HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION

Size: px
Start display at page:

Download "HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION"

Transcription

1 HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION Dr. L. B. Zala Associae Professor, Civil Engineering Deparmen, Kevin B. Modi M.Tech (Civil) Transporaion Sysem Engineering (Suden), Civil Engineering Deparmen, Dr. (Mrs.) T. A. Desai Professor and Head of Mahemaics Deparmen, Aakar N. Roghelia Assisan Professor, Mahemaics Deparmen, Absrac- The properies of vehicle ime headways are fundamenals in many raffic engineering applicaions, such as capaciy and level of service sudies on highways, unsignalized inersecions, and roundabous. In addiion, he vehicle generaion in raffic flow simulaion is usually based on some heoreical vehicle ime headway model. The saisical analysis of vehicle ime headways has been inadequae in hree imporan aspecs: 1) There has been no sandard procedure o collec headway daa and o describe heir saisical properies. 2) The fi goodness ess have been eiher powerless or infeasible. 3) Tes resuls from muli sample daa have no been combined properly. In his paper describe he sudy conduced on wo lane mid block secion of Naional Highway-8 (NH-8), beween Ahmedabad and Vadodara, a Vaghasi village o evaluae basic raffic flow parameers. Daa collecion was done using Video Recording Technique. The headway daa exraced and compared wih differen ype of vehicles in raffic sream. o examine he headways beween vehicles in he sream, and o search for saisical disribuion ha describe he frequencies of occurrence of headways. In normal erms, i is defined o be he ime difference beween he same poins (e.g. The fron bumper) on wo consecuive vehicles as hey pass an observaion poin on he road. This definiion holds for single or mulilane raffic. An imporan qualificaion from his definiion is ha i explicily ignores he physical lengh of he vehicles. Vehicles are regarded poins only. Then, under his definiion he reciprocal of he mean headway is equal o mean flow rae. Keywords- Headway; headway disribuion; capaciy; PCUs. I. INTRODUCTION The ime headway beween vehicles is an imporan microscopic flow characerisic ha affecs he safey, level of service, driver behavior and capaciy of ransporaion sysems. The capaciy of he sysem is governed primarily by he minimum ime headway an he ime headway disribuion under capaciy flow condiions. The elapsed ime beween pairs of vehicles is defined as he ime headway. A microscopic view of raffic flow is shown in figure 1, as several vehicles raverse a lengh of roadway in single file for a cerain period of ime. II. LITERATURE REVIEW A convenien way o describe he inheren variabiliy wihin a raffic sream is o consider i as a sochasic process, Figure 1. A microscopic view of raffic flow Source: May, A. D. Traffic flow fundamenals Prenice hall, 1990, pp-12 A. Headway Mehod The ime inerval beween successive vehicles in a raffic sream is used for deermining he volume of raffic. Traffic volume, (Q) Q = 3600 (1) Headway (h)

2 Where, Q = measured in vehicles per hour h = ime headway in seconds Consider a sream of raffic in which only wo caegories viz. cars, rucks, and scooers are presen. For his Guinn, Reilly and Seifer has suggesed following basic equaion. Then, basic equaion of headway mehod is: E = (h m / h c c) (2) Where, h c = ime headway beween wo cars in seconds for an all cars sream h m = ime headway beween wo vehicles in mixed flow sream (seconds) c = proporion of cars in he mixed sream = proporion of rucks in he mixed sream s = proporion of scooers in he mixed sream E = PCU of rucks The above equaion gives a simple basis for deerminaion of PCU facors when only cars, rucks, scooers and anoher ype of vehicles are presen. All ha is needed is o measure he average ime headway of a sample of all car samples and he average ime headway of he mixed raffic. Duraion of a leas one hour is desirable. The value so obained is valid only for he flow and speed condiions prevailing. The mehod is appropriae for plain errain and for low levels of service. The mehod does no consider he overaking phenomenon where faser vehicles end o overake he slower ones. B. Classificaion Of Headway Disribuion One can observe hree ypes of flow in he field. 1) Low Volume Flow: Headway follow a random process as here is no inersecion beween he arrivals of wo vehicles. The arrival of one vehicle is independen of he arrival of oher vehicle. The minimum headway is governed by he safey crieria. A negaive exponenial disribuion can be used o model such flow. 2) High Volume Flow This is characerized by near consan headway. The flow is very high and is near o capaciy. The mean is very low and so is he variance. A normal disribuion can be used o model such flow. 3) Inermediae Flow Some vehicle ravel independenly and some vehicle has ineracion. More difficul o analyzed and has more applicaion in he field. Pearson Type III disribuion can be used which is a very general case of negaive exponenial disribuion and normal disribuion. C. Negaive Exponenial Disribuion The negaive exponenial disribuion can be used o illusrae his headway sae. For ime headways o be ruly random, wo condiions o be me. Firsly, any poin in ime is likely o have a vehicle arriving as is any oher poin in ime. Secondly, he arrival of one vehicle a a poin in ime does no affec he arrival ime of any oher vehicle. The negaive exponenial disribuion can be derived from he Poisson coun disribuion. The paricular disribuion can be indicaed by he following form, P (x) = (m * e -m )/ x! (3) Where, P (x) = Probabiliy of arrival of x vehicles in any inerval of sec m= (average rae of arrival) * (ime inerval) Le us consider he special case when here is no vehicle. x=0 P( 0 ) = e -m (4) This means if here is no vehicle hen he individual ime headway mus be equal or greaer han. Therefore, P (0) = P (h ) (5) P (h ) = e -m (6) Now m is defined as he avg. no. of vehicles arriving in ime inerval. The hourly flow rae is V and in seconds. Then, m = (V/3600) (7) P (h ) = e -(V/3600) (8) The mean ime headway can be (μ) deermined easily so, P (h ) = e -/μ (9) To calculae probabiliy of a ime headway beween and +Δ P ( h + Δ) = P (h )-P (h + Δ) (10) Following he above menioned procedure i is possible o fi his disribuion ino differen flow levels o show he characerisics of he disribuion. The heoreical resuls are superimposed on he measured ime headway disribuion. Careful sudy will give some characerisics of he random disribuion o observed one. Some of he imporan observaions are:

3 The random disribuion has a characerisic of smalles headways occurring mos likely, probabiliies coninuously decrease wih he increase wih ime headway. The comparison is bes under lowes flow level. D. Pearson ype III Disribuion The inermediae headway sae lies beween he wo boundary condiions random, consan headway saes. This is he siuaion encounered almos every day. In his secion i is ried o describe Pearson ype III disribuion by which we can easily illusrae his headway sae. Pearson ype III disribuion is a generalized mahemaical model approach. f K K K1 e K1 K1 K 1 e if K 1 Neg. Exp. Where, λ is parameer ha is funcion of µ, K, and α; K = user specified parameer beween 0 and α = user seleced parameer greaer han 0 and called as he shif parameer = gamma funcion ( K= (K-1)!) Then, ph f d (11) Probabiliy of headway lying and +δ is e e K, R Pearson if if 0 Gamma K I Erlang Sudy Design Selecion of Locaion Mehodology of Daa Collecion Daa Collecion Daa Processing PCU Evaluaion Speed-Flow Relaionships Headway Analysis Conclusion Scope and Objecives Crieria for Selecion Spo-Speed Daa Volume Couns Headway Daa Preliminary Analysis Daa Enry Mehods of PCU Esimaion Regression Analysis Figure 2. Flow char of sudy mehodology Approximaing, (12) (13) Some of he imporan observaions are The probabiliy of he heoreical and measured disribuion is mos inconsisen when ime headways beween 1 and 4 sec. The comparison beween his and measured disribuion a four flow levels indicaes ha qualiaively he wo are abou he same. III. p p h f d f d h f STUDY METHODOLOGY The sudy objecive is measure headway values and develops analyical relaionship among headway and probabiliy of occurrence. The flow char of he mehodology is presened in figure 2. f 2 IV. HEADWAY DATA COLLECTION AND ANALYSIS In his survey, video recording mehod for o collec he daa of raffic parameers wih he help of Panasonic VHS Movie Camera (NV-M3000/HQ-VHS-PAL), 180 minues recording in he video cassee, video monior as a Videocon TV and video cassae player wih a sopwach were used. The raffic volume couns observed during sudy is presened in able-1. Headways for car follows car, ruck follows ruck and wo-wheeler follows wo-wheeler were recorded. Vehicle Types TABLE 1. TRAFFIC VOLUME COUNTS Cars LCVs Trucks /Buses Two- Wheelers Auo- Ricksh aws Vadodara o Ahmedabad Ahmedabad o Vadodara Toal Traco r/trail or The headways daa recorded have been fied for negaive exponenial disribuions. Table 2, 3, 4 show headway and probabiliy compued and figure 3, 4, 5 give observed and prediced probabiliies.

4 Lower TABLE 2. CAR FOLLOWS CAR HEADWAY ANALYSIS Car - Car µ P(<h) P(<h<+0.5) Prediced no. of H/W Toal Figure 4. Headway disribuion ruck follows ruck TABLE 4. TOW-WHEELER FOLLOWS TWO-WHEELER HEADWAY ANALYSIS 2-wheeler 2-wheeler Lower Figure 3. Headway disribuion car follows car TABLE 3. TRUCK FOLLOWS TRUCK HEADWAY ANALYSIS Truck - Truck µ P(<h) P(<h<+0.5) Prediced no. of H/W Lower µ P(<h) P(<h<+0.5) Prediced no. of H/W

5 Figure 5. Headway disribuion wo-wheeler follows wo-wheeler V. CONCLUSION AND RECOMMENDATIONS The following conclusion can be drawn from abular daa and plo. Headway daa for car follows negaive disribuion wihin range from 1.00 sec o 4.50 sec wih µ is sec. Headway daa for ruck follows negaive disribuion wihin range from 2.50 sec o sec wih µ is sec. Headway daa for wo-wheeler follows negaive disribuion wihin range from 1.50 sec o 8.00 sec wih µ is sec. The headway follows negaive disribuion up o sec in he heerogeneous raffic sream. The deailed headway daa for all vehicles can be sudied. The headway daa should be used for capaciy level of service analysis and evaluaion of PCUs. REFERENCES [1] Huber, M. J. (1982), Esimaion of Passenger Car Equivalens of Trucks in Traffic Sream, Transporaion Research Record No. 869, Washingon, D. C., pp [2] Kadyali, L. R. and Lal, N. B. (2007), Traffic Engineering and Transpor Planning, Khanna Publishers, Delhi-6. [3] Kremmes, R. A. (1987), and Crowly, K. W., Passenger Car Equaivalens for Trucks on Level Freeway Segmens, Transporaion Research Record (1901), TRB, Naional Research Council, Washingon, D. C., pp [4] May, A. D. (1990), Traffic Flow Fundamenals, Pranice Hall, Englewood Cliffs, New Jersey. [5] May, A. D. (1990), Traffic flow fundamenals Prenice hall, pp [6] Mahew, T. V. and Krishna Rao, K. V. K. (2009), Modelling Traffic Characerisics, [7] Road User Cos Sudy in India (1982), Final Repor, Cenral Road Research Insiue, New Delhi. [8] Transporaion Research Board (TRB) (1965), Highway Capaciy Manual, Special Repor 87. [9] Werner, A. and Morall, J. F. (1976), Passenger Car Equivalences of Trucks, Buses, and Recreaional vehicles for Two Lane Rural Highways, Transporaion Research Record 615, Naional Academic of Sciences, Washingon, D. C. [10] Zala, L. B. (1994), Traffic Flow Analysis on Heavily Trafficked Highway, Unpublished Disseraion Repor, ransporaion Engineering Secion, Civil Engineering Deparmen, Roorkee Universiy, Roorkee.

Key Formulas. From Larson/Farber Elementary Statistics: Picturing the World, Fifth Edition 2012 Prentice Hall. Standard Score: CHAPTER 3.

Key Formulas. From Larson/Farber Elementary Statistics: Picturing the World, Fifth Edition 2012 Prentice Hall. Standard Score: CHAPTER 3. Key Formulas From Larson/Farber Elemenary Saisics: Picuring he World, Fifh Ediion 01 Prenice Hall CHAPTER Class Widh = Range of daa Number of classes 1round up o nex convenien number 1Lower class limi

More information

1 Purpose of the paper

1 Purpose of the paper Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens

More information

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,

More information

Advanced Forecasting Techniques and Models: Time-Series Forecasts

Advanced Forecasting Techniques and Models: Time-Series Forecasts Advanced Forecasing Techniques and Models: Time-Series Forecass Shor Examples Series using Risk Simulaor For more informaion please visi: www.realopionsvaluaion.com or conac us a: admin@realopionsvaluaion.com

More information

Prediction of Rain-fall flow Time Series using Auto-Regressive Models

Prediction of Rain-fall flow Time Series using Auto-Regressive Models Available online a www.pelagiaresearchlibrary.com Advances in Applied Science Research, 2011, 2 (2): 128-133 ISSN: 0976-8610 CODEN (USA): AASRFC Predicion of Rain-fall flow Time Series using Auo-Regressive

More information

Introduction. Enterprises and background. chapter

Introduction. Enterprises and background. chapter NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.

More information

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23 San Francisco Sae Universiy Michael Bar ECON 56 Summer 28 Problem se 3 Due Monday, July 23 Name Assignmen Rules. Homework assignmens mus be yped. For insrucions on how o ype equaions and mah objecs please

More information

IJRSS Volume 2, Issue 2 ISSN:

IJRSS Volume 2, Issue 2 ISSN: A LOGITIC BROWNIAN MOTION WITH A PRICE OF DIVIDEND YIELDING AET D. B. ODUOR ilas N. Onyango _ Absrac: In his paper, we have used he idea of Onyango (2003) he used o develop a logisic equaion used in naural

More information

ASSIGNMENT BOOKLET. M.Sc. (Mathematics with Applications in Computer Science) Mathematical Modelling (January 2014 November 2014)

ASSIGNMENT BOOKLET. M.Sc. (Mathematics with Applications in Computer Science) Mathematical Modelling (January 2014 November 2014) ASSIGNMENT BOOKLET MMT-009 M.Sc. (Mahemaics wih Applicaions in Compuer Science) Mahemaical Modelling (January 014 November 014) School of Sciences Indira Gandhi Naional Open Universiy Maidan Garhi New

More information

This specification describes the models that are used to forecast

This specification describes the models that are used to forecast PCE and CPI Inflaion Differenials: Convering Inflaion Forecass Model Specificaion By Craig S. Hakkio This specificaion describes he models ha are used o forecas he inflaion differenial. The 14 forecass

More information

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen

More information

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions.

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions. Universiy of Washingon Winer 00 Deparmen of Economics Eric Zivo Economics 483 Miderm Exam This is a closed book and closed noe exam. However, you are allowed one page of handwrien noes. Answer all quesions

More information

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in

More information

Empirical analysis on China money multiplier

Empirical analysis on China money multiplier Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,

More information

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Proceedings of he 9h WSEAS Inernaional Conference on Applied Mahemaics, Isanbul, Turkey, May 7-9, 006 (pp63-67) FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Yasemin Ulu Deparmen of Economics American

More information

UNIVERSITY OF MORATUWA

UNIVERSITY OF MORATUWA MA5100 UNIVERSITY OF MORATUWA MSC/POSTGRADUATE DIPLOMA IN FINANCIAL MATHEMATICS 009 MA 5100 INTRODUCTION TO STATISTICS THREE HOURS November 009 Answer FIVE quesions and NO MORE. Quesion 1 (a) A supplier

More information

Missing Data Prediction and Forecasting for Water Quantity Data

Missing Data Prediction and Forecasting for Water Quantity Data 2011 Inernaional Conference on Modeling, Simulaion and Conrol ICSIT vol.10 (2011) (2011) IACSIT ress, Singapore Missing Daa redicion and Forecasing for Waer Quaniy Daa rakhar Gupa 1 and R.Srinivasan 2

More information

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?

More information

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?

More information

DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń Krzysztof Jajuga Wrocław University of Economics

DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń Krzysztof Jajuga Wrocław University of Economics DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus Universiy Toruń 2006 Krzyszof Jajuga Wrocław Universiy of Economics Ineres Rae Modeling and Tools of Financial Economerics 1. Financial Economerics

More information

A Study of Process Capability Analysis on Second-order Autoregressive Processes

A Study of Process Capability Analysis on Second-order Autoregressive Processes A Sudy of Process apabiliy Analysis on Second-order Auoregressive Processes Dja Shin Wang, Business Adminisraion, TransWorld Universiy, Taiwan. E-mail: shin@wu.edu.w Szu hi Ho, Indusrial Engineering and

More information

Market and Information Economics

Market and Information Economics Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion

More information

Robustness of Memory-Type Charts to Skew Processes

Robustness of Memory-Type Charts to Skew Processes Inernaional Journal of Applied Physics and Mahemaics Robusness of Memory-Type Chars o Skew Processes Saowani Sukparungsee* Deparmen of Applied Saisics, Faculy of Applied Science, King Mongku s Universiy

More information

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA 64 VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA Yoon Hong, PhD, Research Fellow Deparmen of Economics Hanyang Universiy, Souh Korea Ji-chul Lee, PhD,

More information

Web Usage Patterns Using Association Rules and Markov Chains

Web Usage Patterns Using Association Rules and Markov Chains Web Usage Paerns Using Associaion Rules and Markov hains handrakasem Rajabha Universiy, Thailand amnas.cru@gmail.com Absrac - The objecive of his research is o illusrae he probabiliy of web page using

More information

A Method for Estimating the Change in Terminal Value Required to Increase IRR

A Method for Estimating the Change in Terminal Value Required to Increase IRR A Mehod for Esimaing he Change in Terminal Value Required o Increase IRR Ausin M. Long, III, MPA, CPA, JD * Alignmen Capial Group 11940 Jollyville Road Suie 330-N Ausin, TX 78759 512-506-8299 (Phone) 512-996-0970

More information

R e. Y R, X R, u e, and. Use the attached excel spreadsheets to

R e. Y R, X R, u e, and. Use the attached excel spreadsheets to HW # Saisical Financial Modeling ( P Theodossiou) 1 The following are annual reurns for US finance socks (F) and he S&P500 socks index (M) Year Reurn Finance Socks Reurn S&P500 Year Reurn Finance Socks

More information

PARAMETER ESTIMATION IN A BLACK SCHOLES

PARAMETER ESTIMATION IN A BLACK SCHOLES PARAMETER ESTIMATIO I A BLACK SCHOLES Musafa BAYRAM *, Gulsen ORUCOVA BUYUKOZ, Tugcem PARTAL * Gelisim Universiy Deparmen of Compuer Engineering, 3435 Isanbul, Turkey Yildiz Technical Universiy Deparmen

More information

Final Exam Answers Exchange Rate Economics

Final Exam Answers Exchange Rate Economics Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.

More information

An Analytical Implementation of the Hull and White Model

An Analytical Implementation of the Hull and White Model Dwigh Gran * and Gauam Vora ** Revised: February 8, & November, Do no quoe. Commens welcome. * Douglas M. Brown Professor of Finance, Anderson School of Managemen, Universiy of New Mexico, Albuquerque,

More information

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,

More information

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network Online Appendix o: Implemening Supply Rouing Opimizaion in a Make-To-Order Manufacuring Nework A.1. Forecas Accuracy Sudy. July 29, 2008 Assuming a single locaion and par for now, his sudy can be described

More information

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 9 h November 2010 Subjec CT6 Saisical Mehods Time allowed: Three Hours (10.00 13.00 Hrs.) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1. Please read he insrucions

More information

Estimating Earnings Trend Using Unobserved Components Framework

Estimating Earnings Trend Using Unobserved Components Framework Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion

More information

An Introduction to PAM Based Project Appraisal

An Introduction to PAM Based Project Appraisal Slide 1 An Inroducion o PAM Based Projec Appraisal Sco Pearson Sanford Universiy Sco Pearson is Professor of Agriculural Economics a he Food Research Insiue, Sanford Universiy. He has paricipaed in projecs

More information

Forecasting Financial Time Series

Forecasting Financial Time Series 1 Inroducion Forecasing Financial Time Series Peer Princ 1, Sára Bisová 2, Adam Borovička 3 Absrac. Densiy forecas is an esimae of he probabiliy disribuion of he possible fuure values of a random variable.

More information

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts Cenre for Risk & Insurance Sudies enhancing he undersanding of risk and insurance Backesing Sochasic Moraliy Models: An Ex-Pos Evaluaion of Muli-Period-Ahead Densiy Forecass Kevin Dowd, Andrew J.G. Cairns,

More information

Systemic Risk Illustrated

Systemic Risk Illustrated Sysemic Risk Illusraed Jean-Pierre Fouque Li-Hsien Sun March 2, 22 Absrac We sudy he behavior of diffusions coupled hrough heir drifs in a way ha each componen mean-revers o he mean of he ensemble. In

More information

VaR and Low Interest Rates

VaR and Low Interest Rates VaR and Low Ineres Raes Presened a he Sevenh Monreal Indusrial Problem Solving Workshop By Louis Doray (U de M) Frédéric Edoukou (U de M) Rim Labdi (HEC Monréal) Zichun Ye (UBC) 20 May 2016 P r e s e n

More information

Introduction to Black-Scholes Model

Introduction to Black-Scholes Model 4 azuhisa Masuda All righs reserved. Inroducion o Black-choles Model Absrac azuhisa Masuda Deparmen of Economics he Graduae Cener, he Ciy Universiy of New York, 365 Fifh Avenue, New York, NY 6-439 Email:

More information

The Binomial Model and Risk Neutrality: Some Important Details

The Binomial Model and Risk Neutrality: Some Important Details The Binomial Model and Risk Neuraliy: Some Imporan Deails Sanjay K. Nawalkha* Donald R. Chambers** Absrac This paper reexamines he relaionship beween invesors preferences and he binomial opion pricing

More information

Forecasting with Judgment

Forecasting with Judgment Forecasing wih Judgmen Simone Manganelli DG-Research European Cenral Bank Frankfur am Main, German) Disclaimer: he views expressed in his paper are our own and do no necessaril reflec he views of he ECB

More information

You should turn in (at least) FOUR bluebooks, one (or more, if needed) bluebook(s) for each question.

You should turn in (at least) FOUR bluebooks, one (or more, if needed) bluebook(s) for each question. UCLA Deparmen of Economics Spring 05 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and each par is worh 0 poins. Pars and have one quesion each, and Par 3 has

More information

Finance Solutions to Problem Set #6: Demand Estimation and Forecasting

Finance Solutions to Problem Set #6: Demand Estimation and Forecasting Finance 30210 Soluions o Problem Se #6: Demand Esimaion and Forecasing 1) Consider he following regression for Ice Cream sales (in housands) as a funcion of price in dollars per pin. My daa is aken from

More information

Output: The Demand for Goods and Services

Output: The Demand for Goods and Services IN CHAPTER 15 how o incorporae dynamics ino he AD-AS model we previously sudied how o use he dynamic AD-AS model o illusrae long-run economic growh how o use he dynamic AD-AS model o race ou he effecs

More information

Reconciling Gross Output TFP Growth with Value Added TFP Growth

Reconciling Gross Output TFP Growth with Value Added TFP Growth Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae

More information

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations The Mahemaics Of Sock Opion Valuaion - Par Four Deriving The Black-Scholes Model Via Parial Differenial Equaions Gary Schurman, MBE, CFA Ocober 1 In Par One we explained why valuing a call opion as a sand-alone

More information

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing

More information

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae

More information

Population growth and intra-specific competition in duckweed

Population growth and intra-specific competition in duckweed Populaion growh and inra-specific compeiion in duckweed We will use a species of floaing aquaic plan o invesigae principles of populaion growh and inra-specific compeiion, in oher words densiy-dependence.

More information

Jarrow-Lando-Turnbull model

Jarrow-Lando-Turnbull model Jarrow-Lando-urnbull model Characerisics Credi raing dynamics is represened by a Markov chain. Defaul is modelled as he firs ime a coninuous ime Markov chain wih K saes hiing he absorbing sae K defaul

More information

An Analysis of Trend and Sources of Deficit Financing in Nepal

An Analysis of Trend and Sources of Deficit Financing in Nepal Economic Lieraure, Vol. XII (8-16), December 014 An Analysis of Trend and Sources of Defici Financing in Nepal Deo Narayan Suihar ABSTRACT Defici financing has emerged as an imporan ool of financing governmen

More information

Equivalent Martingale Measure in Asian Geometric Average Option Pricing

Equivalent Martingale Measure in Asian Geometric Average Option Pricing Journal of Mahemaical Finance, 4, 4, 34-38 ublished Online Augus 4 in SciRes hp://wwwscirporg/journal/jmf hp://dxdoiorg/436/jmf4447 Equivalen Maringale Measure in Asian Geomeric Average Opion ricing Yonggang

More information

Predictive Analytics : QM901.1x Prof U Dinesh Kumar, IIMB. All Rights Reserved, Indian Institute of Management Bangalore

Predictive Analytics : QM901.1x Prof U Dinesh Kumar, IIMB. All Rights Reserved, Indian Institute of Management Bangalore Predicive Analyics : QM901.1x All Righs Reserved, Indian Insiue of Managemen Bangalore Predicive Analyics : QM901.1x Those who have knowledge don predic. Those who predic don have knowledge. - Lao Tzu

More information

Is Low Responsiveness of Income Tax Functions to Sectoral Output an Answer to Sri Lanka s Declining Tax Revenue Ratio?

Is Low Responsiveness of Income Tax Functions to Sectoral Output an Answer to Sri Lanka s Declining Tax Revenue Ratio? Is Low Responsiveness of Income Tax Funcions o Secoral Oupu an Answer o Sri Lanka s Declining Tax Revenue Raio? P.Y.N. Madhushani and Ananda Jayawickrema Deparmen of Economics and Saisics, Universiy of

More information

VERIFICATION OF ECONOMIC EFFICIENCY OF LIGNITE DEPOSIT DEVELOPMENT USING THE SENSITIVITY ANALYSIS

VERIFICATION OF ECONOMIC EFFICIENCY OF LIGNITE DEPOSIT DEVELOPMENT USING THE SENSITIVITY ANALYSIS 1 Beaa TRZASKUŚ-ŻAK 1, Kazimierz CZOPEK 2 MG 3 1 Trzaskuś-Żak Beaa PhD. (corresponding auhor) AGH Universiy of Science and Technology Faculy of Mining and Geoengineering Al. Mickiewicza 30, 30-59 Krakow,

More information

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression Mah Modeling Lecure 17: Modeling of Daa: Linear Regression Page 1 5 Mahemaical Modeling Lecure 17: Modeling of Daa: Linear Regression Inroducion In modeling of daa, we are given a se of daa poins, and

More information

Models of Default Risk

Models of Default Risk Models of Defaul Risk Models of Defaul Risk 1/29 Inroducion We consider wo general approaches o modelling defaul risk, a risk characerizing almos all xed-income securiies. The srucural approach was developed

More information

Measuring and Forecasting the Daily Variance Based on High-Frequency Intraday and Electronic Data

Measuring and Forecasting the Daily Variance Based on High-Frequency Intraday and Electronic Data Measuring and Forecasing he Daily Variance Based on High-Frequency Inraday and Elecronic Daa Faemeh Behzadnejad Supervisor: Benoi Perron Absrac For he 4-hr foreign exchange marke, Andersen and Bollerslev

More information

Subdivided Research on the Inflation-hedging Ability of Residential Property: A Case of Hong Kong

Subdivided Research on the Inflation-hedging Ability of Residential Property: A Case of Hong Kong Subdivided Research on he -hedging Abiliy of Residenial Propery: A Case of Hong Kong Guohua Huang 1, Haili Tu 2, Boyu Liu 3,* 1 Economics and Managemen School of Wuhan Universiy,Economics and Managemen

More information

An inventory model for Gompertz deteriorating items with time-varying holding cost and price dependent demand

An inventory model for Gompertz deteriorating items with time-varying holding cost and price dependent demand Inernaional Journal of Mahemaics rends and echnology (IJM) Volume 49 Number 3 Sepember 7 An invenory model for Gomperz deerioraing iems wih ime-varying holding cos and price dependen demand Absrac Nurul

More information

The Empirical Study about Introduction of Stock Index Futures on the Volatility of Spot Market

The Empirical Study about Introduction of Stock Index Futures on the Volatility of Spot Market ibusiness, 013, 5, 113-117 hp://dx.doi.org/10.436/ib.013.53b04 Published Online Sepember 013 (hp://www.scirp.org/journal/ib) 113 The Empirical Sudy abou Inroducion of Sock Index Fuures on he Volailiy of

More information

Valuing Real Options on Oil & Gas Exploration & Production Projects

Valuing Real Options on Oil & Gas Exploration & Production Projects Valuing Real Opions on Oil & Gas Exploraion & Producion Projecs March 2, 2006 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion 2. Wha

More information

Unemployment and Phillips curve

Unemployment and Phillips curve Unemploymen and Phillips curve 2 of The Naural Rae of Unemploymen and he Phillips Curve Figure 1 Inflaion versus Unemploymen in he Unied Saes, 1900 o 1960 During he period 1900 o 1960 in he Unied Saes,

More information

Optimal Early Exercise of Vulnerable American Options

Optimal Early Exercise of Vulnerable American Options Opimal Early Exercise of Vulnerable American Opions March 15, 2008 This paper is preliminary and incomplee. Opimal Early Exercise of Vulnerable American Opions Absrac We analyze he effec of credi risk

More information

A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA

A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA 1 1 1 1 1 1 1 1 0 1 A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA Nobuhiro Graduae School of Business Adminisraion, Kobe Universiy, Japan -1 Rokkodai-cho,

More information

Estimating Mortality of Insured Advanced-age Population. With Cox Regression Model

Estimating Mortality of Insured Advanced-age Population. With Cox Regression Model Esimaing Moraliy of Insured Advanced-age Populaion Wih Cox Regression Model By Zhiwei Zhu, Ph.D.; Michael Hoag, FSA; Séphane Julien, FSA; Sufang Cui, Ph.D. Risk Managemen, Transamerica Reinsurance ABSTRACT

More information

ACE 564 Spring Lecture 9. Violations of Basic Assumptions II: Heteroskedasticity. by Professor Scott H. Irwin

ACE 564 Spring Lecture 9. Violations of Basic Assumptions II: Heteroskedasticity. by Professor Scott H. Irwin ACE 564 Spring 006 Lecure 9 Violaions of Basic Assumpions II: Heeroskedasiciy by Professor Sco H. Irwin Readings: Griffihs, Hill and Judge. "Heeroskedasic Errors, Chaper 5 in Learning and Pracicing Economerics

More information

Comparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013

Comparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013 Comparison of back-esing resuls for various VaR esimaion mehods, ICSP 3, Bergamo 8 h July, 3 THE MOTIVATION AND GOAL In order o esimae he risk of financial invesmens, i is crucial for all he models o esimae

More information

ASSESSING PREDICTION INTERVALS FOR DEMAND RATES OF SLOW-MOVING PARTS FOR A NATIONAL RETAILER

ASSESSING PREDICTION INTERVALS FOR DEMAND RATES OF SLOW-MOVING PARTS FOR A NATIONAL RETAILER ASSESSING PREDICTION INTERVALS FOR DEMAND RATES OF SLOW-MOVING PARTS FOR A NATIONAL RETAILER Ma Lindsey, Nelson Rusche College of Business, Sephen F. Ausin Sae Universiy, Nacogdoches, TX 75965, (936) 468-1858,

More information

a) No constraints on import- export, no limit on reservoir, all water in the first period The monopoly optimisation problem is:

a) No constraints on import- export, no limit on reservoir, all water in the first period The monopoly optimisation problem is: Monopoly and rade Monopoly conrol impors, bu akes expor price as given. a No consrains on impor- expor, no limi on reservoir, all waer in he firs period he monopoly opimisaion problem is: Max p ( x x +

More information

Market risk VaR historical simulation model with autocorrelation effect: A note

Market risk VaR historical simulation model with autocorrelation effect: A note Inernaional Journal of Banking and Finance Volume 6 Issue 2 Aricle 9 3--29 Marke risk VaR hisorical simulaion model wih auocorrelaion effec: A noe Wananee Surapaioolkorn SASIN Chulalunkorn Universiy Follow

More information

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim

More information

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods, Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness

More information

An Alternative Test of Purchasing Power Parity

An Alternative Test of Purchasing Power Parity An Alernaive Tes of Purchasing Power Pariy Frederic H. Wallace* Deparmen of Managemen and Mareing Prairie View A&M Universiy Prairie View, Texas 77446 and Gary L. Shelley Deparmen of Economics, Finance,

More information

Credit Spread Option Valuation under GARCH. Working Paper July 2000 ISSN :

Credit Spread Option Valuation under GARCH. Working Paper July 2000 ISSN : Credi Spread Opion Valuaion under GARCH by Nabil ahani Working Paper -7 July ISSN : 6-334 Financial suppor by he Risk Managemen Chair is acknowledged. he auhor would like o hank his professors Peer Chrisoffersen

More information

TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES

TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES WORKING PAPER 01: TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES Panagiois Manalos and Alex Karagrigoriou Deparmen of Saisics, Universiy of Örebro, Sweden & Deparmen

More information

The relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract

The relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract The relaion beween U.S. money growh and inflaion: evidence from a band pass filer Gary Shelley Dep. of Economics Finance; Eas Tennessee Sae Universiy Frederick Wallace Dep. of Managemen Markeing; Prairie

More information

Progress Risk Assessment for Spliced Network of Engineering Project Based on Improved PERT

Progress Risk Assessment for Spliced Network of Engineering Project Based on Improved PERT Available online a www.sciencedirec.com Sysems Engineering Procedia (0) 7 78 0 nernaional Conference on Risk and Engineering Managemen (REM) Progress Risk Assessmen for Spliced Nework of Engineering Projec

More information

Fundamental Basic. Fundamentals. Fundamental PV Principle. Time Value of Money. Fundamental. Chapter 2. How to Calculate Present Values

Fundamental Basic. Fundamentals. Fundamental PV Principle. Time Value of Money. Fundamental. Chapter 2. How to Calculate Present Values McGraw-Hill/Irwin Chaper 2 How o Calculae Presen Values Principles of Corporae Finance Tenh Ediion Slides by Mahew Will And Bo Sjö 22 Copyrigh 2 by he McGraw-Hill Companies, Inc. All righs reserved. Fundamenal

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on

More information

An Extended Lee-Carter Model for Mortality Differential by Long-Term Care Status

An Extended Lee-Carter Model for Mortality Differential by Long-Term Care Status Proposal submied o he 2016 ARIA Annual Meeing An Eended Lee-Carer Model for Moraliy Differenial by Long-Term Care Saus Asuyuki Kogure a, Shinichi Kamiya b, Takahiro Fushimi a a Faculy of Policy Managemen,

More information

Pricing Vulnerable American Options. April 16, Peter Klein. and. Jun (James) Yang. Simon Fraser University. Burnaby, B.C. V5A 1S6.

Pricing Vulnerable American Options. April 16, Peter Klein. and. Jun (James) Yang. Simon Fraser University. Burnaby, B.C. V5A 1S6. Pricing ulnerable American Opions April 16, 2007 Peer Klein and Jun (James) Yang imon Fraser Universiy Burnaby, B.C. 5A 16 pklein@sfu.ca (604) 268-7922 Pricing ulnerable American Opions Absrac We exend

More information

The Effect of Open Market Repurchase on Company s Value

The Effect of Open Market Repurchase on Company s Value The Effec of Open Marke Repurchase on Company s Value Xu Fengju Wang Feng School of Managemen, Wuhan Universiy of Technology, Wuhan, P.R.China, 437 (E-mail:xfju@63.com, wangf9@63.com) Absrac This paper

More information

Session 4.2: Price and Volume Measures

Session 4.2: Price and Volume Measures Session 4.2: Price and Volume Measures Regional Course on Inegraed Economic Saisics o Suppor 28 SNA Implemenaion Leonidas Akriidis Office for Naional Saisics Unied Kingdom Conen 1. Inroducion 2. Price

More information

A Simple Method for Consumers to Address Uncertainty When Purchasing Photovoltaics

A Simple Method for Consumers to Address Uncertainty When Purchasing Photovoltaics A Simple Mehod for Consumers o Address Uncerainy When Purchasing Phoovolaics Dr. Thomas E. Hoff Clean Power Research 10 Glen C. Napa, CA 94558 www.clean-power.com Dr. Rober Margolis Naional Renewable Energy

More information

Problem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.

Problem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000. Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006

More information

Fitness of Use Criteria for Price Index Deflators in National Income Accounting A Case Study: Mutual Stock Fund Management

Fitness of Use Criteria for Price Index Deflators in National Income Accounting A Case Study: Mutual Stock Fund Management Finess of Use Crieria for Price Index Deflaors in Naional Income Accouning A Case Sudy: Muual Sock Fund Managemen Michael Holdway U.S. Bureau of Labor Saisics Absrac: Mos saisical agencies in developed

More information

Research & Reviews: Journal of Statistics and Mathematical Sciences

Research & Reviews: Journal of Statistics and Mathematical Sciences Research & Reviews: Journal of Saisics and Mahemaical Sciences Forecas and Backesing of VAR Models in Crude Oil Marke Yue-Xian Li *, Jin-Guo Lian 2 and Hong-Kun Zhang 2 Deparmen of Mahemaics and Saisics,

More information

Extreme Risk Value and Dependence Structure of the China Securities Index 300

Extreme Risk Value and Dependence Structure of the China Securities Index 300 MPRA Munich Personal RePEc Archive Exreme Risk Value and Dependence Srucure of he China Securiies Index 300 Terence Tai Leung Chong and Yue Ding and Tianxiao Pang The Chinese Universiy of Hong Kong, The

More information

Determination Forecasting Sporadic Demand in Supply Chain Management

Determination Forecasting Sporadic Demand in Supply Chain Management 07 Published in 5h Inernaional Symposium on Innovaive Technologies in Engineering and Science 9-30 Sepember 07 (ISITES07 Baku - Azerbaijan Deerminaion Forecasing Sporadic Demand in Supply Chain Managemen

More information

Loss Functions in Option Valuation: A Framework for Model Selection

Loss Functions in Option Valuation: A Framework for Model Selection Loss Funcions in Opion Valuaion: A Framework for Model Selecion Dennis Bams, Thorsen Lehner, Chrisian C.P. Wolff * Limburg Insiue of Financial Economics (LIFE), Maasrich Universiy, P.O. Box 616, 600 MD

More information

Data-Driven Demand Learning and Dynamic Pricing Strategies in Competitive Markets

Data-Driven Demand Learning and Dynamic Pricing Strategies in Competitive Markets Daa-Driven Demand Learning and Dynamic Pricing Sraegies in Compeiive Markes Pricing Sraegies & Dynamic Programming Rainer Schlosser, Marin Boissier, Mahias Uflacker Hasso Planer Insiue (EPIC) April 30,

More information

Li Gan Guan Gong Michael Hurd. April, 2006

Li Gan Guan Gong Michael Hurd. April, 2006 Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis Li Gan Guan Gong Michael Hurd April, 2006 ABSTRACT When he age of deah is uncerain, individuals will leave bequess even if hey have

More information

Non-Stationary Processes: Part IV. ARCH(m) (Autoregressive Conditional Heteroskedasticity) Models

Non-Stationary Processes: Part IV. ARCH(m) (Autoregressive Conditional Heteroskedasticity) Models Alber-Ludwigs Universiy Freiburg Deparmen of Economics Time Series Analysis, Summer 29 Dr. Sevap Kesel Non-Saionary Processes: Par IV ARCH(m) (Auoregressive Condiional Heeroskedasiciy) Models Saionary

More information

Single Premium of Equity-Linked with CRR and CIR Binomial Tree

Single Premium of Equity-Linked with CRR and CIR Binomial Tree The 7h SEAMS-UGM Conference 2015 Single Premium of Equiy-Linked wih CRR and CIR Binomial Tree Yunia Wulan Sari 1,a) and Gunardi 2,b) 1,2 Deparmen of Mahemaics, Faculy of Mahemaics and Naural Sciences,

More information

Portfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion.

Portfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion. BALANCE OF PAYMENTS DATE: 27-11-27 PUBLISHER: Saisics Sweden Balance of Paymens and Financial Markes (BFM) Maria Falk +46 8 6 94 72, maria.falk@scb.se Camilla Bergeling +46 8 6 942 6, camilla.bergeling@scb.se

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 05 h November 007 Subjec CT8 Financial Economics Time allowed: Three Hours (14.30 17.30 Hrs) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1) Do no wrie your

More information

1. Properties of Multimedia

1. Properties of Multimedia Conens 1.1 Wha is Mulimedia? 1.2 Classificaion of Media Percepion, Represenaion and Presenaion of Informaion 1.3 Quaniaive and Qualiaive Evaluaion of Mulimedia Sysems Combinaion of Media Level of Independence

More information