Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...

This paper analyses growth for a sample of 624 firms located in three English counties. Using 52 variables, heteroskedasticity adjusted OLS is used to estimate their role in generating growth in new firms for the period 2000 to 2001 and for 1997 to 2001. Summary statistics show constrained founders own slightly more businesses; make greater use of external finance and are equally like to surviv...

We report on a systematic ground-based validation of DMSP-OLS night lights imagery to detect rural electrification in Vietnam. Based on an original survey of village-level units in Vietnam, this study compares nighttime light output from the U.S. Air Force Defense Meteorological Satellite Program’s Operational Linescan System (DMSP-OLS) against ground-based survey data on electrical infrastruct...

Shifts in responses typically are obscured to users, so that regression proceeds as if unshifted. At issue is the infusion of such shifts into the classical analysis. On projecting outliers into the “Regressor” and “Error” spaces of a model, our findings are that shifts in responses account for shifts in the OLS solutions and for inflated residuals. These in turn impact estimation, prediction, ...

The paper examines the stability of the day of the week effect in returns and volatility at the Indian capital market, covering the period January 1991 – September 2000. The paper specifies a generalized autoregressive conditional heteroscedasticity (GARCH) model on returns and introduces separate dummies for days in alternate weeks in the specification of both the mean and the conditional vari...

Quantitative empirical analysis has been used in several works, over the past decade or so, to identify correlates of states motivation for pursuing military nuclear technology. Nelson and Sprecher used such methodology to identify various national attributes that correlate to states peaceful use of nuclear power for electricity generation, which was termed as “Nuclear Reliance.” The major init...

Understanding the relationship between grading practices and student evaluations is especially important in higher education because of the increasing importance of this instrument in the promotion process. If evaluations can be increased by giving higher grades, then they are a flawed instrument for the evaluation of teaching. Further, this process may be contributing to the inflation of grade...

The objective of the study is to examine the long-run relationship between political instability, terrorism and tourism in selected SAARC countries over a period of 1995 to 2012. For this purpose, different panel techniques has been used for robust analysis i.e., panel unit root test for stationary process, panel cointegration test for long-run relationship, panel dynamic ordinary least squares...

Extracting facial feature points such as eyes, mouth and nose plays an important role in many applications. Most of the proposed methods are base on the geometrical features of images. In this paper, a novel method based on Partial Least Square Regression (PLSR) model is introduced to extract the relationship between the feature point coordinates and gray value distribution in the image. The pr...

Microaggregation is a set of procedures that distort empirical data in order to guarantee the factual anonymity of the data. At the same time the information content of data sets should not be reduced too much and should still be useful for scientific research. This paper investigates the effect of microaggregation on the estimation of a linear regression by ordinary least squares. It studies, ...