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BL
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| Record Number
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864164
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| Main Entry
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International Conference on Applied Economics(2017 :, Kastoria, Greece)
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| Title & Author
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Advances in panel data analysis in applied economic research : : 2017 International Conference on Applied Economics (ICOAE) /\ Nicholas Tsounis, Aspasia Vlachvei, editors.
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| Publication Statement
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Cham :: Springer,, [2018]
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, ©2018
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| Series Statement
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Springer proceedings in business and economics
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| Page. NO
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1 online resource
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| ISBN
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3319700553
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: 9783319700557
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9783319700540
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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Intro; Preface; Contents; Contributors; 1 Spatial Analysis of Research-Productivity Nexus: A Case of Thai Rice Sector; 1.1 Introduction; 1.2 Literature Review; 1.3 Methodology and Estimation Techniques; 1.4 Variables and Data Description; 1.5 Results and Discussion; 1.6 Conclusion; References; 2 Application of Thermodynamics Entropy Concept in Financial Markets; 2.1 Introduction; 2.2 Concept of Entropy in Economics Systems; 2.3 Interpretation of Entropy in Finance; 2.4 Entropy and Maximization; 2.5 Construction of Entropy-Based Risk Measure; 2.6 Conclusion; References.
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3 Economic and Business Cycle of India: Evidence from ICT Sector3.1 Introduction; 3.2 Literature Review; 3.3 Theoretical Concept and Methodology; 3.3.1 Business Cycle Features; 3.3.2 Bayesian Statistics; 3.3.3 The ADF Unit Root Test Based on Bayesian Inference; 3.4 The Markov-Switching Bayesian Model; 3.5 The Bayesian Vector Autoregressive Model; 3.6 The Regression Version of Bayesian Inference for Economic Multipliers; 3.7 Empirical Results; 3.8 Conclusion; References; 4 Patents and R & D Cartels; 4.1 Introduction; 4.2 Cournot Competition; 4.3 R & D Cartel; 4.4 Concluding Remarks; References.
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5 A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices5.1 Introduction; 5.2 Literature Review; 5.3 Portfolio Theory: Matrix Algebra; 5.4 The Dataset; 5.4.1 Graphical Analysis; 5.4.2 Descriptive Statistics; 5.5 Empirical Results; 5.5.1 Mean-Variance Approach; 5.5.2 Risk Measurement in the CAPM Framework; 5.6 Conclusion; References; 6 Univariate and Multivariate GARCH Models Applied to the CARBS Indices; 6.1 Introduction; 6.2 Literature Review; 6.3 Univatiate GARCH Models; 6.3.1 Standard GARCH Model; 6.3.2 GJR-GARCH Model.
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6.3.3 The Exponential GARCH (EGARCH) Model6.3.4 Information Criterion; 6.4 Multivariate GARCH Models; 6.4.1 GO-GARCH; 6.4.2 DCC-GARCH; 6.5 Graphical Analysis; 6.6 Empirical Results; 6.6.1 Univariate GARCH Models; 6.6.2 Multivariate GARCH Models; 6.7 Conclusion; References; 7 Value-At-Risk Forecasting of the CARBS Indices; 7.1 Introduction; 7.2 Literature Review; 7.3 Methodology; 7.3.1 Value-At-Risk (VaR); 7.3.2 Forecasting from a GARCH Model; 7.3.3 Forecast Performance Measures; 7.4 Empirical Results; 7.4.1 Forecasting Volatility; 7.4.2 Forecasting VaR; 7.5 Conclusion; References.
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8 A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index8.1 Introduction; 8.2 Data Specification and Methodology; 8.3 Results; 8.3.1 FTSE/JSE SA Listed Property Index (FTJ253); 8.3.2 FTSE/JSE SA Capped Property Index (FTJ254); 8.4 Conclusion; References; 9 Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market; 9.1 Introduction; 9.2 Measuring Liquidity/Illiquidity Using Intraday Data; 9.2.1 Selected Spread Proxies Derived from Intraday Data; 9.2.2 Trade Side Classification Algorithm.
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| Abstract
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This proceedings volume presents new methods and applications in applied economic research with an emphasis on advances in panel data analysis. Featuring papers presented at the 2017 International Conference on Applied Economics (ICOAE) held at Coventry University, this volume provides current research on econometric panel data methodologies as they are applied in microeconomics, macroeconomics, financial economics and agricultural economics. International Conference on Applied Economics (ICOAE) is an annual conference that started in 2008 designed to bring together economists from different fields of applied economic research in order to share methods and ideas. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually with economic policy interest. In addition, there is growing interest in the field for panel data estimation methods, tests and techniques. This volume makes a contribution in the field of applied economic research in this area. Featuring country specific studies, this book will be of interest to academics, students, researchers, practitioners, and policy makers in applied economics and economic policy.
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| Subject
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Economics, Congresses.
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Economics-- Research, Congresses.
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Agricultural science.
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BUSINESS ECONOMICS-- Economics-- General.
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BUSINESS ECONOMICS-- Reference.
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Econometrics.
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Economics of industrial organisation.
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Economics-- Research.
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Economics.
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Macroeconomics.
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| Dewey Classification
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330
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| LC Classification
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HB21
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| Added Entry
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Tsounis, Nicholas
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Vlachvei, Aspasia,1969-
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