انگلیسی |
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Modelling the asymmetric probabilistic delay of aircraft arrival
مدل سازی تاخیر احتمالی نامتقارن از ورود هواپیما-2017 The main purpose of this paper is to present an asymmetric logit probability model to estimate and
predict the daily probabilities of delay in aircraft arrivals. The proposed model takes into account sta
tistical regularity, noting that more arrivals are on time than delayed, thus reflecting an asymmetric
pattern of behaviour. The data analysed were obtained from the BTS and IATA databases for December
2014, corresponding to delays within the US airspace system for each carrier, measured at various US
airports. The model was evaluated by analysing both inesample and outeofesample data, for main and
control samples. The performance of the proposed asymmetric Bayesian logit model was compared with
that of two others: frequentist logit and symmetric Bayesian logit. The main conclusion drawn is that the
model we propose obtains the best fit, according to the statistics considered, and identifies a novel
delaying factor, namely distance, which is not identified by the other models analysed.
Keywords: Airports | Asymmetric link | Delay | Logit models | Bayesian estimation |
مقاله انگلیسی |
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Photo-z-SQL: Integrated, flexible photometric redshift computation in a database
عکس-Z-SQL: مجتمع، انعطاف پذیر محاسبات انتقال به سرخ فتومتریک در یک پایگاه داده-2017 We present a flexible template-based photometric redshift estimation framework, implemented in C#,
that can be seamlessly integrated into a SQL database (or DB) server and executed on-demand in SQL. The
DB integration eliminates the need to move large photometric datasets outside a database for redshift
estimation, and utilizes the computational capabilities of DB hardware. The code is able to perform both
maximum likelihood and Bayesian estimation, and can handle inputs of variable photometric filter sets
and corresponding broad-band magnitudes. It is possible to take into account the full covariance matrix
between filters, and filter zero points can be empirically calibrated using measurements with given
redshifts. The list of spectral templates and the prior can be specified flexibly, and the expensive synthetic
magnitude computations are done via lazy evaluation, coupled with a caching of results. Parallel execution
is fully supported. For large upcoming photometric surveys such as the LSST, the ability to perform in
place photo-z calculation would be a significant advantage. Also, the efficient handling of variable filter
sets is a necessity for heterogeneous databases, for example the Hubble Source Catalog, and for cross
match services such as SkyQuery. We illustrate the performance of our code on two reference photo
z estimation testing datasets, and provide an analysis of execution time and scalability with respect to
different configurations. The code is available for download at https://github.com/beckrob/Photo-z-SQL.
Keywords: Galaxies: distances and redshifts | Techniques: photometric | Astronomical databases: miscellaneous |
مقاله انگلیسی |
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Strategic management of next-generation connected life: Focusing on smart key and car-home connectivity
مدیریت استراتژیک نسل بعدی زندگی پیوسته: تمرکز بر روی کلید هوشمند و اتصال ماشین-خانه-2016 With the development of wireless technology, connectivity is becoming a more common feature of daily life. Connected cars and smart homes are typical examples, and the two markets are beginning to merge, as indicated by Apple's launch of “CarPlay” and “Home Kit” and iControl's partnership with Zubie. However, little research has been done on this subject because the integration of connected cars and smart homes has just begun. This study examines consumer preference for smart key functions (vehicle functions requested from outside the car) and car–home connectivity functions (communications between car and home), among others. Both revealed and stated preference datasets from a survey of U.S. drivers are used. The multivariate probit model and Bayesian es- timation method are used to analyze consumer preferences. The results showed different preferences depending on socio-demographics and vehicle types. This paper provides marketing strategies for smart key functions and car–home connectivity functions by revealing socio-demographic characteristics and consumer preferences.© 2015 Elsevier Inc. All rights reserved.
Keywords: Connected car | Smart home | Car–home connectivity function | Multivariate probit model | Bayesian estimation | Consumer preference |
مقاله انگلیسی |