Background: With the increasing popularity of Web 2.0 applications, social media has made it possible for individuals to post messages on adverse drug reactions. In such online conversations, patients discuss their sy...
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This study examines the relationship between interest rate and defunct platform risk of China's peer-to-peer (P2P) lending platforms. P2P lending provides an alternative funding source for individuals and micro-en...
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This study examines the relationship between interest rate and defunct platform risk of China's peer-to-peer (P2P) lending platforms. P2P lending provides an alternative funding source for individuals and micro-enterprises and offers a new investment tool for households. But the frequent collapses of many platforms were huge losses to market participants and even led to a decline in China's P2P lending industry. In this study, weekly data of 76 platforms from December 3, 2017, to October 6, 2019, are employed, and empirical research based on the normal and skew-normal panel data model respectively is conducted. Statistical indicators prove that the skew-normal panel data model is preferable to another one in modeling the data set of interest rates. The empirical results show that China's P2P market is efficient overall. But the positive correlation between the interest rate and risk is not significant for platforms with excessively high interest rates, whose interest rates are more determined by the types of ownership. The findings and implications are provided in the end.
This paper proposes a method for estimating the parameters in a generalized linear model with missing covariates. The missing covariates are assumed to come from a continuous distribution, and are assumed to be missin...
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This paper aims to unfold the information content of the implied liquidity measure, which is introduced through the Conic Finance theory and considered a proxy for the market liquidity level. We propose a partial info...
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This paper aims to unfold the information content of the implied liquidity measure, which is introduced through the Conic Finance theory and considered a proxy for the market liquidity level. We propose a partial information setting in which the dynamics of the implied liquidity, representing the noisy information on the unobserved true market liquidity, follow a continuous-time Markov-chain modulated exponential Ornstein-Uhlenbeck process. Model inference requires the filtering of the unobserved states of the true market liquidity, as well as the estimation of the unknown model parameters. We address the inference problem using the em algorithm methodology, in which we provide novel results on robust filters leading to maximum likelihood estimates. We fit the proposed model to the implied liquidity series obtained from the prices of (closest to) 1-year ATM call options on the S & P 500 covering the period from January 2002 to August 2022. The data application shows that the unobserved true market liquidity follows three regimes. The implied liquidity series contains relevant information as the filtered trajectory of the underlying Markov chain moves according to the economic environment changes due to the Federal Reserve's actions, the global financial crisis of 2007-08, and the COVID-19 pandemic.
Asymptotic corrections are used to compute the means and the variance-covariance matrix of multivariate posterior distributions that are formed from a normal prior distribution and a likelihood function that factors i...
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We discuss a regression model in which the regressors are dummy variables. The basic idea is that the observation units can be assigned to some well‐defined combination of treatments, corresponding to the dummy varia...
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As an extension of the Birnbaum-Saunders distribution, the class of generalized crack (life-time) distributions has gained popularity in various applications including reliability theory and loss severity modeling. In...
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As an extension of the Birnbaum-Saunders distribution, the class of generalized crack (life-time) distributions has gained popularity in various applications including reliability theory and loss severity modeling. In particular for fat-tailed or heavy-tailed data sets, the generalized crack distribution family built on an appropriate base density functions, such as Student's t or generalized Gaussian densities, provides a sufficient level of flexibility to fit the empirical distribution effectively. In this paper, we introduce a further extension of the generalized crack distribution by including an additional shape parameter. We study some theoretical properties of the novel distribution family with a focus on its tail behavior. We further describe an application of the em algorithm for model estimation with application to a real catastrophic loss data.
Abstract. A complete solution of the important problem of estimating (interpolating) the missing values of a stationary time series is obtained by decomposing it into a prediction plus regression problem. This makes i...
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Abstract. The expectation‐maximization algorithm is reviewed briefly. The algorithm is applied to time series situations where outliers may be present. An approximation of the algorithm is considered to reduce the co...
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Incomplete and mistimed longitudinal data are common problems in longitudinal studies of free living populations. One possible approach to the analysis of longitudinal data with randomly missing or mistimed data uses ...
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