2 resultados para brand crisis response strategies

em Universidade Complutense de Madrid


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Morgan, Dillenburger, Raphael, and Solomon have shown that observers can use different response strategies when unsure of their answer, and, thus, they can voluntarily shift the location of the psychometric function estimated with the method of single stimuli (MSS; sometimes also referred to as the single-interval, two-alternative method). They wondered whether MSS could distinguish response bias from a true perceptual effect that would also shift the location of the psychometric function. We demonstrate theoretically that the inability to distinguish response bias from perceptual effects is an inherent shortcoming of MSS, although a three-response format including also an "undecided" response option may solve the problem under restrictive assumptions whose validity cannot be tested with MSS data. We also show that a proper two-alternative forced-choice (2AFC) task with the three-response format is free of all these problems so that bias and perceptual effects can easily be separated out. The use of a three-response 2AFC format is essential to eliminate a confound (response bias) in studies of perceptual effects and, hence, to eliminate a threat to the internal validity of research in this area.

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This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.