58 documents found, page 1 of 6
Survival of the fittest: tourism exposure and firm survival
Caires, Filipe B.; Reis, Hugo; Rodrigues, Paulo M. M.In this article, a discrete-time hazard model to study firm survival in the Portuguese Tourism sector is estimated. This sector has experienced a remarkable performance over the last decades. Results show that when compared to other sectors, tourism firms are more likely to exit: (i) if they are young (less than 10 years of existence); and (ii) if they belong to the group of worse performers (i.e. belong to the...
Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.A conditional tail index estimator is introduced which explicitly allows for right-tail censoring (top-coding). We show that the factor values used to adjust top-coded wages have changed over time and depend on individuals' characteristics, occupations and industries, and propose suitable values. Specifically, contrasting the results of our approach with those of a conservative fixed adjustment factor of 1.5 (u...
Tail index estimation in the presence of covariates : Stock returns’ tail risk ...
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z.This paper provides novel theoretical results for the estimation of the conditional tail index of Pareto and Pareto-type distributions in a time series context. We show that both the estimators and relevant test statistics are normally distributed in the limit, when independent and identically distributed or dependent data are considered. Simulation results provide support for the theoretical findings and highl...
Inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.In this paper we investigate potential changes which may have occurred over the last two decades in the probability mass of the right tail of the wage distribution, through the analysis of the corresponding tail index. In specific, a conditional tail index estimator is introduced which explicitly allows for right tail censoring (top-coding), which is a feature of the widely used current population survey (CPS),...
Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.In this paper we investigate potential changes which may have occurred over the last two decades in the probability mass of the right tail of the wage distribution, through the analysis of the corresponding tail index. In specific, a conditional tail index estimator is introduced which explicitly allows for right tail censoring (top-coding), which is a feature of the widely used current population survey (CPS),...
A new regression-based tail index estimator
Nicolau, João; Rodrigues, Paulo M. M.A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pare...
Structural changes in the duration of bull markets and business cycle dynamics
Nicolau, João; Rodrigues, Paulo M. M.; Cruz, JoãoThis paper tests for structural changes in the duration of bull regimes of adjusted market capitalization stock indexes comprehending 18 developed and emerging economies, using a novel approach introduced by Nicolau (2016); and investigates whether the structural changes detected in the bull markets' duration are connected to the business cycle. Interestingly, the results show that structural changes in the dur...
Persistence of travel and leisure sector equity indices
Andraz, Jorge; Guerreiro, Raúl Filipe C.; Rodrigues, Paulo M. M.Volatility persistence of travel and leisure sector equity indices and of some of its components is analyzed, and tests of whether persistence has changed over time are performed. Given the typical leading indicator behavior of financial variables, understanding and characterizing the properties of these indices may help shed light on the behavior of the tourism sector and of its resilience to crises. For the p...
Yielding Tourists’ Preferences
Serra, Jaime; Correia, Antónia; Rodrigues, Paulo M. M.This chapter uses stated tourist preferences as a proxy of visitor yield measures, in order to analyse and understand the yield potential of different markets’ preferences. A literature review revealed that there is much progress to be made in terms of discussion, consensus and stability of methodology for the measurement of visitor yield. The aim of the visitor yield analysis, in the current chapter, is also t...
Modelação da procura turística em Portugal: A metodologia Box-Jenkins, os model...
Daniel, Ana Cristina; Rodrigues, Paulo M. M.Este artigo modela a procura turística em Portugal e analisa a precisão das previsões de vários modelos univariados – a metodologia de Box-Jenkins (1976), os modelos Naïf, e o modelo de alisamento exponencial. Como medida de procura turística optou-se pelo número de dormidas mensais nos estabelecimentos hoteleiros, tendo-se considerado as primeiras observações (de Janeiro de 1979 a Dezembro de 2005) para estima...