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The latest content from StatisticsViews.http://www.statisticsviews.comLeverage Dynamics and the Burden of Debt
http://www.statisticsviews.com/details/journalArticle/11170796/Leverage-Dynamics-and-the-Burden-of-Debt.html
Abstract In addition to leverage, the debt service burden of households and firms is an important link between financial and real developments at the aggregate level. Using US data from 1985 to 2017, we find that the debt service burden has sizeable negative effects on expenditure. Its interplay with leverage also explains several data puzzles, including the lack of above‐trend output growth during credit booms and the severity of ensuing recessions, without appealing to large shocks or...]]>2019-07-18T22:29:08ZVolatility asymmetry in functional threshold GARCH model
http://www.statisticsviews.com/details/journalArticle/11170800/Volatility-asymmetry-in-functional-threshold-GARCH-model.html
Modeling volatility is one of the prime objectives of financial time‐series analysis. A significant feature encountered in the modeling of financial data is the asymmetric response to the volatility process of unanticipated shocks. With improvements in data acquisition, functional versions of the heteroskedastic models have emerged to deal with the high‐frequency observations. Although previous studies have developed some functional time‐series methods, it remains a necessity to analyze the...]]>2019-07-18T20:14:13ZMaintaining systems with heterogeneous spare parts
http://www.statisticsviews.com/details/journalArticle/11170795/Maintaining-systems-with-heterogeneous-spare-parts.html
Abstract We consider the problem of optimally maintaining a stochastically degrading, single‐unit system using heterogeneous spares of varying quality. The system's failures are unannounced; therefore, it is inspected periodically to determine its status (functioning or failed). The system continues in operation until it is either preventively or correctively maintained. The available maintenance options include perfect repair, which restores the system to an as‐good‐as‐new condition, and...]]>2019-07-18T07:35:40ZUsing mixture‐amount modeling to optimize the advertising...
http://www.statisticsviews.com/details/journalArticle/11170799/Using-mixtureamount-modeling-to-optimize-the-advertising___.html
Abstract One of the critical decisions in media planning is how to allocate advertising efforts across different media. While studies indicate that marketers can create positive synergy effects by spreading their effort across several media, there is little understanding of how much should be invested in each specific medium to optimize advertising results. In this study, we apply a novel methodology, mixture‐amount modeling, which allows advertisers to determine the optimal allocation of...]]>2019-07-18T02:18:59ZTransport costs in new economic geography models: A more...
http://www.statisticsviews.com/details/journalArticle/11170424/Transport-costs-in-new-economic-geography-models-A-more___.html
This paper proposes an alternative method to the iceberg approach for modeling transport costs. Instead of part of the good evaporating in transit, we take as our basis the idea that certain workers in companies are in productive occupations in the strict sense, and others work in transport. This simple change is found to be capable of overcoming most of the criticisms associated with the iceberg approach.]]>2019-07-17T22:19:17ZAn exact branch‐and‐price algorithm for multitasking...
http://www.statisticsviews.com/details/journalArticle/11170420/An-exact-branchandprice-algorithm-for-multitasking___.html
Abstract We consider the multitasking scheduling problem on unrelated parallel machines to minimize the total weighted completion time. In this problem, each machine processes a set of jobs, while the processing of a selected job on a machine may be interrupted by other available jobs scheduled on the same machine but unfinished. To solve this problem, we propose an exact branch‐and‐price algorithm, where the master problem at each search node is solved by a novel column generation scheme,...]]>2019-07-17T21:28:49ZOn Singular Spectrum Analysis And Stepwise Time Series...
http://www.statisticsviews.com/details/journalArticle/11170425/On-Singular-Spectrum-Analysis-And-Stepwise-Time-Series___.html
This article provides a detailed statistical analysis of a new approach to singular spectrum analysis (SSA). It examines SSA constructed using re‐scaled trajectories (RT‐SSA) and presents a theoretical analysis of RT‐SSA under very general conditions concerning the structure of the observed series. The spectral features of population ensemble models implicit in the large sample properties of RT‐SSA are investigated, motivating a new time series modelling methodology based on a stepwise...]]>2019-07-17T18:05:49ZRobust martingale selection problem and its connections to...
http://www.statisticsviews.com/details/journalArticle/11170422/Robust-martingale-selection-problem-and-its-connections-to___.html
Abstract We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no‐arbitrage deliberations. We obtain versions of the Fundamental Theorem of Asset Pricing in models spanning frictionless markets, models with proportional transaction costs, and models for illiquid markets. In all these models, we also incorporate trading constraints.]]>2019-07-17T06:26:31ZThe Impact of Tropical Storms on Households: Evidence from...
http://www.statisticsviews.com/details/journalArticle/11169910/The-Impact-of-Tropical-Storms-on-Households-Evidence-from___.html
Abstract This paper investigates the impact of tropical storms on Jamaican household consumption. We build a panel data set that follows individual households over time thus enabling us to take account of time invariant household and location unobservables that could be correlated with mean tropical storm exposure. Our results show that while the average damaging hurricane reduces per capita consumption by approximately 1.1%, more destructive events can cause losses multiple times this amount....]]>2019-07-15T22:22:50ZOptimal consumption and investment with liquid and illiquid...
http://www.statisticsviews.com/details/journalArticle/11169912/Optimal-consumption-and-investment-with-liquid-and-illiquid___.html
Abstract I consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio that consists of one bond, one liquid risky asset (no transaction costs), and one illiquid risky asset (proportional transaction costs). I fully characterize the optimal consumption and trading strategies in terms of the solution of the free boundary ordinary differential equation (ODE) with an integral constraint. I...]]>2019-07-15T01:32:10Z