& This article applies the General Scientific Model methodology of Gallant and McCulloch implementing MCMC simulation methodologies to build a multifactor stochastic volatility model for the mean and latent volatility for the Fish Pool front month salmon market. Stochastic volatility is the main way time-varying volatility is modeled in financial markets. Our main objective is therefore to structure a scientific model specifying volatility as having its own stochastic process. Appropriate model descriptions broaden the applications into derivative pricing purposes, risk assessment and asset allocation. The article reports risk and portfolio measures, conditional onestep-ahead moments, particle filtering for one-step-ahead conditional volatility, conditional variance functions for evaluation of shocks, analysis of multi-step-ahead dynamics, and conditional persistence. The analysis adds market insight and enables forecasts to be made, thus building up methodologies for developing valid scientific models for commodity market applications.
Purpose In the airline industry the term load factor is defined as the percentage of seats filled by revenue passengers. The load factor is a metric that measures the airline's capacity and demand management. This paper aimed to identify serial and periodic autocorrelation on the load factors of the Europe-Mid East and Europe-Far East airline flights. Identifying the autocorrelation structure is helpful to develop the best fitted forecasting model of the load factors. Methods The paper applies spectral density estimation to investigate the structure of serial and periodic autocorrelation on the load factors. Then the paper applied multivariate trend model to develop a forecasting model of the load factors of the regional flights. The multivariate trend model is fitted using the Prais-Winsten recursive autoregression methodology. Results The primary analysis of the study identified that the airlines have better a demand than capacity management system for both the Europe-Mid East and Europe-Far East flights. The spectral density estimates showed that the load factors have both periodic and serial correlations for both regional flights. Therefore, in order to control the periodic autocorrelation, we introduce transcendental time functions as predictors of the load factor in the multivariate trend model. Finally, we build realistic and robust forecasting model of the load factors of the Europe-Mid East and Europe-Far East flights. Conclusions The econometric estimation results confirm that the load factors of the Europe-Mid East and Europe-Far East flights are both seasonal and differ between flights. The analysis implies that the load factor is still far from stable and stabilizing policies by airlines has so far not been successful. The AEA may therefore continuously focus on the stabilization and the improvement of the load in the industry.
Reviews previous research based on event study methodology, pointing out that events can influence returns in many ways, and applies the method to a sample of mergers and acquisitions in the thinly traded Norwegian market 1983‐1994. Explains how the classic market model can be adjusted to control for non‐synchronous trading and changing/asymmetric volatility; and how the event and non‐event periods can be combined into a single model. Applies two different models to the data, compares the results and finds the ARMA‐GARCH approach superior to the OLS. Discusses the implications of this for researchers.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.