计量经济分析 = Econometric analysis

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

Investor Psychology and Security Market Under- and Overreactions

Handbook of the Economics of Finance

Scott D. Thomson is deputy executive director, NASSP, Reston, Va. Parents often complain about counseling services in their schools. Teachers frequently criticize &dquo;that counseling department&dquo; as well. Even students-the recipients of counseling-don’t appear to appreciate the service. Typically students rely more upon parents or peers for advice on education or personal matters than upon counselors. What has gone wrong? Counselors are hard-working, dedicated persons with good intentions. Trained and subsidized during the heyday of NDEA, they now form in secondary schools a corps of experienced professionals. Should they not be the most effective and appreciated of school personnel? The villian in this scenario is ambiguity, a lack of preciseness in determining the role and function of counselors. Each group has its own expectations. Whether student or parent or principal or counselor-each has a private definition of what it is counselors are supposed to do. For instance, parents want advice for students on course selection and assistance with college entrance; students want class schedule changes and discussion on advanced education; teachers want behavior

An Introduction: New Opportunities for Counseling Services

This paper estimates constant and dynamic hedge ratios in the New York Mercantile Exchange oil futures markets and examines their hedging performance. We also introduce a Markov regime switching vector error correction model with GARCH error structure. This specification links the concept of disequilibrium with that of uncertainty (as measured by the conditional second moments) across high and low volatility regimes. Overall, in and out-of-sample tests indicate that state dependent hedge ratios are able to provide significant reduction in portfolio risk.

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A Markov regime switching approach for hedging energy commodities

Introduction to Risk Management and Derivatives Introduction to Shipping Markets Statistical Tools for Risk Analysis and Modelling Freight Market Information Forward Freight Agreement Technical Analysis and Freight Trading Strategies Options on Freight Rates Pricing and Risk Management of Option Positions Value-at-Risk in Shipping and Freight Risk Management Financial and Interest Rate Risk Management in Shipping Credit Risk Measurement and Management in Shipping Ship Price Risk and Risk Management Real Options and Optionalities in Shipping

/pdf/shipping-derivatives-and-risk-management-4h9ja2tqpo.pdf

Shipping Derivatives and Risk Management

https://isiarticles.com/bundles/Article/pre/pdf/13780.pdf

Forecasting spot and forward prices in the international freight market

In this paper we describe a new approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, in turn, suggests that by allowing the hedge ratio to be dependent upon the “state of the market,” one may obtain more efficient hedge ratios and hence, superior hedging performance compared to other methods in the literature. The performance of the MRS hedge ratios is compared to that of alternative models such as GARCH, Error Correction and OLS in the FTSE 100 and S&P 500 markets. In and out-of-sample tests indicate that MRS hedge ratios outperform the other models in reducing portfolio risk in the FTSE 100 market. In the S&P 500 market the MRS model outperforms the other hedging strategies only within sample. Overall, the results indicate that by using MRS models market agents may be able to increase the performance of their hedges, measured in terms of variance reduction and increase in their utility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:649–674, 2004

A Markov regime switching approach for hedging stock indices

The aim of this paper is to investigate, for the first time, the performance of trading strategies based on the combination of technical trading rules and fundamental analysis in the sale and purchase market for dry bulk ships. Using a sample of price and charter rates over the period January 1976 to September 2004, we establish the existence of a long-run cointegrating relationship between price and earnings and use this relationship as an indicator of investment or divestment timing decisions in the dry bulk shipping sector. In order to discount the possibility of data snooping biases and to evaluate the robustness of our trading models, we also perform tests using the stationary bootstrap approach. Our results indicate that trading strategies based on earnings–price ratios significantly out-perform buy and hold strategies in the second-hand market for ships, especially in the market for larger vessels, due to higher volatility in these markets.

Amir H. Alizadeh

Papers

A Markov regime switching approach for hedging energy commodities

Shipping Derivatives and Risk Management

Forecasting spot and forward prices in the international freight market

A Markov regime switching approach for hedging stock indices

Investment timing and trading strategies in the sale and purchase market for ships