Template-Type: ReDIF-Article 1.0
Author-Name: Milan Bašta
Title: Time Series Forecasting With a Prior Wavelet-based Denoising Step
Abstract: We provide an extensive study assessing whether a prior wavelet-based denoising step enhances the forecast accuracy of standard forecasting models. Many combinations of attribute values of the thresholding (denoising) algorithm are explored together with several traditional forecasting models used in economic time series forecasting. The results are evaluated using M3 competition yearly time series. We conclude that the performance of a forecasting model combined with the prior denoising step is generally not recommended, which implies that a straightforward generalisation of some of the results available in the literature (which found the denoising step to be beneficial) is not possible. Even if cross-validation is used to select the value of the threshold, a superior performance of the forecasting model with the prior denoising step does not generally follow.
Keywords: wavelets, noise, evaluating forecasts, automatic forecasting
Classification-JEL: C15, C22, C49, C53
Pages: 5-24
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=592.pdf
File-URL: http://www.vse.cz/aop/592
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:592:p:5-24
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Template-Type: ReDIF-Article 1.0
Author-Name: Renata Walczak
Author-Name: Tomasz Majchrzak
Title: Implementation of the Reference Class Forecasting Method for Projects Implemented in a Chemical Industry Company
Abstract: Forecasting Method (RCFM) developed by Kahneman and Tversky for planning and decisionmaking under uncertainty. Project plans are usually prepared on the basis of detailed calculations and arrangements according to selected project management methodology. Undertakings that are planned in this manner often fail and do not achieve their goals. However, the American Planning Association recommends using the RCFM as an additional method. The article presents four groups of projects implemented by a chemical industry company over four years. A few of the projects were accomplished according to the plan in terms of triple constraint i.e. time, cost, and scope. The cost aspect was taken into account in the paper. During the study, the planned and implemented costs of 222 projects were analysed. On the basis of the distribution of cost overruns, according to RCFM, new patterns of planned costs were prepared. The Reference Class Forecasting Method, which was effective for large homogeneous projects turned out to be completely useless for various projects implemented by the chemical company.
Keywords: risk management, quantitative methods & models, technology management, Reference Class Forecasting
Classification-JEL: D81, G32
Pages: 25-33
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=593.pdf
File-URL: http://www.vse.cz/aop/593
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:593:p:25-33
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Template-Type: ReDIF-Article 1.0
Author-Name: Michal Rychnovský
Title: Survival Analysis as a Tool for Better Probability of Default Prediction
Abstract: This paper focuses on using survival analysis models in the area of credit risk and on the modelling of the probability of default (i.e. a situation where the debtor is unwilling or unable to repay the loan in time) in particular. Most of the relevant scholarly literature argues that the survival models produce similar results to the commonly used logistic regression models for the development or testing of samples. However, this paper challenges the standard performance criteria measuring precision and performs a comparison using a new prediction-based method. This method gives more weight to the predictive power of the models measured on an ex-ante validation sample rather than the standard precision of the random testing sample. This new scheme shows that the predictive power of the survival model outperforms the logistic regression model in terms of Gini and lift coefficients. This finding opens up the prospect for the survival models to be further studied and considered as relevant alternatives in financial modelling.
Keywords: survival analysis, logistic regression, probability of default, predictive power
Classification-JEL: C58, G21, G32
Pages: 34-46
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=594.pdf
File-URL: http://www.vse.cz/aop/594
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:594:p:34-46
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlaop/references/594

Template-Type: ReDIF-Article 1.0
Author-Name: Elena Deskoska
Author-Name: Jana Vlčková
Title: The Role of Technological Change in Income Inequality in the United States
Abstract: This paper examines the impact of the technological change on income inequality in the United States of America. This is done by integrating theoretical and analytical findings of the channels through which technological change affects income inequality. The research is based on centurylong income inequality data sets, although it prioritises the study of income inequality between the 1970s and the 2010s. The two major causes of rising income inequality have been technological change and globalisation. The paper also accounts for the other inequality triggers that have resulted from the political and economic structure of the country. The spread of automatisation and computerisation and of other changes associated with The Fourth Industrial Revolution are likely to reinforce skill-biased technological change. Therefore, new measures addressing income inequality, such as Universal Basic Income, are discussed.
Keywords: globalisation, USA, income inequality, technological change, fourth industrial revolution
Classification-JEL: F6, J40, O3, O40, O51
Pages: 47-66
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=596.pdf
File-URL: http://www.vse.cz/aop/596
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:596:p:47-66
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Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Sirůček
Author-Name: Zuzana Džbánková
Title: Nobel Prize Laureate in Economics 2017
Abstract: Richard H. Thaler was awarded the 2017 Nobel Prize for Economics for the Development of Behavioural Economics. His studies of psychological assumptions of economic decision-making processes and his contribution to the interconnection of economics and psychology were identified as pioneering.
Keywords: behavioural economics, R. H. Thaler, Nobel Memorial Prize in Economic Sciences, rationality
Classification-JEL: D90, D91
Pages: 67-72
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=597.pdf
File-URL: http://www.vse.cz/aop/597
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:597:p:67-72
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Template-Type: ReDIF-Article 1.0
Author-Name: Jindřich Špička
Title: Editorial
Pages: 3-4
Volume: 2018
Issue: 1
Year: 2018
File-URL: http://www.vse.cz/aop/download.php?jnl=aop&pdf=598.pdf
File-URL: http://www.vse.cz/aop/598
File-Format: text/html
Handle: RePEc:prg:jnlaop:v:2018:y:2018:i:1:id:598:p:3-4
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