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Number of found documents:
1598
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Scalar-Valued Score Functions and their use in Parametric Estimation
Fabián, Zdeněk
2022 - English
In the paper we describe and explain a new direction in probabilistic and statistical reasoning, the approach based on scalar-valued score functions of continuous random variables. We show basic properties of score functions of standard distributions, generalize the approach for parametric families and show how to use them for solutions of problems of parametric statistics.
Keywords:
core random variable; score mean; score variance; score distance; score correlation
Available in a digital repository NRGL
Scalar-Valued Score Functions and their use in Parametric Estimation
In the paper we describe and explain a new direction in probabilistic and statistical reasoning, the approach based on scalar-valued score functions of continuous random variables. We show basic ...
Measurement on Compressor Cascade KOBRA
Luxa, Martin; Šimurda, David
2022 - English
The report contains results and evaluation of conducted optical (shadowgraph and schlieren technique) and pneumatic measurements on the profile cascade intended for the tip section of the first rotor row compressor blade.
Keywords:
compressor cascade; transonic flow; optical measurement; pneumatic measurement
Available at various institutes of the ASCR
Measurement on Compressor Cascade KOBRA
The report contains results and evaluation of conducted optical (shadowgraph and schlieren technique) and pneumatic measurements on the profile cascade intended for the tip section of the first rotor ...
Yield Curve Dynamics and Fiscal Policy Shocks
Kučera, A.; Kočenda, Evžen; Maršál, Aleš
2022 - English
We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage affine term structure modeling, where we account for time-varying macroeconomic trends in inflation and the equilibrium real interest rate. We stress in our empirical macro-finance framework the importance of timing in the response of yields to government spending. We find that the yield curve responds positively but mildly to a surprise in government spending shocks where the rise in risk-neutral yields is compensated by a drop in nominal term premia. The news shock in expectations about future expenditures decreases yields across all maturities. Complementarily, we also analyze the effect of fiscal policy uncertainty where higher fiscal uncertainty lowers yields.
Keywords:
Government Expenditures; Fiscal policy; U.S. Treasury Yield Curve; Affine Term Structure Model
Fulltext is available at external website.
Yield Curve Dynamics and Fiscal Policy Shocks
We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock ...
ECB monetary policy and commodity prices
Aliyev, S.; Kočenda, Evžen
2022 - English
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
Keywords:
European Central Bank; commodity prices; short-term interest rates; M2 stock; monetary aggregate; unconventional monetary policy; Structural Vector Autoregressive model; exchange rates
Fulltext is available at external website.
ECB monetary policy and commodity prices
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial ...
A New Look to Information and Uncertainty of Continuous Distributions
Fabián, Zdeněk
2022 - English
We define information and uncertainty function of a family of continuous distributions. Their values are relative information and uncertainty of an observation from the given parametric family, their mean values are the generalized Fisher information and a new measure of variability, the score variance. In a series of examples we show why to use new concepts instead of the differential entropy.
Keywords:
Differential entropy; information function; uncertainty function; mean information of distribution
Available at various institutes of the ASCR
A New Look to Information and Uncertainty of Continuous Distributions
We define information and uncertainty function of a family of continuous distributions. Their values are relative information and uncertainty of an observation from the given parametric family, their ...
Financial Impact of Trust and Institutional Quality around the World
Kapounek, S.; Kočenda, Evžen; Kouba, L.
2022 - English
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based crowdfunding projects from 155 platforms across 55 countries during 2005–2018. We show that the impact of social trust is positive but economically less pronounced than that of institutional trust proxied by legal and property rights protection and regulation. Moreover, the financial impact of social trust is greater at the national level, while impact of institutional quality dominates at the international level. Nevertheless, the financial impact of trust and institutional quality around the world is positive, which is an encouraging implication under increasing anonymity and internationalization of financial environment.
Keywords:
social capital; social trust; institutional trust; uncertainty; crowdfunding; financial markets
Fulltext is available at external website.
Financial Impact of Trust and Institutional Quality around the World
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based ...
Large Perimeter Objects Surrounded by a 1.5D Terrain
Keikha, Vahideh
2022 - English
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k > 0, we design an FPTAS that efficiently approximates such polygons within a factor (1 − ǫ). For the special case of the´largest-perimeter contained triangle in T , we design an O(n log n) time exact algorithm that matches the same result for the area measure.
Available in digital repository of the ASCR
Large Perimeter Objects Surrounded by a 1.5D Terrain
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k ...
Current status of natural refrigerants for heat pumps in an electric bus
Aminian, Ali; Vinš, Václav
2022 - English
The technical report provides a survey on the current status of hydrocarbons, with special focus on propane (R290), used as natural refrigerants in air‐conditioning units and heat pumps. Due to the\nexpected phase‐down of halogenated refrigerants planned in the regulation of the European Parliament no. 2022/0099/COD, alternatives such as hydrocarbons, carbon dioxide or ammonia are\nmost probably to be used in EU in the near future. A review of recent developments of HVAC units for residential use and for electric vehicles operated with natural refrigerants is presented.
Keywords:
heat pump; electric bus; refrigeration
Available at various institutes of the ASCR
Current status of natural refrigerants for heat pumps in an electric bus
The technical report provides a survey on the current status of hydrocarbons, with special focus on propane (R290), used as natural refrigerants in air‐conditioning units and heat pumps. Due to ...
Structural mapping of exploration geotechnical boreholes walls within 1st phase – Ore Zone
Waclawik, Petr; Vavro, Martin; Schuchová, Kristýna; Kukutsch, Radovan; Staš, Lubomír; Souček, Kamil; Georgiou, Lucie
2021 - English
Structural-geological analysis, i.e. fracturing assessment of the walls of geotechnical boreholes (CIS12, CIS14, CIS31 and CIS37) within the Ore Zone lithium exploratory area was carried out on the basis of optical (OPTV) and acoustic televiewer (HiRAT) records evaluation. HiRAT and OPTV probes are part of the Robertson Geologging logging equipment. The apparatus has an electric winch with a four-core logging cable, which transmits the data recorded by the probes via a data logger to a computer. The spatial data obtained from interpretation of the geotechnical boreholes records were structurally analysed. The submitted research report comprehensively summarises the findings obtained from the structural mapping of geotechnical boreholes. On the basis measured data the rock mass quality evaluation of boreholes walls were additionally done. The complex data have been allowed very precise analysis of rock mass structural conditions, which are necessary for construction geomechanical model.
Keywords:
geotechnical boreholes; structural mapping; rock mass quality
Available at various institutes of the ASCR
Structural mapping of exploration geotechnical boreholes walls within 1st phase – Ore Zone
Structural-geological analysis, i.e. fracturing assessment of the walls of geotechnical boreholes (CIS12, CIS14, CIS31 and CIS37) within the Ore Zone lithium exploratory area was carried out on the ...
Bank Survival Around the World: A Meta-Analytic Review
Kočenda, Evžen; Iwasaki, I.
2021 - English
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called CAMELS, an acronym for the components Capital adequacy, Asset quality, Management quality, Earnings, Liquidity, and Sensitivity to market risk. Estimates of the impact of CAMELS components on bank survival vary widely. We perform a meta-synthesis and meta-regression analysis (MRA) using 2120 estimates collected from 50 studies. In the MRA, we account for uncertainty in moderator selection by employing Bayesian model averaging. The results of the synthesis indicate an economically negligible impact of CAMELS variables on bank survival; in addition, the effect of bank-specific, (macro)economic, and market factors is virtually absent. The results of the heterogeneity analysis and publication bias analysis are consistent in terms that they do not find an economically significant impact of the CAMELS variables. Moreover, best practice estimates show a small economic impact of CAMELS components and no impact of other factors. The study concludes that caution should be exercised when using CAMELS rating to predict bank survival or failure.
Keywords:
bank survival; bank failure; CAMELS; meta-analysis; publication selection bias
Fulltext is available at external website.
Bank Survival Around the World: A Meta-Analytic Review
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called ...
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