http://repub.eur.nl/res/concept/jel-C49/ Recent publications classified by JEL Code C49 en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/14528/ 2009-01-07T00:00:00Z In scientometric research, the use of co-occurrence data is very common. In many cases, a similarity measure is employed to normalize the data. However, there is no consensus among researchers on which similarity measure is most appropriate for normalization purposes. In this paper, we theoretically analyze the properties of similarity measures for co-occurrence data, focusing in particular on four well-known measures: the association strength, the cosine, the inclusion index, and the Jaccard index. We also study the behavior of these measures empirically. Our analysis reveals that there exist two fundamentally different types of similarity measures, namely set-theoretic measures and probabilistic measures. The association strength is a probabilistic measure, while the cosine, the inclusion index, and the Jaccard index are set-theoretic measures. Both our theoretical and our empirical results indicate that co-occurrence data can best be normalized using a probabilistic measure. This provides strong support for the use of the association strength in scientometric research. Eck, N.J.P. van Waltman, L.R. http://repub.eur.nl/res/pub/8045/ 2006-10-30T00:00:00Z Multidimensional scaling (MDS) is often used for the analysis of correlation matrices of items generated by a facet theory design. The emphasis of the analysis is on regional hypotheses on the location of the items in the MDS solution. An important regional hypothesis is the axial constraint where the items from different levels of a facet are assumed to be located in different parallel slices. The simplest approach is to do an MDS and draw the parallel lines separating the slices as good as possible by hand. Alternatively, Borg and Shye (1995) propose to automate the second step. Borg and Groenen (1997, 2005) proposed a simultaneous approach for ordered facets when the number of MDS dimensions equals the number of facets. In this paper, we propose a new algorithm that estimates an MDS solution subject to axial constraints without the restriction that the number of facets equals the number of dimensions. The algorithm is based on constrained iterative majorization of De Leeuw and Heiser (1980) with special constraints. This algorithm is applied to Levi’s (1983) data on political protests. Groenen, P.J.F. Lans, A. van der http://repub.eur.nl/res/pub/12372/ 2006-01-01T00:00:00Z Paper prepared for the NBER project on “Risks of Financial Institutions”. We benefited from suggestions and criticism by many participants in the NBER project on “Risks of financial institutions”, in particular by the organizers Mark Carey (also involving Dean Amel and Allen Berger) and Rene Stulz, by our discussant Tony Saunders and by Patrick de Fontnouvelle, Gary Gorton, Andy Lo, Jim O’Brien and Eric Rosengren. Furthermore, we are grateful for comments we received at the 2004 European Finance Association Meetings in Maastricht, in particular by our discussant Marco da Rin and by Christian Upper, at the 2004 Ottobeuren seminar in economics, notably the thoughts of our discussant Ernst Baltensberger, of Friedrich Heinemann and of Gerhard Illing, as well as at seminars of the Max Planck Institute for Research on Collective Goods, the Federal Reserve Bank of St. Louis, the ECB and the University of Frankfurt. Gabe de Bondt and David Marques Ibanez supported us enormously in finding yield spread data, Lieven Baele and Richard Stehle kindly made us aware of pitfalls in Datastream equity data. Very helpful research assistance by Sandrine Corvoisier, Peter Galos and Marco Lo Duca as well as editorial support by Sabine Wiedemann are gratefully acknowledged. Any views expressed only reflect those of the authors and should not be interpreted as the ones of the ECB or the Eurosystem. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks’ equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks’ exposure to each other (“contagion risk”) and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s. Hartmann, P. Straetmans, S. Vries, C.G. de http://repub.eur.nl/res/pub/7426/ 2005-12-07T00:00:00Z We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based correlation concept, and propose an alternative measure which better captures the downside dependence given the fat tail property of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates versus large banks. Slijkerman, J.F. Schoenmaker, D. Vries, C.G. de http://repub.eur.nl/res/pub/12459/ 2004-03-30T00:00:00Z It is by now well known that Þnancial returns exhibit heavy tails and are thus nonnormally distributed. This implies that extreme market conditions tend to happen more frequently than expected on the basis of the normal distribution, which is used so often in standard asset pricing approaches. From the point of view of international Þnan- cial stability and portfolio diversiÞcation, the strength of asset linkages during crisis periods matters even more, as the linkages determine the stability of the system as a whole. Several papers talk about increased correlation between Þnancial assets or markets during crisis periods. As has been argued before, the use of correlation analysis is not without problems though. Since the correlation concept is just an intermediary step in calculating probabilities, we prefer to deÞne market linkages in terms of conditional probabilities and the expected number of market crashes. Hartmann, P. Straetmans, S. Vries, C.G. de http://repub.eur.nl/res/pub/271/ 2003-02-10T00:00:00Z This paper focuses on the problem of monotone decision trees from the point of view of the multicriteria decision aid methodology (MCDA). By taking into account the preferences of the decision maker, an attempt is made to bring closer similar research within machine learning and MCDA. The paper addresses the question how to label the leaves of a tree in a way that guarantees the monotonicity of the resulting tree. Two approaches are proposed for that purpose - dynamic and static labeling which are also compared experimentally. The paper further considers the problem of splitting criteria in the con- text of monotone decision trees. Two criteria from the literature are com- pared experimentally - the entropy criterion and the number of con criterion - in an attempt to find out which one fits better the specifics of the monotone problems and which one better handles monotonicity noise. Bioch, J.C. Popova, V. http://repub.eur.nl/res/pub/6858/ 2001-07-19T00:00:00Z We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration. Hartmann, P. Straetmans, S. Vries, C.G. de