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Letteratura scientifica selezionata sul tema "Finance Australia Econometric models"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 1 febbraio 2022

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Articoli di riviste sul tema "Finance Australia Econometric models"

1

Ma, Le, Richard Reed, and Jian Liang. "Separating owner-occupier and investor demands for housing in the Australian states." Journal of Property Investment & Finance 37, no. 2 (March 4, 2019): 215–32. http://dx.doi.org/10.1108/jpif-07-2018-0045.

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PurposeThere has been declining home ownership and increased acceptance of long-term renting in many western countries including Australia; this has created a problem when examining housing markets as there are dual demand and include both owner-occupiers and investors. The purpose of this paper is to examine the long-run relationship between house prices, housing supply and demand, and to estimate the effects of the two types of demand (i.e. owner-occupier and investor) on house prices.Design/methodology/approachThe econometric techniques for cointegration with vector error correction models

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2

MILLER, PAUL W. "ECONOMIC MODELS OF FERTILITY BEHAVIOUR IN AUSTRALIA*." Australian Economic Papers 27, no. 50 (June 1988): 65–82. http://dx.doi.org/10.1111/j.1467-8454.1988.tb00807.x.

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3

Reddy Yarram, Subba. "Factors influencing on-market share repurchase decisions in Australia." Studies in Economics and Finance 31, no. 3 (July 29, 2014): 255–71. http://dx.doi.org/10.1108/sef-02-2013-0021.

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Purpose – The purpose of this study is to examine factors influencing decisions to repurchase shares on-market in Australia. The present study also examines the role of board size, board independence and chief executive officer duality on the decision to repurchase shares on-market by Australian firms. Design/methodology/approach – This study blends the traditional motivations of share repurchases with the influences of governance. The sample consists of all non-financial firms included in the Australian All Ordinaries Index (AOI) for the period 2004-2010. The repurchase sample consists of 104

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4

West, Tracey, and Andrew C. Worthington. "Life Events and Portfolio Rebalancing of the Family Home." Journal of Financial Counseling and Planning 29, no. 1 (June 2018): 103–13. http://dx.doi.org/10.1891/1052-3073.29.1.103.

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This article investigates the impacts of financial shocks on the role of the family home in asset portfolios of Australian households using longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey. The life events considered are serious illness or injury, death of a spouse, fired or made redundant, and separation from a spouse. We use a static and dynamic Tobit models to assess the impact and duration of the life events on the portfolio share of the family home. The insights gained from this study may be important for financial planners, as adverse wealth o

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5

Durack, Nick, Robert B. Durand, and Ross A. Maller. "A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia." Accounting and Finance 44, no. 2 (July 2004): 139–62. http://dx.doi.org/10.1111/j.1467-629x.2004.00107.x.

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6

Reddy, Wejendra, David Higgins, and Ron Wakefield. "An investigation of property-related decision practice of Australian fund managers." Journal of Property Investment & Finance 32, no. 3 (April 1, 2014): 282–305. http://dx.doi.org/10.1108/jpif-02-2014-0014.

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Purpose – In Australia, the A$2.2 trillion managed funds industry including the large pension funds (known locally as superannuation funds) are the dominant institutional property investors. While statistical information on the level of Australian managed fund investments in property assets is widely available, comprehensive practical evidence on property asset allocation decision-making process is underdeveloped. The purpose of this research is to identify Australian fund manager's property asset allocation strategies and decision-making frameworks at strategic level. Design/methodology/appro

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Antioch, K. M., and M. K. Walsh. "Risk-adjusted capitation funding models for chronic disease in Australia: alternatives to casemix funding." European Journal of Health Economics 3, no. 2 (June 2002): 83–93. http://dx.doi.org/10.1007/s10198-002-0096-7.

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8

PLUNKETT, BRADLEY, FABIO R. CHADDAD, and MICHAEL L. COOK. "Ownership structure and incentives to invest: dual-structured irrigation cooperatives in Australia." Journal of Institutional Economics 6, no. 2 (May 6, 2010): 261–80. http://dx.doi.org/10.1017/s1744137409990361.

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Abstract:In the past decade, Australia has begun to privatize its irrigation system. Two general models have emerged: a single and a dual ownership structure. This paper examines the trade-offs, costs and benefits, and the attendant efficiencies regarding costs of ownership. In particular, we examine member capital investment incentives and resultant risk-bearing costs related to capital formation. The paper concludes that the dual ownership structure system has significant economic advantages relative to its single-structured counterpart.

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West, Tracey, and Andrew Worthington. "The impact of major life events on household asset portfolio rebalancing." Studies in Economics and Finance 36, no. 3 (July 26, 2019): 334–47. http://dx.doi.org/10.1108/sef-11-2017-0318.

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Purpose This paper aims to model the asset portfolio rebalancing decisions of Australian households experiencing a severe life event shock. Design/methodology/approach The paper uses household longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey since 2001. The major life events are serious illness or injury, death of a spouse, job dismissal or redundancy and separation from a spouse. The asset classes are bank accounts, cash investments, equities, superannuation (private pensions), life insurance, trust funds, owner-occupied housing, investor housing,

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Yong, Jaime, and Anh Khoi Pham. "The long-term linkages between direct and indirect property in Australia." Journal of Property Investment & Finance 33, no. 4 (July 6, 2015): 374–92. http://dx.doi.org/10.1108/jpif-01-2015-0005.

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Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims

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Più fonti

Tesi sul tema "Finance Australia Econometric models"

1

Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.

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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

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Shen, Gensheng University of Ballarat. "The determinants of capital structure in Chinese listed companies." University of Ballarat, 2008. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/12728.

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Traditional financial theories see capital structure as a result of mainly financial, tax and growth factors (Modigliani & Miller, 1958). But corporate governance theories (Jensen & Meckling, 1976) and business strategy theories (Barton & Gordon, 1988) suggest that ownership structure and ownership concentration, product diversification and asset specificity may also influence capital structure. Focusing on the examination of the determinants of capital structure in Chinese listed companies, this research goes beyond financial factors and considered business strategy and corporate governance a

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Shen, Gensheng. "The determinants of capital structure in Chinese listed companies." University of Ballarat, 2008. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/15395.

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Abstract (sommario):

Traditional financial theories see capital structure as a result of mainly financial, tax and growth factors (Modigliani & Miller, 1958). But corporate governance theories (Jensen & Meckling, 1976) and business strategy theories (Barton & Gordon, 1988) suggest that ownership structure and ownership concentration, product diversification and asset specificity may also influence capital structure. Focusing on the examination of the determinants of capital structure in Chinese listed companies, this research goes beyond financial factors and considered business strategy and corporate governance a

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5

Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.

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According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evide

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Wongwachara, Warapong. "Essays on econometric errors in quantitative financial economics." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609240.

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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

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Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.

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Emiris, Marina. "Essays on macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210764.

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Venditti, Fabrizio. "Essays on models with time-varying parameters for forecasting and policy analysis." Thesis, Queen Mary, University of London, 2017. http://qmro.qmul.ac.uk/xmlui/handle/123456789/24868.

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The aim of this thesis is the development and the application of econometric models with time-varying parameters in a policy environment. The popularity of these methods has run in parallel with advances in computing power, which has made feasible estimation methods that until the late '90s would have been unfeasible. Bayesian methods, in particular, benefitted from these technological advances, as sampling from complicated posterior distributions of the model parameters became less and less time-consuming. Building on the seminal work by Carter and Kohn (1994) and Jacquier, Polson, and Rossi

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Più fonti

Libri sul tema "Finance Australia Econometric models"

1

Karen, Wilson. The architecture of the system of national accounts: A three country comparison, Canada, Australia, and United Kingdom. Cambridge, MA: National Bureau of Economic Research, 2005.

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2

Karagedikli, Özer. Do inflation targeting central banks behave asymmetrically?: Evidence from Australia and New Zealand. Wellington, N.Z: Economics Dept., Reserve Bank of New Zealand, 2004.

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1952-, Neese John W., and Hollinger Peter 1952-, eds. Structural sensitivity in econometric models. New York: Wiley, 1985.

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Gourieroux, Christian. Econométrie de la finance: Analyses historiques. Paris: Economica, 1997.

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Introductory econometrics for finance. 2nd ed. Cambridge [England]: Cambridge University Press, 2008.

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Nonlinear financial econometrics: Forecasting models, computational and Bayesian models. Basingstoke: Palgrave Macmillan, 2011.

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7

Gauthier, Céline. Linking real activity and financial markets: The bonds, equity, and money (BEAM) model. Ottawa: Bank of Canada, 2006.

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L, Thompson John. A financial model of the UK economy. Aldershot, Hants., England: Avebury, 1988.

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Stulz, René M. Financial globalization, corporate governance, and Eastern Europe. Cambridge, Mass: National Bureau of Economic Research, 2006.

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Merton, Robert C. The design of financial systems: Towards a synthesis of function and structure. Cambridge, MA: National Bureau of Economic Research, 2004.

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Capitoli di libri sul tema "Finance Australia Econometric models"

1

Wu, Shu, and Yong Zeng. "An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk." In Hidden Markov Models in Finance, 55–83. Boston, MA: Springer US, 2014. http://dx.doi.org/10.1007/978-1-4899-7442-6_3.

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2

Bramante, R., R. Colombo, and G. Gabbi. "Are Neural Network and Econometric Forecasts Good for Trading? Stochastic Variance Models as a Filter Rule." In Decision Technologies for Computational Finance, 417–24. Boston, MA: Springer US, 1998. http://dx.doi.org/10.1007/978-1-4615-5625-1_33.

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3

Lehrer, Steven F., Tian Xie, and Guanxi Yi. "Do the Hype of the Benefits from Using New Data Science Tools Extend to Forecasting Extremely Volatile Assets?" In Data Science for Economics and Finance, 287–330. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-66891-4_13.

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AbstractThis chapter first provides an illustration of the benefits of using machine learning for forecasting relative to traditional econometric strategies. We consider the short-term volatility of the Bitcoin market by realized volatility observations. Our analysis highlights the importance of accounting for nonlinearities to explain the gains of machine learning algorithms and examines the robustness of our findings to the selection of hyperparameters. This provides an illustration of how different machine learning estimators improve the development of forecast models by relaxing the functional form assumptions that are made explicit when writing up an econometric model. Our second contribution is to illustrate how deep learning can be used to measure market-level sentiment from a 10% random sample of Twitter users. This sentiment variable significantly improves forecast accuracy for every econometric estimator and machine algorithm considered in our forecasting application. This provides an illustration of the benefits of new tools from the natural language processing literature at creating variables that can improve the accuracy of forecasting models.

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4

Buckmann, Marcus, Andreas Joseph, and Helena Robertson. "Opening the Black Box: Machine Learning Interpretability and Inference Tools with an Application to Economic Forecasting." In Data Science for Economics and Finance, 43–63. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-66891-4_3.

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AbstractWe present a comprehensive comparative case study for the use of machine learning models for macroeconomics forecasting. We find that machine learning models mostly outperform conventional econometric approaches in forecasting changes in US unemployment on a 1-year horizon. To address the black box critique of machine learning models, we apply and compare two variables attribution methods: permutation importance and Shapley values. While the aggregate information derived from both approaches is broadly in line, Shapley values offer several advantages, such as the discovery of unknown functional forms in the data generating process and the ability to perform statistical inference. The latter is achieved by the Shapley regression framework, which allows for the evaluation and communication of machine learning models akin to that of linear models.

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Gilli, Manfred, Dietmar Maringer, and Enrico Schumann. "Econometric Models." In Numerical Methods and Optimization in Finance, 445–503. Elsevier, 2011. http://dx.doi.org/10.1016/b978-0-12-375662-6.00014-6.

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Gilli, Manfred, Dietmar Maringer, and Enrico Schumann. "Econometric models." In Numerical Methods and Optimization in Finance, 487–549. Elsevier, 2019. http://dx.doi.org/10.1016/b978-0-12-815065-8.00028-5.

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7

"/ Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing." In Handbook of Empirical Economics and Finance, 474–517. Chapman and Hall/CRC, 2016. http://dx.doi.org/10.1201/b10440-20.

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Harding, Don, and Adrian Pagan. "Accounting for Observed Cycle Features with a Range of Statistical Models." In The Econometric Analysis of Recurrent Events in Macroeconomics and Finance. Princeton University Press, 2016. http://dx.doi.org/10.23943/princeton/9780691167084.003.0007.

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This chapter looks at observed features of the cycle in a variety of time series. It sets out these features for the United States and a number of other countries, and then asks whether these features can be replicated by the use of a particular statistical model—a linear autoregression. For such linear models it is possible to broadly account for the observed features using moments of the series for growth rates, and this strategy is employed in the chapter. It then uses a particular nonlinear statistical model to see if it can match all the features, and further looks at two other nonlinear models first dealt with in Chapter 4. The chapter concludes with an examination of whether the binary indicators summarizing the recurrent states can be used in the context of standard multivariate methods such as vector autoregressions. This turns out not to be straightforward owing to the nature of the binary variables.

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"Chapter 7. Accounting for Observed Cycle Features with a Range of Statistical Models." In The Econometric Analysis of Recurrent Events in Macroeconomics and Finance, 122–42. Princeton: Princeton University Press, 2016. http://dx.doi.org/10.1515/9781400880935-009.

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Lavergne, Pascal, and Pierre E. Nguimkeu. "Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models." In Econometric Methods and Their Applications in Finance, Macro and Related Fields, 223–41. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814513470_0009.

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