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Econometric analysis of financial count data and portfolio choice : a dynamic approachRengifo Minaya, Erick W. 22 June 2005 (has links)
This thesis contributes to the econometric literature in two ways. Firstly, it introduces a new multivariate count model that presents advances in several aspects. Our multivariate time series count model can deal with issues of discreteness, overdispersion (variance greater than the mean) and both cross- and serial correlation, all at the same time. We follow a fully parametric approach and specify a marginal distribution for the counts where, conditionally on past observations the means follow a vector autoregressive process (VAR). This enables to attain improved inference on coefficients of exogenous regressors relative to the static Poisson regression, while modelling the serial correlation in a flexible way. The method is also innovative in the use of copulas, which builds the dependence structure between variables with given marginal distributions. This makes it possible to model the contemporaneous correlation between individual series in a very flexible way. Secondly, this thesis introduces a new approach to estimate the multivariate reduced rank regressions when the normality assumption is not satisfied. We propose to use the copula tool to generate multivariate distributions and, we show that this method can be applied in multivariate settings.
In terms of financial literature, this thesis provides two contributions. Firstly, with our multivariate count model we analyze diverse market microstructure issues about the submission of different types of orders by traders on stock markets. With this model, we can fully take into account the interactions between submissions of the various types of orders, which represent an advantage with respect to univariate models such as the autoregressive conditional duration model. Secondly, it contributes to portfolio research proposing a new dynamic optimal portfolio allocation model in a Value-at-Risk setup. This model allows for time varying skewness and kurtosis of portfolio distributions and the model parameters are estimated by weighted maximum likelihood in an increasing window setup. This last property allows us to have more accurate portfolio recommendations in terms of the amount to invest in the risk-free interest rate and in the risky portfolio.
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Targeting the Unarmed : Strategic Rebel Violence in Civil WarHultman, Lisa January 2008 (has links)
<p>Rebel attacks on civilians constitute one of the gravest threats to human security in contemporary armed conflicts. But why do rebel groups kill civilians? The dissertation approaches this question from a strategic perspective, trying to understand when and why rebel groups are likely to target civilians as a conflict strategy. It combines quantitative studies using global data on rebel group violence with a case study of the civil war in Mozambique. The overall argument is that rebel groups target civilians as a way of improving their bargaining position in the war relative to the government. The dissertation consists of an introduction, which situates the study in a wider context, and four papers that all deal with different aspects of the overall research question. Paper I introduces new data on one-sided violence against civilians, presenting trends over time and comparing types of actors and conflicts. Paper II argues that democratic governments are particularly vulnerable to rebel attacks on civilians, since they are dependent on the population. Corroborating this claim, statistical evidence shows that rebels indeed kill more civilians when fighting a democratic government. Paper III argues that rebels target civilians more when losing on the battlefield, as a method of raising the costs for the government to continue fighting. A statistical analysis employing monthly data on battle outcomes and rebel violence, supports this argument. Paper IV takes a closer look at the case of Mozambique, arguing that the rebel group Renamo used large-scale violence in areas dominated by government constituents as a means for hurting the government. Taken together, these findings suggest that violence against civilians should be understood as a strategy, rather than a consequence, of war.</p>
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Targeting the Unarmed : Strategic Rebel Violence in Civil WarHultman, Lisa January 2008 (has links)
Rebel attacks on civilians constitute one of the gravest threats to human security in contemporary armed conflicts. But why do rebel groups kill civilians? The dissertation approaches this question from a strategic perspective, trying to understand when and why rebel groups are likely to target civilians as a conflict strategy. It combines quantitative studies using global data on rebel group violence with a case study of the civil war in Mozambique. The overall argument is that rebel groups target civilians as a way of improving their bargaining position in the war relative to the government. The dissertation consists of an introduction, which situates the study in a wider context, and four papers that all deal with different aspects of the overall research question. Paper I introduces new data on one-sided violence against civilians, presenting trends over time and comparing types of actors and conflicts. Paper II argues that democratic governments are particularly vulnerable to rebel attacks on civilians, since they are dependent on the population. Corroborating this claim, statistical evidence shows that rebels indeed kill more civilians when fighting a democratic government. Paper III argues that rebels target civilians more when losing on the battlefield, as a method of raising the costs for the government to continue fighting. A statistical analysis employing monthly data on battle outcomes and rebel violence, supports this argument. Paper IV takes a closer look at the case of Mozambique, arguing that the rebel group Renamo used large-scale violence in areas dominated by government constituents as a means for hurting the government. Taken together, these findings suggest that violence against civilians should be understood as a strategy, rather than a consequence, of war.
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Modeling framework for socioeconomic analysis of managed lanesKhoeini, Sara 08 June 2015 (has links)
Managed lanes are a form of congestion pricing that use occupancy and toll payment requirements to utilize capacity more efficiently. How socio-spatial characteristics impact users’ travel behavior toward managed lanes is the main research question of this study. This research is a case study of the conversion of a High Occupancy Vehicle (HOV) lane to a High Occupancy Toll (HOT) lane, implemented in Atlanta I-85 on 2011. To minimize the cost and maximize the size of the collected data, an innovative and cost-effective modeling framework for socioeconomic analysis of managed lanes has been developed. Instead of surveys, this research is based on the observation of one and a half million license plates, matched to household locations, collected over a two-year study period. Purchased marketing data, which include detailed household socioeconomic characteristics, supplemented the household corridor usage information derived from license plate observations. Generalized linear models have been used to link users’ travel behavior to socioeconomic attributes. Furthermore, GIS raster analysis methods have been utilized to visualize and quantify the impact of the HOV-to-HOT conversion on the corridor commutershed. At the local level, this study conducted a comprehensive socio-spatial analysis of the Atlanta I-85 HOV to HOT conversion. At the general scale, this study enhances managed lanes’ travel demand models with respect to users’ characteristics and introduces a comprehensive modeling framework for the socioeconomic analysis of managed lanes. The methods developed through this research will inform future Traffic and Revenue Studies and help to better predict the socio-spatial characteristics of the target market.
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Räumliche, GIS-gestützte Analyse von Linientransektstichproben / Spatial, GIS-aided analysis of line transect surveysMader, Felix 09 March 2007 (has links)
No description available.
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