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  Subjects -> BUSINESS AND ECONOMICS (Total: 3080 journals)
    - ACCOUNTING (90 journals)
    - BANKING AND FINANCE (261 journals)
    - BUSINESS AND ECONOMICS (1139 journals)
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    - PRODUCTION OF GOODS AND SERVICES (137 journals)
    - PUBLIC FINANCE, TAXATION (34 journals)
    - TRADE AND INDUSTRIAL DIRECTORIES (2 journals)

BUSINESS AND ECONOMICS (1139 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 9)
Abacus     Hybrid Journal   (Followers: 11)
Accounting Forum     Hybrid Journal   (Followers: 22)
Acta Amazonica     Open Access   (Followers: 3)
Acta Commercii     Open Access   (Followers: 2)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 4)
Acta Universitatis Danubius. Œconomica     Open Access  
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 3)
AD-minister     Open Access   (Followers: 2)
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 21)
Advances in Economics and Business     Open Access   (Followers: 12)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 57)
African Development Review     Hybrid Journal   (Followers: 33)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 1)
African Journal of Business Ethics     Open Access   (Followers: 7)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 4)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 4)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 126)
American Journal of Business     Hybrid Journal   (Followers: 15)
American Journal of Business and Management     Open Access   (Followers: 51)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 24)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 28)
American Journal of Evaluation     Hybrid Journal   (Followers: 12)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 18)
American Journal of Health Economics     Full-text available via subscription   (Followers: 13)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 26)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 1)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 28)
Annals of Operations Research     Hybrid Journal   (Followers: 8)
Annual Review of Economics     Full-text available via subscription   (Followers: 29)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 44)
Applied Economics Letters     Hybrid Journal   (Followers: 28)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 23)
Applied Mathematical Finance     Hybrid Journal   (Followers: 7)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 5)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 2)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 5)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 318)
Asia Pacific Viewpoint     Hybrid Journal  
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 14)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 3)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 7)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 6)
Asian Journal of Sustainability and Social Responsibility     Open Access  
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
Atlantic Economic Journal     Hybrid Journal   (Followers: 15)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 2)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 22)
Australian Economic Review     Hybrid Journal   (Followers: 6)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 10)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 11)
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 11)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 30)
Brookings Papers on Economic Activity     Open Access   (Followers: 47)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 7)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 16)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 6)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 17)
Business and Management Studies     Open Access   (Followers: 9)
Business and Politics     Hybrid Journal   (Followers: 6)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 6)
Business Ethics: A European Review     Hybrid Journal   (Followers: 16)
Business Horizons     Hybrid Journal   (Followers: 8)
Business Information Review     Hybrid Journal   (Followers: 13)
Business Management and Strategy     Open Access   (Followers: 40)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 12)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 17)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 54)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 9)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 26)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 11)
Case Studies in Business and Management     Open Access   (Followers: 8)
CBU International Conference Proceedings     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 1)
CESifo Economic Studies     Hybrid Journal   (Followers: 16)
Chain Reaction     Full-text available via subscription  
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 16)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 9)
China Economic Review     Hybrid Journal   (Followers: 10)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 11)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 2)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 24)
Compensation & Benefits Review     Hybrid Journal   (Followers: 6)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 5)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 15)
Computers & Operations Research     Hybrid Journal   (Followers: 10)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 6)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 5)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 4)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 8)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 1)
Cuadernos de Economía     Open Access   (Followers: 1)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 1)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 1)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 8)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 8)
Decision Sciences     Hybrid Journal   (Followers: 15)
Decision Support Systems     Hybrid Journal   (Followers: 15)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  
Development     Full-text available via subscription   (Followers: 23)
Development and Change     Hybrid Journal   (Followers: 46)
Development and Learning in Organizations     Hybrid Journal   (Followers: 7)

        1 2 3 4 5 6 | Last

Journal Cover Computational Economics
  [SJR: 0.24]   [H-I: 30]   [9 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1572-9974 - ISSN (Online) 0927-7099
   Published by Springer-Verlag Homepage  [2329 journals]
  • A Non-iterative Bayesian Sampling Algorithm for Linear Regression Models
           with Scale Mixtures of Normal Distributions
    • Authors: Fengkai Yang; Haijing Yuan
      Pages: 579 - 597
      Abstract: Abstract The scale mixtures of Normal distributions are used as a robust alternative to the normal distribution in linear regression modelling, and a non-iterative Bayesian sampling algorithm is developed to obtain independently and identically distributed samples approximately from the observed posterior distributions, which eliminates the convergence problems in iterative Gibbs sampling. Model selection and influential analysis are conducted to choose the best fitted model and to detect the latent outliers. The performances of the methodologies are illustrated through several simulation studies by comparison with the Normal regression and Gibbs sampling, and finally, the US treasury bond prices data is analyzed using the proposed algorithm.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9580-5
      Issue No: Vol. 49, No. 4 (2017)
       
  • Adaptive Quadrature for Maximum Likelihood Estimation of a Class of
           Dynamic Latent Variable Models
    • Authors: Silvia Cagnone; Francesco Bartolucci
      Pages: 599 - 622
      Abstract: Abstract Maximum likelihood estimation of models based on continuous latent variables generally requires to solve integrals that are not analytically tractable. Numerical approximations represent a possible solution to this problem. We propose to use the adaptive Gaussian–Hermite (AGH) numerical quadrature approximation for a particular class of continuous latent variable models for time-series and longitudinal data. These dynamic models are based on time-varying latent variables that follow an autoregressive process of order 1, AR(1). Two examples are the stochastic volatility models for the analysis of financial time series and the limited dependent variable models for the analysis of panel data. A comparison between the performance of AGH methods and alternative approximation methods proposed in the literature is carried out by simulation. Empirical examples are also used to illustrate the proposed approach.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9573-4
      Issue No: Vol. 49, No. 4 (2017)
       
  • Simple Agents, Intelligent Markets
    • Authors: Karim Jamal; Michael Maier; Shyam Sunder
      Pages: 653 - 675
      Abstract: Abstract Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market outcomes when human agents are replaced by boundedly-rational algorithmic agents who use a simple means-end heuristic. These algorithmic agents lack the capability to optimize; yet outcomes of markets populated by them converge near the equilibrium derived from optimization assumptions. These findings point to market structure (rather than cognition or optimization) being an important determinant of efficient aggregate level outcomes.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9582-3
      Issue No: Vol. 49, No. 4 (2017)
       
  • Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles
    • Authors: Aykut Ekinci; Halil İbrahim Erdal
      Pages: 677 - 686
      Abstract: Abstract The prediction of bankruptcy for financial companies, especially banks, has been extensively researched area and creditors, auditors, stockholders and senior managers are all interested in bank bankruptcy prediction. In this paper, three common machine learning models namely Logistic, J48 and Voted Perceptron are used as the base learners. In addition, an attribute-base ensemble learning method namely Random Subspaces and two instance-base ensemble learning methods namely Bagging and Multi-Boosting are employed to enhance the prediction accuracy of conventional machine learning models for bank failure prediction. The models are grouped in the following families of approaches: (i) conventional machine learning models, (ii) ensemble learning models and (iii) hybrid ensemble learning models. Experimental results indicate a clear outperformance of hybrid ensemble machine learning models over conventional base and ensemble models. These results indicate that hybrid ensemble learning models can be used as a reliable predicting model for bank failures.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9623-y
      Issue No: Vol. 49, No. 4 (2017)
       
  • Can Sentiment Analysis and Options Volume Anticipate Future Returns?
    • Authors: Patrick Houlihan; Germán G. Creamer
      Abstract: Abstract This paper evaluates the question of whether sentiment extracted from social media and options volume anticipates future asset return. The research utilized both textual based data and a particular market data derived call-put ratio, collected between July 2009 and September 2012. It shows that: (1) features derived from market data and a call-put ratio can improve model performance, (2) sentiment derived from StockTwits, a social media platform for the financial community, further enhances model performance, (3) aggregating all features together also facilitates performance, and (4) sentiment from social media and market data can be used as risk factors in an asset pricing framework.
      PubDate: 2017-05-24
      DOI: 10.1007/s10614-017-9694-4
       
  • Nonlinear Forecasting of Euro Area Industrial Production Using
           Evolutionary Approaches
    • Authors: Christos Avdoulas; Stelios Bekiros
      Abstract: Abstract Stock Watson (in: Mills T, Patterson K (eds) Palgrave handbook of econometrics, Palgrave MacMillan, Basingstoke, 2003) argue that robust forecastability is dependent upon the optimality of the estimated parameters. Whilst recent studies in macroeconomic forecasting report the superiority of nonlinear models, yet they still suffer from precise parameter estimation. Our approach introduces evolutionary programming to optimize the parameters of various Threshold Autoregressive models. We generate forecasts for industrial production and compare our results versus linear benchmarks and quasi-maximum likelihood estimates for three Euro area countries. Based on our robust method, central banks and policy-makers could dynamically adjust their monetary and fiscal policy predictions.
      PubDate: 2017-05-22
      DOI: 10.1007/s10614-017-9695-3
       
  • Testing for Constant Parameters in Nonlinear Models: A Quick Procedure
           with an Empirical Illustration
    • Authors: J. del Hoyo; G. Llorente; C. Rivero
      Abstract: Abstract This paper proposes a two-step method for an omnibus misspecification test for constant parameters in nonlinear models. The procedure is easy to implement and has a low computational cost. The asymptotic distribution and the consistency of the procedure are derived. Monte Carlo simulations support the relevance of the proposed method, evaluate the performance of the procedure, and highlight its small computational load. An empirical application illustrates the relevance of the procedure.
      PubDate: 2017-05-17
      DOI: 10.1007/s10614-017-9693-5
       
  • Fast and Adaptive Cointegration Based Model for Forecasting High Frequency
           Financial Time Series
    • Authors: Paola Arce; Jonathan Antognini; Werner Kristjanpoller; Luis Salinas
      Abstract: Abstract Cointegration is a long-run property of some non-stationary time series where a linear combination of those time series is stationary. This behaviour has been studied in finance because cointegration restrictions often improve forecasting. The vector error correction model (VECM) is a well-known econometric technique that characterises short-run variations of a set of cointegrated time series incorporating long-run relationships as an error correction term. VECM has been broadly used with low frequency time series. We aimed to adapt VECM to be used in finance with high frequency stream data. Cointegration relations change in time and therefore VECM parameters must be updated when new data is available. We studied how forecasting performance is affected when VECM parameters and the length of historical data used change in time. We observed that the number of cointegration relationships varies with the length of historical data used. Moreover, parameters that increased these relationships in time led to better forecasting performance. Our proposal, called an Adaptive VECM (AVECM) is to make a parameters grid search that maximises the number of cointegration relationships in the near past. To ensure the search can be executed fast enough, we used a distributed environment. The methodology was tested using four 10-s frequency time series of the Foreign Exchange market. We compared our proposal with ARIMA and the naive forecast of the random walk model. Numerical experiments showed that on average AVECM performed better than ARIMA and random walk. Additionally, AVECM significantly improved execution times with respect to its serial version.
      PubDate: 2017-05-12
      DOI: 10.1007/s10614-017-9691-7
       
  • A Spatial Game Theoretic Analysis of Conflict and Identity
    • Authors: Anirban Ghatak; Diganta Mukherjee; K. S. Mallikarjuna Rao
      Abstract: Abstract Using theoretical arguments and extensive simulations, in this paper we conclude that in a spatial evolutionary Hawk–Dove game with uncorrelated asymmetry and informational asymmetry, the evolutionarily stable strategy against multiple mutations (ESSMM) largely coincides with the fairness equilibria of Hawk–Dove game. The shift from one fairness equilibrium to another bases itself on risk dominance criterion. Moreover, we notice that in spatial games the ESSMM turns out to be pure strategy except in the case where every player has prior information about the identity of the other player. Our results has interesting implications for designing fair behaviour inducing mechanisms.
      PubDate: 2017-05-10
      DOI: 10.1007/s10614-017-9684-6
       
  • Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem
    • Authors: Dejun Xie; Nan Zhang; David A. Edwards
      Abstract: Abstract This work studies a mortgage borrower’s optimal refinancing strategy, which is formulated as the solution to a stochastic minimization problem with contingent conditions. The problem is framed in a business economic environment where the underlying discounting factor and mortgage interest rate are assumed to follow a two-dimensional stochastic process of Vasicek type. A complete Monte Carlo algorithm is developed and implemented. This algorithm generates the optimal refinancing surface as a function of time and the risk-free rate. Numerical examples with financial implications are provided.
      PubDate: 2017-05-08
      DOI: 10.1007/s10614-017-9689-1
       
  • Bayesian Variance Changepoint Detection in Linear Models with Symmetric
           Heavy-Tailed Errors
    • Authors: Shuaimin Kang; Guangying Liu; Howard Qi; Min Wang
      Abstract: Abstract Normality and static variance are very common assumptions in traditional financial theories and risk modeling for mathematical convenience. Empirical evidence suggests otherwise. With the rapid growth in volatility-based financial innovations and market, it is beneficial and essential to look beyond the traditional restrictive assumptions. This paper discusses Bayesian analysis of the variance changepoints problem in linear models with flexible error distributions. Specifically, we consider the class of scale mixtures of normal distributions, which not only exhibits symmetric heavy-tailed behavior, but also includes many common error distributions as special cases, such as the normal and Student-t distributions. Our proposed approach can reduce the influence of atypical observations and thus offer a robust technique for detecting the variance changepoints in many financial and economic data. We propose an efficient Gibbs sampling procedure to generate posterior samples and in turn to perform Bayesian inference. Simulation studies are conducted to demonstrate satisfactory performance of the proposed methodology. The closing price data set from the US stocks database is analyzed for illustrative purposes.
      PubDate: 2017-05-04
      DOI: 10.1007/s10614-017-9690-8
       
  • Multi Criteria Decision Making in Financial Risk Management with a
           Multi-objective Genetic Algorithm
    • Authors: Sujatha Srinivasan; T. Kamalakannan
      Abstract: Abstract A huge amount of data is being collected and stored by financial institutions like banks during their operations. These data contain the most important facts about the institutions and its customers. A good and efficient data analytics system can find patterns in this huge data source that can be used in actionable knowledge creation. Actionable knowledge is the knowledge that can be put to decision making and take some positive action towards better performance of organizations. This actionable knowledge is termed Business Intelligence by data scientists. Business Intelligence and Analytics is the process of applying data mining techniques to organizational or corporate data to discover patterns. Business Intelligence and Business Analytics are emerging as important and essential fields both for data scientists and organizations. Risk analysis, fraud detection, customer retention, customer satisfaction analysis and actuarial analysis are some of the areas of application of business intelligence and analytics. Credit risk analysis is an important part of a successful financial institution particularly in the banking sector. The current study takes this risk analysis in financial institutions and reviews the state of the art in using data analytics or data mining techniques for financial risk analysis. The analysis of risk from financial data depends on several factors that are both objective and subjective. Hence it is a multi-criteria decision problem. The study also proposes a multi-objective genetic algorithm (MOGA) for analyzing financial data for risk analysis and prediction. The proposed MOGA is different from other evolutionary systems in that a memory component to hold the rules is added to the system while other systems in the literature are memory less. The algorithm is applied to bench mark data sets for predicting the decision on credit card and credit applications. The preliminary results are encouraging and show light towards better decision making in reducing risks.
      PubDate: 2017-05-02
      DOI: 10.1007/s10614-017-9683-7
       
  • Debt Persistence in a Deflationary Environment: A Regime-Switching Model
    • Authors: Piero Ferri; Fabio Tramontana
      Abstract: Abstract Debt dynamics have been a central theme of discussioins in the “Great Recession”. The aim of the present paper is to study the persistence of sovereign debt within a business cycle perspective. In order to achieve this result, a Keynesian framework is considered where aggregate demand fluctuations generate quantity adjustment within a deflationary environment. Furthermore a regime switching technique, capable of generating bounded and robust endogenous fluctuations, is introduced. The piecewise linearity of the model, along with its discontinuities, obliges to operate with a low dimensional system in order to obtain two analytical results: the robustness of bounded fluctuations, and hence of debt persistence, and the driving role of growth. These results are extended to higher dimensions by means of simulations. Also in this case, the effectiveness of policies is confirmed.
      PubDate: 2017-04-27
      DOI: 10.1007/s10614-017-9687-3
       
  • Explaining Environmental Sustainability in Supply Chains Using Graph
           Theory
    • Authors: Zongwei Luo; Rameshwar Dubey; Thanos Papadopoulos; Benjamin Hazen; David Roubaud
      Abstract: Abstract The need for theory building in environmental supply chains has been at the centre of many discussions in recent years. Existing research, however, does not typically consider methods that aim at theory generation. Current methods such as econometric modelling or structural equation modelling face challenges related to how causality is established due to potential issues regarding cross-sectional data sets. To address this gap, this paper suggests a total interpretive structural modelling based approach. We use graph theory logic to synthesize expert interpretations in the form of a theoretical supply chain model. This method may prove to be an alternative method to econometric based modelling or structural equation modelling. We provide an application of the method in exploring the drivers of low carbon supply chain and their relationships. Limitations and future research opportunities are also provided.
      PubDate: 2017-04-26
      DOI: 10.1007/s10614-017-9688-2
       
  • Brownian Signals: Information Quality, Quantity and Timing in Repeated
           Games
    • Authors: António Osório
      Abstract: Abstract This paper examines different Brownian information structures over varying time intervals. We focus on the non-limit case, and on the trade-offs between information quality and quantity when making a decision whether to cooperate or defect in a prisoners’ dilemma game. In the best-case scenario, the information quality gains are strong enough so that agents can substitute information quantity with information quality. In the second best-case scenario, the information quality gains are weak and must be compensated for with additional information quantity. In this case, information quality improves but not quickly enough to dispense with the use of information quantity. For sufficiently large time intervals, information degrades and monitoring becomes mostly based on information quantity. The results depend crucially on the particular information structure and on the rate at which information quality improves or decays with respect to the discounting incentives.
      PubDate: 2017-04-25
      DOI: 10.1007/s10614-017-9685-5
       
  • New Splitting Scheme for Pricing American Options Under the Heston Model
    • Authors: Maryam Safaei; Abodolsadeh Neisy; Nader Nematollahi
      Abstract: Abstract In this paper, we present a new splitting scheme for pricing the American options under the Heston model. For this purpose, first the price of American put option is modeled, which its underlying asset value follows Heston’s stochastic volatility model , and then it is formulated as a linear complementarity problem (LCP) involving partial differential operator. By using new splitting scheme, the partial differential operator is decomposed into simpler operators in several fractional time steps. These operators are implicitly expressed in the implicit Adams–Moulton method. Then, the two-dimensional LCP is decomposed into three LCPs based on these operators. Each LCP is solved numerically in two steps. The numerical results obtained for the American option pricing problem based on the Heston model are compared with the reference results.
      PubDate: 2017-04-25
      DOI: 10.1007/s10614-017-9686-4
       
  • Performances of Model Selection Criteria When Variables are Ill
           Conditioned
    • Authors: Peter S. Karlsson; Lars Behrenz; Ghazi Shukur
      Abstract: Abstract Model selection criteria are often used to find a “proper” model for the data under investigation when building models in cases in which the dependent or explained variables are assumed to be functions of several independent or explanatory variables. For this purpose, researchers have suggested using a large number of such criteria. These criteria have been shown to act differently, under the same or different conditions, when trying to select the “correct” number of explanatory variables to be included in a given model; this, unfortunately, leads to severe problems and confusion for researchers. In this paper, using Monte Carlo methods, we investigate the properties of four of the most common criteria under a number of realistic situations. These criteria are the adjusted coefficient of determination ( \(\hbox {R}^{2}\) -adj), Akaike’s information criterion (AIC), the Hannan–Quinn information criterion (HQC) and the Bayesian information criterion (BIC). The results from this investigation indicate that the HQC outperforms the BIC, the AIC and the \(\hbox {R}^{2}\) -adj under specific circumstances. None of them perform satisfactorily, however, when the degree of multicollinearity is high, the sample sizes are small or when the fit of the model is poor (i.e., there is a low \(\hbox {R}^{2})\) . In the presence of all these factors, the criteria perform very badly and are not very useful. In these cases, the criteria are often not able to select the true model.
      PubDate: 2017-04-25
      DOI: 10.1007/s10614-017-9682-8
       
  • Forecasting Corporate Bankruptcy Using Accrual-Based Models
    • Authors: Philippe du Jardin; David Veganzones; Eric Séverin
      Abstract: Abstract Financial information has been widely used to design bankruptcy prediction models. All research works that have studied such models assume that financial statements are reliable. However, reality is a bit different. Indeed, firms may tend to present their financial accounts depending on particular circumstances, especially when seeking to change the perception of the risk incurred by their partners, and thus distort or alter some of them. Consequently, one may wonder to what extent such “manipulations”, called earnings management, may influence any model that relies on accounting data. This is why we study how earnings management may affect financial variables and how it can indirectly distort predictions made by failure models. For this purpose, we used a measure that makes it possible to assess potential account manipulations, and not effective manipulations. Our results show that when these distortions are measured and used with other financial variables, models are more accurate than those that solely rely on pure financial data. They also show that the improvement of model accuracy is essentially due to a reduction of type-I error—the costliest error in economic terms.
      PubDate: 2017-04-11
      DOI: 10.1007/s10614-017-9681-9
       
  • Testing for Periodic Integration with a Changing Mean
    • Authors: Tomás del Barrio; Mariam Camarero; Cecilio Tamarit
      Abstract: Abstract In this paper we extend the test of periodic integration proposed by Boswijk and Franses (J Time Ser Anal 17:221–245, 1996) allowing for a change in the mean. We provide the asymptotic distribution and show that is the square of the distribution obtained by Perron and Vogelsang (J Bus Econ Stat 10:467–470, 1992a, J Bus Econ Stat 10:301–320, 1992b). In a Monte-Carlo experiment we show a good behaviour of the test in terms of size and power. Finally we have illustrated the use of the test in an empirical application to the case of external imbalances in the eurozone.
      PubDate: 2017-04-11
      DOI: 10.1007/s10614-017-9680-x
       
  • Making Decisions in a Sustainable Development Context: A State-of-the-Art
           Survey and Proposal of a Multi-period Single Synthesizing Criterion
           Approach
    • Authors: Anissa Frini; Sarah Benamor
      Abstract: Abstract Making sustainable decisions is a major concern for government departments seeking to develop best practices and innovative methods to deal with complex decision-making problems. This article is concerned with decision-making in sustainable development contexts, which must guarantee a long-term balance between environmental integrity, social equality and economic efficiency, in addition to evaluating options over the short, medium and long term. This article provides an up-to-date survey of research that evaluates the sustainability of decisions and puts forward an innovative multi-period single synthesizing criterion approach for selecting projects in sustainable development contexts. The proposed approach is then used to select the best compromise out of several sustainable forest management options while considering economic benefits, environmental impact and decision-maker preferences.
      PubDate: 2017-04-10
      DOI: 10.1007/s10614-017-9677-5
       
 
 
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