Mostrando recursos 1 - 20 de 256

  1. Économétrie & Machine Learning

    Charpentier, Arthur; Flachaire, Emmanuel; Ly, Antoine
    L'économétrie et l'apprentissage machine semblent avoir une finalité en commun: construire un modèle prédictif, pour une variable d'intérêt, à l'aide de variables explicatives (ou features). Pourtant, ces deux champs se sont développés en parallèle, créant ainsi deux cultures différentes, pour paraphraser Breiman (2001a). Le premier visait à construire des modèles probabilistes permettant de décrire des phénomèmes économiques. Le second utilise des algorithmes qui vont apprendre de leurs erreurs, dans le but, le plus souvent de classer (des sons, des images, etc). Or récemment, les modèles d'apprentissage se sont montrés plus efficaces que les techniques économétriques traditionnelles (avec comme prix à...

  2. Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management

    Allen, David E.; McAleer, Michael
    The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate GARCH, specifically, the Full BEKK model, and demonstrate that Full BEKK which, in practice, is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We use simulated financial returns series to...

  3. Territorio y creación de empresas de economía social: Estudio a nivel de las Comunidades Autónomas de España

    Cantarero Sanz,Santi; González-Loureiro,Miguel; Puig Blanco,Francisco
    En el contexto de destrucción de empleo y empresas de todos los tamaños y tipos, surge el debate sobre la posible existencia de un patrón geográfico en el surgimiento de nuevas empresas. En dicho contexto, las empresas de economía social resurgen como una alternativa de organización de la actividad económica más eficaz y eficiente socialmente. Este trabajo analiza comparativamente -formas tradicionales versus empresas de economía social- la evolución territorial en ese surgimiento de empresas, en lo que podría denominarse clusters de empresas de economía social. Se emplearon técnicas de econometría espacial. La muestra la conforman las empresas creadas en España...

  4. Metodología de valoración de obras de arte pictóricas: valoración “En la playa” de Joaquín Sorolla

    Sánchez Arquillo, Patricia
    En el presente trabajo se busca dar valor a la obra pictórica En la playa del artista español Joaquín Sorolla. En primer lugar, se lleva a cabo un estudio del mercado del arte y su evolución, analizando los agentes, tipos que lo componen y definiendo las características que determinan el precio en el mercado. Seguidamente se analiza el mercado del arte en la actualidad , el nuevo mercado de arte internacional, analizando su distribución por países y tipologías artísticas entre los años 90 y 2015. Por otra parte, se realiza un estudio del artista Joaquín Sorolla, el autor de la obra a valorar, para de este modo...

  5. Modelação e previsão da taxa de inflação de Angola

    Pereira, Vera Margarida Vieira Palma
    Mestrado em Econometria Aplicada e Previsão

  6. Modelos Dinâmicos para Variável Dependente Binária : aplicação ao uso de internet no telemóvel

    Janela, Sara Patrícia Brigas
    Mestrado em Econometria Aplicada e Previsão

  7. El impacto de las Prácticas Académicas Externas en la empleabilidad de los alumnos de grado de la Facultad de Ciencias Económicas y Empresariales (IMPAE)

    Di Meglio Berg, Gisela Amanda; Barge Gil, Andrés; Camiña Centeno, Ester; García Hiernaux, Alfredo; Moreno Martín, Lourdes

  8. The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

    Chang, Chia-Lin; McAleer, Michael
    In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). For purposes of deriving the mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the statistical conditions to establish asymptotic properties, it is convenient to understand the stochastic properties underlying the three univariate models. The random coefficient autoregressive process was used to obtain GARCH by Tsay (1987),...

  9. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  10. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  11. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  12. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  13. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  14. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  15. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  16. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  17. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  18. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  19. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  20. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

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.