Suchergebnisse
Filter
58 Ergebnisse
Sortierung:
The Long Memory Model of Political Support: Some Further Results byers , DAvidson and Peel
International audience ; This paper extends the results of Byers, Davidson and Peel (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ARFIMA(0,d,0) model though with somewhat smaller values of the long memory parameter. We find that the move to telephone polling in the mid-1990s has no apparent effect on the estimated value of d for either party. Finally, we find that we cannot reject the hypotheses that the parties share a common long memory parameter which we estimate at around 0.65.
BASE
Introduction: Economics of Betting Markets
In: Applied Economics, Band 40, Heft 1, S. 1-3
The Long Memory Model of Political Support: Some Further Results byers , DAvidson and Peel
In: Applied Economics, Band 39, Heft 20, S. 2547-2552
This paper extends the results of Byers, Davidson and Peel (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ARFIMA(0,d,0) model though with somewhat smaller values of the long memory parameter. We find that the move to telephone polling in the mid-1990s has no apparent effect on the estimated value of d for either party. Finally, we find that we cannot reject the hypotheses that the parties share a common long memory parameter which we estimate at around 0.65.
Bounded Cumulative Prospect Theory: Some Implications for Gambling Outcomes
In: Applied Economics, Band 40, Heft 1, S. 5-15
Standard parametric specifications of Cumulative Prospect theory (CPT) can explain why agents bet on longshots at actuarially unfair odds. However the standard specification of CPT cannot explain why people might bet on more favored outcomes, where by construction the greatest volume of money is bet. This paper outlines a parametric specification than can consistently explain gambling over all outcomes. In particular we assume that the value function is bounded from above and below and that the degree of loss aversion experienced by the agent is smaller for small-stake gambles (as a proportion of wealth) than usually assumed in CPT. There are a number of new implications of this specification. Boundedness of the value function in CPT implies that the indifference curve between expected-return and win-probability for a given stake will typically exhibit both an asymptote (implying rejection of an infinite gain bet) and a minimum, as the shape of the value function dominates the probability weighting function. Also the high probability section of the indifference curve will exhibit a maximum.
The Markowitz Model of Utility supplemented with a small degree of Probability Distortion as an explanation of Outcomes of Allais Experiments over Large and Small Payoffs and Gambling on Unlikely Outcomes
In: Applied Economics, Band 40, Heft 1, S. 17-26
We show that in principal only a small degree of probability distortion is necessary for agents to exhibit the Allais paradox. We also show that the choices observed in the Allais experiments employing small real payoffs cannot be explained by Cumulative Prospect Theory without the assumption of low degrees of probability distortion that rule out gambling at unfair odds on all but the most extreme longshots in CPT.
Given these points we show that the Markowitz model of utility supplemented by a small degree of probability distortion can explain the majority choices involved Allais experiments and other experiments as well as gambling at actuarially unfair odds.
Rational Expectations: Macroeconomics for the 1980s?
In: Economic affairs: journal of the Institute of Economic Affairs, Band 5, Heft 2, S. 8-8
ISSN: 1468-0270
The Non-Uniqueness of the Dorfman-Steiner Condition: A Note
In: Economica, Band 40, Heft 158, S. 208
AN EXAMPLE OF AN OPTIMAL FORECAST EXHIBITING DECREASING BIAS WITH INCREASING FORECAST HORIZON
In: Bulletin of economic research, Band 65, Heft 4, S. 362-371
ISSN: 1467-8586
ABSTRACTMotivated by a central banker with an inflation target, we show that the optimal forecast bias under non‐quadratic loss functions and non‐normal forecast errors can decrease or initially increase and then decrease with the forecast horizon. We initially proof that, if the variable to forecast can be described by a generalized Rayleigh distribution, its conditional mean does in general not constitute the optimal prediction under a symmetric target zone loss function. Subsequently, we approximate the target zone loss function to show the potential for variation in optimal bias over the forecast horizon.
A More General Non‐expected Utility Model as an Explanation of Gambling Outcomes for Individuals and Markets
In: Economica, Band 76, Heft 302, S. 251-263
ISSN: 1468-0335
One feature of experimental work is the heterogeneity in risk attitudes and probability distortion displayed by agents. We outline a more general non‐expected utility model, which nests the models of Markowitz, and Kahneman and Tversky. The model can generate the standard favourite–longshot bias or a reverse favourite–longshot bias as a result of optimal behaviour. We also provide new empirical evidence on the relationship between Tote and bookmaker returns and confirm that the relationship is not as originally conjectured by Gabriel and Marsden. We outline how our new model can provide an explanation of the relationship that is observed.
Skewness as an Explanation of Gambling in Cumulative Prospect Theory
In: Applied Economics, Band 41, Heft 6, S. 685-689
Skewness of return has been suggested as a reason why agents might choose to gamble, ceteris paribus, in Cumulative Prospect Theory (CPT). We investigate the relationship between moments of return in two models where agents choices over uncertain outcomes are determined as in CPT. We illustrate via examples that in CPT theory, as with expected utility theory, propositions that agents have a preference for skewness may be invalid.
Smooth Transition Models and Arbitrage Consistency
In: Economica, Band 72, Heft 287, S. 413-430
ISSN: 1468-0335
Slow adjustment of real exchange rate towards equilibrium in linear models has long puzzled researchers, stimulating the adoption of nonlinear models. The exponential smooth transition model has been particularly successful, providing faster adjustment speeds. This paper discusses some of its theoretical limitations, for example that expectations are adaptive. We propose a new nonlinear model conceptually superior to the ESTAR model since it is consistent with rational expectations. One of its advantages is that it can be solved and estimated by nonlinear least squares. Using monthly post‐1973 real exchange rate data, we show that the model implies even faster speeds of adjustment.
Utility and the Skewness of Return in Gambling
In: The Geneva papers on risk and insurance theory, Band 29, Heft 2, S. 145-163
ISSN: 1573-6954
Optimal monetary policy: is price‐level targeting the next step?
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 50, Heft 5, S. 650-667
ISSN: 1467-9485
AbstractWe examine whether inflation targeting should be regarded as optimal. Targeting inflation implies (undesirably) that price level variance tends to infinity: we produce some evidence from both a representative agent model and a long‐used forecasting model that, once an endogenous indexation response is allowed for, price level targeting imposes no extra costs of macro variability, indeed gives significant gains.