Mostrando recursos 1 - 20 de 239

  1. $rec.titulo

    Lejay, Antoine; Pigato, Paolo

  2. Chilean residential and commercial real estate price index

    Bulnes Valdes, Juan José
    In the history of the Chilean real estate market, little has been done to study the price dynamic of real estate. Currently, the Chilean industry has two types of residential indices that do not effectively present the available information. One of the existing indices uses the correct methodology (Hedonic Method), but it does not represent the whole metropolitan residential market. The second index has enough data, but the methodology (stratification or mixed adjustment method) is not the most appropriate because of its simplicity, given the great quantity of information available on the market. We briefly review different index methodologies, and...

  3. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

    Guegan, Dominique; Zhang, Jing
    International audience

  4. Is Hosting the Games Enough to Win? A predictive economic model of medal wins at 2014 Winter Olympics

    Andreff, Wladimir
    An econometric model which has first been estimated on medal wins at Summer Olympics and has predicted 88% of medal distribution at Beijing Games 2008, is revisited for Winter Olympics. After changing some variables to take into account the winter sports specificity, the model is estimated again on all Winter Games since 1964.Then it is used to predict (forecast) the medal distribution per country at the 2014 Sochi Winter Olympics.

  5. Human capital, social capital and scientific research in Europe: an application of linear hierarchical models

    Goudard, Mathieu; Lubrano, Michel
    The theory of human capital is one way to explain individual decisions to produce scientific research. However, this theory, even if it reckons the importance of time in science, is too short for explaining the existing diversity of scientific output. The present paper introduces the social capital of Bourdieu (1980), Coleman (1988) and Putnam (1995) as a necessary complement to explain the creation of scientific human capital. This paper connects these two concepts by means of a hierarchical econometric model which makes the distinction between the individual level (human capital) and the cluster level of departments (social capital). The paper...

  6. Photovoltaic deployment: from subsidies to a market-driven growth: A panel econometrics approach

    Créti, Anna; Sinsin, Léonide Michael
    Many reviews were published these last years about the photovoltaic development. It also reflects the importance of green energy and business at the heart of today's preoccupations. According to the Global Market Outlook of May 2012, the global cumulative installed capacity switched from 40 GW to 70GW between 2010 and 2011. By the past, the PV growth was geographically concentred in a small fraction of countries: more than 70% in Germany, Spain, Italy and Bulgary for Eeurope, United States and Japan for the Rest of the World. Without deploying in their country, China firms have enacted an overwhelming competition to...

  7. Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term?

    CHEZE, Benoît; Chevallier, Julien; Gastineau, Pascal
    This article investigates whether anticipated technological progress can be expected to offset the CO2 emissions resulting from rapid air traffic growth. Global aviation CO2 emissions projections are examined for eight geographical zones until 2025. Air traffic flows are forecast using a dynamic panel-data econometric model, and then converted into corresponding quantities of air traffic CO2 emissions using specific hypotheses and energy factors. None of our nine scenarios appears compatible with the objective of 450 ppm CO2-eq. recommended by the Intergovernmental Panel on Climate Change. Nor is any compatible with the Panel’s aim of limiting global warming to 3.2 °C.

  8. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

    Lejay, Antoine; Pigato, Paolo
    In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage and mean-reversion effects in the dynamics of the prices. This model exhibits a regime switch in the dynamics accordingly to a certain threshold. It can be seen as a continuous time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation procedure for the volatility and drift coefficients as well as for the...

  9. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

    Lejay, Antoine; Pigato, Paolo
    In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage and mean-reversion effects in the dynamics of the prices. This model exhibits a regime switch in the dynamics accordingly to a certain threshold. It can be seen as a continuous time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation procedure for the volatility and drift coefficients as well as for the...

  10. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

    Lejay, Antoine; Pigato, Paolo
    In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage and mean-reversion effects in the dynamics of the prices. This model exhibits a regime switch in the dynamics accordingly to a certain threshold. It can be seen as a continuous time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation procedure for the volatility and drift coefficients as well as for the...

  11. Diseño de políticas sanitarias para la reducción de la mortalidad infantil en países en desarrollo: el caso de Angola

    Martín del Burgo Carrero, María Luisa
    Angola es uno de los países con peores indicadores de salud infantil. Su tasa de mortalidad de menores de cinco años es una de las más elevadas en el ranking mundial y, a pesar de las medidas adoptadas por el Gobierno angolano en materia de salud durante los últimos años, este país no ha logrado cumplir el Cuarto de los Objetivos del Milenio planteados por la Organización Mundial de la Salud (OMS), consistente en la reducción de la tasa de mortalidad de menores de cinco años en dos tercios durante el periodo 1990-2015. Paradójicamente, Angola ha presentado en los últimos...

  12. Why Have Bank Interest Margins Been so High in Indonesia Since the 1997/1998 Financial Crisis?

    Trinugroho, Irwan; Agusman, Agusman; Tarazi, Amine
    We investigate the determinants of net interest margins of Indonesian banks after the 1997/1998 financial crisis. Using data for 93 Indonesian banks over the 2001-2009 period, we estimate an econometric model using a pooled regression as well as static and dynamic panel regressions. Our results confirm that the structure of loan portfolios matters in the determination of interest margins. Operating costs, market power, risk aversion and liquidity risk have positive impacts on interest margins, while credit risk and cost to income ratio are negatively associated with margins. Our results also corroborate the loss leader hypothesis on cross-subsidization between traditional interest...

  13. El comportamiento del sector inmobiliario residencial en España (de 1977 a 2007): una aproximación a su modelización

    Salcedo Gómez, Julián
    La actividad inmobiliaria constituye un verdadero motor del crecimiento y del empleo y aporta una significativa contribución al PIB en todos los países. El subsector residencial contribuye a satisfacer una de las necesidades básicas de las personas, el acceso a la vivienda, y los restantes subsectores promueven el desarrollo mediante la construcción y rehabilitación de edificaciones, que hacen que la vida de las personas resulte más confortable. La elección del tema del trabajo de investigación no puede ser más oportuna, por cuanto hemos vivido uno de los ciclos más prolongados de bonanza en el sector, que ha durado más de...

  14. $rec.titulo

    Lejay, Antoine; Pigato, Paolo

  15. $rec.titulo

    Lejay, Antoine; Pigato, Paolo

  16. Impacts of Different Levels of Education on TFP Growth: Evidence from China

    Hua, Ping
    We calculate DEA Malmquist indices of productivity growth for the twenty-nine continental Chinese provinces for the period f 1993 to 2001. Using a panel econometric model of productivity growth, we investigate the different effects that primary education, secondary education and university education exert on total factor productivity growth. We show that university education has a favourable effect both on efficiency growth and technical progress, while primary education and secondary education have an unfavourable one on efficiency growth. Moreover, the favorable effect of university education on efficiency change is through the reallocation of university-educated workers into more efficient non-state sector.

  17. The effects of experience on preferences: theory and empirics for environmental public goods

    Czajkowski, Mikolaj; Hanley, Nick; LaRiviere, Jacob
    This article develops a choice model for environmental public goods, which allows for consumers to learn about their preferences through consumption experiences. We develop a theoretical model of Bayesian updating, perform comparative statics over the model, and show how the theoretical model can be consistently incorporated into a reduced form econometric model. Our main findings are that in a random utility model (RUM) discrete choice model, a subject's scale should increase and the variability of scale should decrease with experience if subjects are Bayesians. We then estimate the model using field data regarding preferences for one particular public good, water...

  18. The effects of experience on preferences: theory and empirics for environmental public goods

    Czajkowski, Mikolaj; Hanley, Nick; LaRiviere, Jacob
    This article develops a choice model for environmental public goods, which allows for consumers to learn about their preferences through consumption experiences. We develop a theoretical model of Bayesian updating, perform comparative statics over the model, and show how the theoretical model can be consistently incorporated into a reduced form econometric model. Our main findings are that in a random utility model (RUM) discrete choice model, a subject's scale should increase and the variability of scale should decrease with experience if subjects are Bayesians. We then estimate the model using field data regarding preferences for one particular public good, water...

  19. Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics

    Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro; Correa Da Rosa, Joel
    URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-du-ces/

  20. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process [Working papers]

    Dufrénot, Gilles; Ospanova, Adelya; Sand-Zantman, Alain
    This paper presents a quarterly macro econometric model of the Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations : interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect,...

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.