An Econometric Model of Credit Spreads with Rebalancing, ARCH, and Jump Effects In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional heteroscedasticity, jumps, and ...

The Þnite sample behaviour is analysed of particular least squares (LS) and a range of (generalized) method of moments (MM) estimators in panel data models with individual effects and both a lagged dependent variable regressor and another explanatory variable. The latter may be affected by lagged feedbacks from the dependent variable too. Asymptotic expansions indicate how the order of magnitud...

BACKGROUND Moderate-vigorous physical activity (%MVPA) confers beneficial effects on child musculoskeletal health, cardiovascular fitness, and psychosocial well-being; in contrast, sedentary time (%SED) is emerging as a risk factor for health. This study aimed to identify parental, child and neighborhood factors influencing longitudinal assessments of body mass index (BMI) and activity patterns...

We use repayment data from Grameen Bank groups to study mutual dependence in behavior among participants. Such dependence is a measure of group cohesion, and is interpreted as evidence for the existence of inter-connectedness among members at the group level. Results from a dynamic fixed-effects probit model demonstrate that individual repayment outcomes are significantly influenced by own lagg...

Enrico Fermi had to cajole his friend Ettore Majorana into publishing his big idea: a modification of the Dirac equation that would have profound ramifications for particle physics. Shortly afterwards, in 1938, Majorana mysteriously disappeared, and for 70 years his modified equation remained a rather obscure footnote in theoretical physics (Box 1). Now suddenly, it seems, Majorana’s concept is...

BACKGROUND Prominent theories of drug use underscore the importance of considering the inter-relationships (e.g., reciprocal relations, indirect effects) of determinants of drug use behavior. In the area of smoking, few studies have examined multiple determinants of cessation in this way, and in prospective analyses. The current study is an examination of the prospective cross-lagged relationsh...

A lagged ensemble is an ensemble of forecasts from the same model initialized at different times but verifying at the same time. The skill of a lagged ensemble mean can be improved by assigning weights to different forecasts in such a way as to maximize skill. If the forecasts are bias corrected, then an unbiased weighted lagged ensemble requires the weights to sum to one. Such a scheme is call...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...