Estimating factor models for multivariate volatilities : an innovation expansion method

We introduce an innovation expansion method for estimation of factor models for conditional variance (volatility) of a multivariate time series. We estimate the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the "white noise space". Simulation and a real data example are given for illustration

COST EFFICIENCY OF CATFISH FARMS IN CHICOT COUNTY, ARKANSAS: THE IMPACT OF EXTENSION SERVICES

Cost efficiency measures of a sample of catfish farms in Chicot County, Arkansas are estimated using a data envelopment analysis technique. A measure of overall efficiency is used to determine operator's characteristics, farm practices, and institutional support services that are likely to lead to higher farm level cost efficiency. Results indicate that live catfish production could increase by 55% using the same level of inputs if all farms were operating at the minimum average cost curve. Higher feeding rate and availability of extension services were associated with increased cost efficiency. Higher stocking density affected overall efficiency negatively. The marginal value of extension contacts in Chicot County was estimated to be $2988. This study was conducted when catfish prices were at the lowest level in ten years. Some of the results are indicative of farms struggling to meet short-run financial obligations rather than normal farm practices.catfish, cost efficiency, data envelopment analysis, and extension services, Resource /Energy Economics and Policy, C14, C24, D61,

Assessing Oligopoly and Oligopsony Power in the U.S. Catfish Industry

This paper addresses the issue of competition in the U.S. catfish industry. To this end, a conjectural variation oligopolistic model was developed. The model was estimated econometrically using the Generalized Method of Moments (GMM) procedure. Chi-square analysis implied that catfish processors do not exert market power over farmers or over consumers. The conjectural elasticity was estimated to be 0.073, the oligopoly power index 0.28, and the oligopsony power index 0.68, and none of these values were statistically significant. The results support competitive behavior of the catfish processing sector.competition, conjectural variation model, U.S. catfish industry, Agribusiness, Livestock Production/Industries,

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

This paper will propose a new statistical model for the analysis of data that does not arrive in equal time intervals such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the time between observation arrivals as a stochastic time varying process and therefore is in the spirit of the models of time deformation initially proposed by Tauchen and Pitts (1983), Clark (1973) and more recently discussed by Stock (1988), Lamoureux and Lastrapes (1992), Muller et al. (1990) and Ghysels and Jasiak (1994) but does not require auxiliary data or assumptions on the causes of time flow. Strong evidence is provided for duration clustering beyond a deterministic component for the financial transactions data analyzed. We will show that a very simple version of the model can successfully account for the significant autocorrelations in the observed durations between trades of IBM stock on the consolidated market. A simple transformation of the duration data allows us to include volume in the model.

Potential Consumer Acceptance of Canned Bighead Carp: A Structural Model Analysis

The effects of socio-demographic factors on consumer ratings of product attributes of an experimental canned bighead product were analyzed. OLS techniques were used to evaluate the effects of experience consuming other canned fish products, race, gender, age, and income on the taste, texture, appearance, and aroma of canned bighead. A logit analysis was then used to measure the effects of these variables on binary choice variables related to preference comparisons and willingness-to-pay as much for canned bighead as for canned salmon and canned tuna. Responses between the comparisons of canned bighead and canned salmon or canned tuna varied. Income, region, and gender significantly affected ratings on product attributes while taste variables significantly affected consumers' willingness-to-pay as much for canned bighead as for canned tuna. Conditional probabilities showed more clearly the effects of age, income, and gender on taste ratings, the subsequent effects of taste on preferences, and ultimately on willingness-to-pay. Probabilities estimated showed that canned bighead competes more favorably with canned tuna than with canned salmon.consumer preferences, structural model analysis, logit, marketing, aquaculture, Demand and Price Analysis, Environmental Economics and Policy, Food Consumption/Nutrition/Food Safety,

Pulsation Period Change & Classical Cepheids: Probing the Details of Stellar Evolution

Measurements of secular period change probe real-time stellar evolution of classical Cepheids making these measurements powerful constraints for stellar evolution models, especially when coupled with interferometric measurements. In this work, we present stellar evolution models and measured rates of period change for two Galactic Cepheids: Polaris and l Carinae, both important Cepheids for anchoring the Cepheid Leavitt law (period-luminosity relation). The combination of previously-measured parallaxes, interferometric angular diameters and rates of period change allows for predictions of Cepheid mass loss and stellar mass. Using the stellar evolution models, We find that l Car has a mass of about 9 $M_\odot$ consistent with stellar pulsation models, but is not undergoing enhanced stellar mass loss. Conversely, the rate of period change for Polaris requires including enhanced mass-loss rates. We discuss what these different results imply for Cepheid evolution and the mass-loss mechanism on the Cepheid instability strip.Comment: 2 pages, 1 figure, Poster presented at IAU307: New windows on massive stars: asteroseismology, interferometry, and spectropolarimetry, Editors: G. Meynet, C. Georgy, J.H. Groh & Ph. Ste

The fractional volatility model: An agent-based interpretation

Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are discussed and, using agent-based models, one tries to find which agent strategies and (or) properties of the financial institutions might be responsible for the features of the fractional volatility model.Comment: 23 pages, 11 figure

Towards the graviton from spinfoams: the complete perturbative expansion of the 3d toy model

We consider an exact expression for the 6j-symbol for the isosceles tetrahedron, involving integrals over SU(2), and use it to write the two-point function of 3d gravity on a single tetrahedron as a group integral. The perturbative expansion of this expression is then performed with respect to the boundary geometry using a simple saddle-point analysis. We derive the complete expansion in inverse powers of the length scale and evaluate explicitly the quantum corrections up to second order. Finally, we use the same method to provide the complete expansion of the isosceles 6j-symbol with the explicit phases at all orders and the next-to-leading correction to the Ponzano-Regge asymptotics.Comment: 16 pages, 3 figs, revtex4, a numerical coefficient corrected in eq (60

Fear and its implications for stock markets

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a relatively short time scale than the corresponding raises. We present several empirical examples of such asymmetries. Furthermore, a simple model featuring occasional short periods of synchronized dropping prices for all stocks constituting the index is introduced with the aim of explaining these facts. The collective negative price movements are imagined triggered by external factors in our society, as well as internal to the economy, that create fear of the future among investors. This is parameterized by a ``fear factor'' defining the frequency of synchronized events. It is demonstrated that such a simple fear factor model can reproduce several empirical facts concerning index asymmetries. It is also pointed out that in its simplest form, the model has certain shortcomings.Comment: 5 pages, 5 figures. Submitted to the Proceedings of Applications of Physics in Financial Analysis 5, Turin 200

Classical Cepheids Require Enhanced Mass Loss

Measurements of rates of period change of Classical Cepheids probe stellar physics and evolution. Additionally, better understanding of Cepheid structure and evolution provides greater insight into their use as standard candles and tools for measuring the Hubble constant. Our recent study of the period change of the nearest Cepheid, Polaris, suggested that it is undergoing enhanced mass loss when compared to canonical stellar evolution model predictions. In this work, we expand the analysis to rates of period change measured for about 200 Galactic Cepheids and compare them to population synthesis models of Cepheids including convective core overshooting and enhanced mass loss. Rates of period change predicted from stellar evolution models without mass loss do not agree with observed rates whereas including enhanced mass loss yields predicted rates in better agreement with observations. This is the first evidence that enhanced mass loss as suggested previously for Polaris and delta Cephei must be a ubiquitous property of Classical Cepheids.Comment: 6 pages, 4 figures, Accepted for publication in ApJ Letter