This book presents the methodology and applications of Data Envelopment Analysis (DEA) in measuring productivity, efficiency and effectiveness in Financial Services firms such as banks, bank branches, stock markets, pension funds, mutual funds, insurance firms, credit unions, risk tolerance, and corporate failure prediction. Financial service DEA research includes banking; insurance businesses; hedge, pension and mutual funds; and credit unions. Significant business transactions among financial service organizations such as bank mergers and acquisitions and valuation of IPOs have also been the focus of DEA research. The book looks at the range of DEA uses for financial services by presenting prior studies, examining the current capabilities reflected in the most recent research, and projecting future new uses of DEA in finance related applications.

The book provides an up-to-date survey of statistical and econometric techniques for the analysis of count data, with a focus on conditional distribution models. The book starts with a presentation of the benchmark Poisson regression model. Alternative models address unobserved heterogeneity, state dependence, selectivity, endogeneity, underreporting, and clustered sampling. Testing and estimation is discussed. Finally, applications are reviewed in various fields.

Herbert Scarf is a highly esteemed distinguished American economist. He is internationally famous for his early epoch-making work on optimal inventory policies and his highly influential study with Andrew Clark on optimal policies for a multi-echelon inventory problem, which initiated the important and flourishing field of supply chain management. Equally, he has gained world recognition for his classic study on the stability of the Walrasian price adjustment processes and his fundamental analysis on the relationship between the core and the set of competitive equilibria (the so-called Edgeworth conjecture). Further achievements include his remarkable sufficient condition for the existence of a core in non-transferable utility games and general exchange economies, his seminal paper with Lloyd Shapley on housing markets, and his pioneering study on increasing returns and models of production in the presence of indivisibilities. All in all, however, the name of Scarf is always remembered as a synonym for the computation of economic equilibria and fixed points. In the early 1960s he invented a path-breaking technique for computing equilibrium prices. This work has generated a major research field in economics termed Applied General Equilibrium Analysis and a corresponding area in operations research known as Simplicial Fixed Point Methods. This book comprises all his research articles and consists of four volumes. This volume collects Herbert Scarf's papers in the area of Economics and Game Theory.

Figure 1. 1. Map of Great Britain at two different scale levels. (a) Counties, (b)Regions. '-. " Figure 1. 2. Two alternative aggregations of the Italian provincie in 32 larger areas 4 CHAPTER 1 d . , b) Figure 1. 3 Percentage of votes of the Communist Party in the 1987 Italian political elections (a) and percentage of population over 75 years (b) in 1981 Italian Census in 32 polling districts. The polling districts with values above the average are shaded. Figure 1. 4: First order neighbours (a) and second order neighbours (b) of a reference area. INTRODUCTION 5 While there are several other problems relating to the analysis of areal data, the problem of estimating a spatial correlO!J'am merits special attention. The concept of the correlogram has been borrowed in the spatial literature from the time series analysis. Figure l. 4. a shows the first-order neighbours of a reference area, while Figure 1. 4. b displays the second-order neighbours of the same area. Higher-order neighbours can be defined in a similar fashion. While it is clear that the dependence is strongest between immediate neighbouring areas a certain degree of dependence may be present among higher-order neighbours. This has been shown to be an alternative way of look ing at the sca le problem (Cliff and Ord, 1981, p. l 23). However, unlike the case of a time series where each observation depends only on past observations, here dependence extends in all directions.

The effects and challenges of European integration are analyzed in this book, using a wide variety of research methods. Topics covered include macroeconometric and applied general equilibrium modelling, international trade and applied econometric analysis. Various contributions focus on Europe itself and are concerned with macroeconomic management, price convergence, industrial restructuring and the environment. Extra developments in the European Community are also discussed, in relation with European integration, including world trade, regional integration and the East-European transition to a West-European style market economy. The book is dedicated to the long and prolific career of Jean Waelbroeck. It will be of great interest to both academic researchers and policymakers.

One cannot exaggerate the importance of estimating how international trade responds to changes in income and prices. But there is a tension between whether one should use models that fit the data but that contradict certain aspects of the underlying theory or models that fit the theory but contradict certain aspects of the data. The essays in Estimating Trade Elasticities book offer one practical approach to deal with this tension. The analysis starts with the practical implications of optimising behaviour for estimation and it follows with a re-examination of the puzzling income elasticity for US imports that three decades of studies have not resolved. The analysis then turns to the study of the role of income and prices in determining the expansion in Asian trade, a study largely neglected in fifty years of research. With the new estimates of trade elasticities, the book examines how they assist in restoring the consistency between elasticity estimates and the world trade identity.
The material in Estimating Trade Elasticities will be of interest to economists working in predicting the evolution of international trade and its domestic repercussions. Practitioners in the International Monetary Fund, the World Bank, the OECD, and Central Banks with a keen interest in international developments will benefit from the analysis in this book.

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.

This text focuses on two key components of microeconomics - optimization subject to constraints and the development of comparative statics. It assumes familiarity with calculus of one variable and basic linear algebra, allowing more extensive coverage of additional topics like constrained optimization, the chain rule, Taylor's theorem, line integrals and dynamic programming. The book contains numerous examples that illustrate economics and mathematical situations, many with complete solutions.;"Mathematics for Economists" provides a collection of topics to complement first semester PhD microeconomics course. It contains the mathematical material necessary as background for topics covered in graduate level microeconomics courses.

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes. This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions.

This thoroughly revised second edition of an upper-level undergraduate/graduate text describes many major techniques of forecasting used in economics and business. This is the only time series book to concentrate on the forecasting of economic data and to cover such a broad range of topics. The key features are: explains how to specify and evaluate simple models from the time series and econometric approaches; places special emphasis on the information that is derived from the evaluation and combinations of forecasts; discusses the topics of technological and population forecasting; includes an expanded chapter on regression techniques; presents a practical forecasting project which runs throughout the text; includes an appendix on basic statistical concepts.

This proceedings volume examines the state-of-the art of productivity and efficiency analysis and adds to the existing research by bringing together a selection of the best papers from the 8th North American Productivity Workshop (NAPW). It also aims to analyze world-wide perspectives on challenges that local economies and institutions may face when changes in productivity are observed. The volume comprises of seventeen papers that deal with productivity measurement, productivity growth, dynamics of productivity change, measures of labor productivity, measures of technical efficiency in different sectors, frontier analysis, measures of performance, industry instability and spillover effects. These papers are relevant to academia, but also to public and private sectors in terms of the challenges firms, financial institutions, governments and individuals may face when dealing with economic and education related activities that lead to increase or decrease of productivity. The North American Productivity Workshop brings together academic scholars and practitioners in the field of productivity and efficiency analysis from all over the world. It is a four day conference exploring topics related to productivity, production theory and efficiency measurement in economics, management science, operations research, public administration, and related fields. The papers in this volume also address general topics as health, energy, finance, agriculture, utilities, and economic dev elopment, among others. The editors are comprised of the 2014 local organizers, program committee members, and celebrated guest conference speakers.

Any discussion of the various facets of petroleum policy in the United States rests to a greater or less extent on the issue of sensitivity of petroleum exploration, and hence of new petroleum discoveries to economic incentives. Indeed, a principle argument in favour of having a special petroleum policy at all is that domestic petroleum exploration is so sensitive to economic considerations that in the absence of special incentives exploration expenditures would sharply decrease, as would the amount of petroleum discovered; consequently, the nation's known oil resources would be reduced to an extent dangerous in the event of an international crisis. This study attempts to answer the question: how sensitive are new petroleum discoveries to economic incentives? This book will be of interest to students of environmental studies.

Essays in Economic Theory, first published in 1983, combines two essays on game theory and its applications in economics. The first, "Learning Behavior and the Noncooperative Equilibrium", considers whether an adaptive justification, like those commonly available for the optimization models frequently employed elsewhere in economics, can be found for the Nash noncooperative equilibrium. The second essay, "A Game of Fair Division", was motivated by the desire to find attractive methods for solving allocation problems and bargaining disputes that are simple enough to provide useful alternatives to existing methods. It studies in detail one such simple method: the classical "divide-and-choose" procedure. This book will be of interest to students of economics.

'An authoritative survey with exciting new insights of special interest to economists and econometricians who analyse intertemporal and interspatial price relationships.' - Professor Angus Maddison, Groningen University This book presents a comprehensive review of recent developments in the theory and construction of index numbers using the stochastic approach, demonstrating the versatility of this approach in handling various index number problems within a single conceptual framework. It also contains a brief, but complete, review of the existing approaches to index numbers with illustrative numerical examples. The stochastic approach considers the index number problem as a signal extraction problem. The strength and reliability of the signal extracted from price and quantity changes for different commodities depends upon the messages received and the information content of the messages. The most important applications of the new approach are to be found in the context of measuring rate of inflation; fixed and chain base index numbers for temporal comparisons and for spatial intercountry comparisons; the latter generally require special index number formulae that result in transitive and base invariant comparisons.

The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.

This book is a quarterly forecast and analysis report on the Chinese economy. It is published twice a year and presents ongoing results from the "China Quarterly Macroeconomic Model (CQMM)," a research project at the Center for Macroeconomic Research (CMR) at Xiamen University. Based on the CQMM, the research team forecasts China's major macroeconomic indicators for the next 8 quarters, including GDP growth rate, CPI, PPI, investment in fixed assets, household consumption, imports, exports, and foreign reserves. Moreover, it simulates different scenarios to study the effects of macroeconomic policy on the Chinese economy. In addition to helping readers to understand China's economic trends and policies, this book has three main goals: to help readers understand China's economic performance; to forecast the major macroeconomic indicators for the next 8 quarters; and to simulate the effectiveness of macroeconomic policy.

Dedicated to the measurement and definition of market power across a broad array of industries, this text should provide economists and lawyers with an insight into how anti-trust economists actually go about measuring market power in a given industry. The "Contributions to Economic Analysis" series consists of a number of previously unpublished studies. The term economic analysis is used because it covers the activities of the theoretical economist and the research worker.

In the 16th Edition of "Advances in Econometrics", we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing. Given the applied nature of marketing research, measurement and quantitative issues arise frequently. Quantitative marketing tends to rely heavily upon statistics and econometrics. However, quantitative marketing can place a different emphasis upon the problem than econometrics, even when using the same techniques. A basic difference between quantitative marketing research and econometrics tends to be the pragmatism that is found in many marketing studies. Another important motivating factor in marketing research is the type of data that is available. Applied econometrics tends to rely heavily on data collected by governmental organizations. In contrast, marketing often uses data collected by private firms or marketing research firms. Observational and survey data are quite similar to those used in econometrics. However, the remaining types of data, panel and transactional, can look quite different from what may be familiar to econometricians. The automation and computerization of much of the sales transaction process leaves an audit trail that results in huge quantities of data. A popular area of study is the use of scanner data collected at the checkout stand using bar code readers. Methods that work for small data sets may not work well in these larger data sets. In addition, new sources of data, such as clickstream data from a web site, will offer new challenges. This volume addresses these and related issues.

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

For sometime now, I felt that the evolution of the literature of econo metrics had mandated a higher level of mathematical proficiency. This is particularly evident beyond the level of the general linear model (GLM) and the general linear structural econometric model (GLSEM). The problems one encounters in nonlinear econometrics are not easily amenable to treatment by the analytical methods one typically acquires, when one learns about probability and inference through the use of den sity functions. Even in standard traditional topics, one is often compelled to resort to heuristics; for example, it is difficult to prove central limit theorems for nonidentically distributed or martingale sequences, solely by the use of characteristic functions. Yet such proofs are essential, even in only moderately sophisticated classroom exposition. Unfortunately, relatively few students enter a graduate economics de partment ready to tackle probability theory in measure theoretic terms. The present volume has grown out of the need to lay the foundation for such discussions. The motivating forces were, chiefly, (a) the frustration one encounters in attempting to communicate certain concepts to stu dents wholly in analytic terms; and (b) the unwillingness of the typical student to sit through several courses in mathematics departments, in order to acquire the requisite background."

This is the first book in the Selecta, the collected works of Benoit Mandelbrot. This volume incorporates his original contributions to finance. The chapters consist of much new material prepared for this volume, as well as reprints of his classic papers which are devoted to the roles that discontinuity and related forms of concentration play in finance and economics. Much of this work helps to lay a foundation for evaluating risks in trading strategies.

This Palgrave Pivot re-examines salary formation in Major League Baseball in light of real option theory to clarify the connection between salary and marginal revenue product for professional baseball players. Current literature has tended to treat single-year and multi-year contracts similarly, ignoring the potential option value for teams and for players. Recent work points to the observation that both high-productivity and low-productivity athletes have salaries that systematically differ from their marginal revenue product, and that free agents signing multi-year contracts are overpaid relative to free agents signing one-year contracts. This book argues that the value of signing an athlete to a contract should be determined similarly to the determination of the value of an investment project or a financial asset. This book demonstrates how to calculate the value of real options to the player and the team owner with a simple two-year contract, and offers extensions to the real options model for multiyear contracts or when a player is early or late in his career.

This major collection presents a careful selection of the most important published articles in the field of financial econometrics. Starting with a review of the philosophical background, the collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, market microstructure, Bayesian methods and other statistical tools. Andrew Lo - one of the world's leading financial economists - has written an authoritative introduction, which offers a comprehensive overview of the subject and complements his selection.

? In his "Prime ricerche sulla rivoluzione dei prezzi in Firenze" (1939), Giuseppe Parenti, by Fernand Braudel regarded as an author who "se classait, d'entree de jeu et sans discussion possible, a la hauteur meme d'Earl Jefferson Hamilton. . . . " begins his opening lines with a description/de?nition of the price revolution which took place in the XVI in Europe as "that extraordinary enhancement of all things that occurred in European countries around the second half of the XVI; revolution in the true meaning of the word, as not only, like any strong price increase, it modi?ed the wealth distribution process and changed the relative position of the various social categories and of the different functions of the economic activity, but affected too, in a way that was not enough studied yet, the relative evolution of the various national economies, and ?nally, . . . . . . . . . ., certainly contributed to the birth, or at least to the dissemination, of the new naturalistic economic ideas, from which the economic science would have sprung." De?nition that can be taken as the founding metaphor of this volume."