Statistics — Page 3
Explore statistical methods, their assumptions, interpretation and limitations.
Research field
Method family
Hedonic Pricing
The hedonic pricing model, developed by Sherwin Rosen in 1974 and building on Kevin Lancaster's characteristics theory (1966), is an econometric method for valuing the implicit prices of product attributes by regressing market prices on obs...
Heritage Contingent Valuation
Heritage contingent valuation applies the contingent valuation method (CVM) to cultural and heritage tourism, estimating the monetary value people place on conserving, restoring or accessing historic buildings, monuments, sites and artifact...
Hierarchical Bayes Choice Model
Hierarchical Bayes (HB) choice models estimate a separate set of preference weights — partworths — for every individual respondent, while borrowing strength across respondents through a shared population distribution. The model has two leve...
Hull-White Model
The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond a...
Interest Rate Models
Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the...
Job Characteristics Model
The Job Characteristics Model (JCM) is the foundational theory of work design in organizational behavior, developed by J. Richard Hackman and Greg Oldham in the mid-1970s. It proposes that five core job dimensions — skill variety, task iden...
Job Crafting Scale
The Job Crafting Scale measures the proactive, self-initiated changes employees make to their own jobs, a construct introduced by Amy Wrzesniewski and Jane Dutton in 2001. Where classic work-design theory treated jobs as fixed structures ha...
Job Demands-Resources Model
The Job Demands-Resources (JD-R) model is a flexible framework in organizational behavior and occupational health psychology that explains employee well-being and performance through two parallel processes. Introduced by Demerouti, Bakker,...
Johansen Cointegration Test
The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the...
Jump-Diffusion Model
The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour tha...
Kalman Filter (Finance)
The Kalman filter is a recursive algorithm that estimates financial models with time-varying parameters, hidden factors, and noisy observations inside a dynamic state-space framework. The structural time series treatment was set out by Harv...
Kelly Criterion
The Kelly Criterion (1956) is a formula for optimal bet sizing that maximizes the long-run logarithmic growth of wealth. It specifies the optimal fraction of capital to risk on each trade based on win probability and payoff ratio. The crite...
LODGSERV Lodging Service Quality Index
LODGSERV is a 26-item index developed by Knutson, Stevens, Wullaert, Patton, and Yokoyama in 1990 to measure consumers' expectations of service quality in the hotel experience. Building directly on the SERVQUAL framework, it organizes lodgi...
Latent-Class Choice Segmentation
Latent-class choice segmentation estimates consumer market segments and their preferences at the same time, by fitting a finite mixture of discrete-choice models to individual purchase or choice data. Wagner Kamakura and Gary Russell introd...
Libor Market Model
The LIBOR Market Model (BGM), developed by Brace, Gatarek, and Musiela (1997), is a multi-factor interest rate model that directly models forward LIBOR rates as lognormal processes. Unlike short-rate models, LMM naturally prices caplets at...
Liquidity Risk Models
Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (A...
Local Volatility (Dupire)
Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied vo...
Long-Memory Models
Long-memory models are fractional-integration methods that capture genuine long memory through a hyperbolically decaying autocorrelation structure. ARFIMA, introduced by Granger and Joyeux (1980), models long memory in return series, while...
Market Entry Timing Hazard Analysis
Market entry timing hazard analysis models both whether and when a firm enters a new market or emerging industrial subfield, treating time-to-entry as a survival outcome. Will Mitchell's 1989 study of incumbents facing emerging subfields fr...
Market Microstructure Analysis
Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extend...
MaxDiff / Best-Worst Scaling
MaxDiff, also known as best-worst scaling (BWS), measures the relative importance or preference of a set of items by repeatedly asking respondents to identify the best (most important or most preferred) and worst (least) item within small s...
Mean-Variance Portfolio Optimization
Mean-variance portfolio optimization is the foundational model of modern portfolio theory, introduced by Harry Markowitz in 1952. It describes portfolios in an expected-return versus risk (variance) plane and traces the efficient frontier o...
Merton Default Model
The Merton model (1974) is a structural approach to credit risk in which a firm defaults when its asset value falls below liabilities at maturity. Equity is viewed as a call option on firm value, and debt is an implicit short put position....
Multifactor Leadership Questionnaire
The Multifactor Leadership Questionnaire (MLQ) is the standard instrument for measuring the full-range leadership model, which spans laissez-faire (non-) leadership, transactional leadership, and transformational leadership. Building on Jam...