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Florin Pavel and Robert Vladut
This paper is focused on the evaluation of the liquefaction hazard for different sites in Romania. To this aim, a database of 139 ground motions recorded during Vrancea intermediate-depth earthquakes having moment magnitudes MW = 6.0 is employed for the ...
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Georgy Mitrofanov, Nikita Goreyavchev and Roman Kushnarev
The emerging tasks of determining the features of bottom sediments, including the evolution of the seabed, require a significant improvement in the quality of data and methods for their processing. Marine seismic data has traditionally been perceived to ...
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Guma Ali, Mussa Ally Dida and Anael Elikana Sam
The proliferation of digital financial innovations like mobile money has led to the rise in mobile subscriptions and transactions. It has also increased the security challenges associated with the current two-factor authentication (2FA) scheme for mobile...
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Alexandre Schwinden Garcia,André Alves Portela Santos
Pág. 81 - 122
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclu...
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Máté Szucs, György Krállics, John Lenard
Pág. 165 - 172
The predictive abilities of several mathematical models of the cold, flat rolling process are tested by comparing their predictions to experimental measurements. The models include an empirical model, a one-dimensional model, a finite element model and a...
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Alberto Ronchi Neto,Osvaldo Candido
Pág. 251 - 287
This paper evaluates methods that employ Kalman Filter to estimate Diebold and Li (2006) extensions in a state-space representation, applying the Nelson and Siegel (1987) function as measure equation and different specifications for the transition equati...
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Andrei Salem Gonçalves,Robert Aldo Iquiapaza,Aureliano Angel Bressan
Pág. 317 - 335
We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables,...
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Felipe Pinheiro,Caio Ibsen Rodrigues de Almeida,José Valentim Vicente
Pág. pp. 79 - 92
Recently, a myriad of factor models including macroeconomic variables have been proposed to analyze the yield curve. We present an alternative factor model where term structure movements are captured by Legendre polynomials mimicking the statistical fact...
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V. L. Gor?bets,?. M. Bondarev,V. M. Skoblenko
Pág. 119 - 127
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Rafal Michalski and Szymon Zaleski
Although there have been some studies on the success factors for IT software projects, there is still a lack of coherent research on the success factors for IT service projects. Therefore, this study aimed to identify and understand the factors and their...
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Estefanía Gómez-Gamboa, Jorge Guillermo Díaz-Rodríguez, Jairo Andrés Mantilla-Villalobos, Oscar Rodolfo Bohórquez-Becerra and Manuel del Jesús Martínez
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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Sailesh BHAGHOE,Gavin OOFT
Pág. 1 - 18
JEL. C22; C53; E37.
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Monica Defend, Aleksey Min, Lorenzo Portelli, Franz Ramsauer, Francesco Sandrini and Rudi Zagst
This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two exp...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Carlos G. Rossa
Pág. e009
Aim of study: To develop a fuel moisture content (FMC) attenuation factor for empirical forest fire spread rate (ROS) models in general fire propagation conditions.Methods: The development builds on the assumption that the main FMC-damping effect is a fu...
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Jieting Chen and Yuichiro Kawaguchi
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Shengkun Xie and Anna T. Lawniczak
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Shengkun Xie and Anna T. Lawniczak
Predictive modeling is a key technique in auto insurance rate-making and the decision-making involved in the review of rate filings. Unlike an approach based on hypothesis testing, the results from predictive modeling not only serve as statistical eviden...
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Eugen Ivanov, Aleksey Min and Franz Ramsauer
s-
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