Average treatment effect estimators – inefficiency – minimisation of variance
DOI: 10.1504/IJCEE.2009.029149 | Athanasios G. Tsagkanos | In this paper, we show the inability of a recent average treatment effect estimator (ATE) to catch up the asymptotic semiparametric efficiency bound of Hahn (1998) although it minimises the mean squared error. Additionally, we propose the u... | 1 - 8 |
VAR model training using particle swarm optimisation: evidence from macro-finance data
DOI: 10.1504/IJCEE.2009.029149 | George Filis, Kyriakos Kentzoglanakis, Christos Floros | This paper examines the empirical relationship between CPI, oil prices, stock market and unemployment in EU15 using a new computational approach. In particular, we propose a novel approach to train the well-known vector autoregressive (VAR)... | 9 - 22 |
Bank efficiency and share prices in China: empirical evidence from a three-stage banking model
DOI: 10.1504/IJCEE.2009.029149 | Fadzlan Sufian, Muhamed Zulkhibri Abdul Majid | This paper examines the relationship between the efficiency of China banks and its share price performance. Our analysis consists of three parts. First, we calculate the annual share price returns of the banks for each year between 1997 and... | 23 - 47 |
Size and power properties of tests of the martingale difference hypothesis: a Monte Carlo study
DOI: 10.1504/IJCEE.2009.029149 | Lijun Fan, Terence C. Mills | This paper compares the performance of a wide range of approaches to testing the martingale difference hypothesis in economic and financial time series. An extensive Monte Carlo experiment is conducted to evaluate and compare the alternativ... | 48 - 63 |
Forecasting tourist arrivals to Balearic Islands using genetic programming
DOI: 10.1504/IJCEE.2009.029149 | Marcos Alvarez-Diaz, Josep Mateu-Sbert, Jaume Rossello-Nadal | Traditionally, univariate time-series models have largely dominated forecasting for international tourism demand. In this paper, the ability of a genetic program (GP) to predict monthly tourist arrivals from UK and Germany to Balearic Islan... | 64 - 75 |
Chaos theory: forecasting the freight rate of an oil tanker
DOI: 10.1504/IJCEE.2009.029149 | Eleftherios I. Thalassinos, Mike P. Hanias, Panayiotis G. Curtis, Yannis E. Thalassinos | The main aim of this paper is to predict the Aframax tanker charter rate index by using methods from non-linear analysis especially from chaos theory as is the method of false nearest neighbours (FNN). This is the result of the new emerging... | 76 - 88 |
Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors| expectations regarding permanent earnings? Evidence from Athens Stock Exchange
DOI: 10.1504/IJCEE.2009.029149 | Stavros Degiannakis, George Giannopoulos | The main objective of the paper is to test whether post-earnings announcement drift (PEAD) is a consequence of the presence of self-attribution bias in investors| expectations, regarding permanent earnings. This is the first study to examin... | 89 - 110 |
Preface