CARR Model Research Articles

A correlated bidding model for markup size decisions

Whereas competitive bidding models have been studied for more than five decades with many factors being considered and statistical methods proposed, the correlation among bids of different companies and its effects on markup decisions have not been explored. Through a multivariate competitive bidding model, the significance of the correlation is investigated in this paper. Mechanistic arguments and probabilistic analysis based on a breakdown of cost estimates show that bid ratios are positively correlated to one another. This fact is then incorporated as a priori information into a Bayesian statistical method to estimate the correlation coefficients from historical data with missing values. The effectiveness of the proposed Bayesian method has been demonstrated through a case study. The proposed bidding model has a flexible mathematical structure, which allows one to better characterize actual varying bidding patterns. It also includes the Friedman and Carr models as its special cases. Moreover, through the use of the streamlined Bayesian method, the new model can be implemented easily in practice.

Abnormal gait, due to inflammation but not nerve injury, reflects enhanced nociception in preclinical pain models

Validation of gait analysis has the potential to bridge the gap between data from animal pain models and clinical observations. The goal of these studies was to compare alterations in gait due to inflammation or nerve injury to traditional pain measurements in animals. Pharmacological experiments determined whether gait alterations were related to enhanced nociception, edema, or motor nerve dysfunction. Gait was analyzed using an automated system (DigiGait) after injection of an inflammatory agent (carrageenan; CARR or FCA; Freund's complete adjuvant) or nerve injury (axotomy; AXO, partial sciatic nerve ligation; PSNL, spinal nerve ligation; SNL or chronic constriction injury; CCI). All models caused significant alterations in gait and thermal (inflammatory) or mechanical (nerve injury) hyperalgesia. Both indomethacin and morphine were able to block or reverse thermal hyperalgesia and normalize gait in the CARR model. Indomethacin partially blocked and did not reverse paw edema, suggesting that gait alterations must be primarily driven by enhanced nociception. In nerve injury models, AXO, PSNL, CCI, and SNL caused changes to the largest number of gait indices with the rank order being AXO > PSNL = CCI > > SNL. Gabapentin and duloxetine reversed mechanical hyperalgesia but did not normalize gait in any nerve injury model. Collectively, these data suggest that pain is the primary driver of abnormal gait in models of inflammatory but not nerve injury-related pain and suggests that, in the latter, disruption in gait is due to perturbation to the motor system. Gait may therefore constitute an alternative and potentially clinically relevant measure of pain due to inflammation.

Estimating the Early Exercise Premium of American Put Index Options

This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the S&P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan and Barone-Adesi and Whaley model, and (2) the Carr, Jarrow and Myneni model. The test results show that early exercise premium is significant regardless of moneyness. Moreover, consistent with the theory, the value of early exercise is significantly negatively related to moneyness and interest rates and significantly positively related to time to maturity and to the volatility of the underlying index. Both American put valuation models examined do not fully capture the value of early exercise embedded in American put prices.

Geometric ergodicity and β-mixing property for a multivariate CARR model

Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and β-mixing property with exponential decay are obtained.

Magnetocrystalline anisotropy of Fe3Ge single crystal: Effect of pressure and Mn substitution for Fe

The temperature dependence of the magnetocrystalline anisotropy and the effects of pressure on the intrinsic magnetic properties of the hexagonal DO19 phase of Fe3Ge single crystals have been studied. The easy-magnetization direction is in the basal plane at low temperatures and a spin reorientation transition from plane to axis occurs at 377K, with increasing temperature. The thermal dependence of the magnetic anisotropy of Fe3Ge has been determined and described in the frame of the Carr model for localized moments. The partial substitution of Fe by Mn, besides reducing both the saturation magnetization and Curie temperature, extends the axial region widely. Pressure has little influence on the magnetic moment but it markedly affects the crystalline anisotropy. The planar character of the anisotropy is indeed reduced in both pure and substituted compounds. The application of high pressure, the partial substitution of Fe by Mn and the increase of temperature have similar effects on the magnetocrystalline anisotropy of Fe3Ge—all induce a reduction of its planar character, favoring a plane to axis spin reorientation transition.

Time Series Modelling of Daily Log-price Ranges for SF/USD and USD/GBP

The aim of this paper is to model the dynamic evolution of daily log-price ranges for two foreign exchange rates, SF/USD and USD/GBP. Following Chou (2001),we adopt the CARR model, which is identical to the ACD model of Engle & Russell (1998). Log-price ranges are highly efficient measures of daily volatilities and hence our empirical results provide insights into the volatility dynamics for SF/USD and USD/GBP. We find that both series are highly persistent, and in particular, USD/GBP calls for a long memory specification in the form of a fractionally integrated CARR model. Semi-parametric and parametric models are estimated, and the parametric (fractionally integrated) CARR with a Gamma distribution is the preferred model. However, the estimation results of the simple semi-parametric procedure (QMLE) are virtually identical to the results of the preferred parametric models.

The Temporal and Social Implications of Ohio Hopewell Copper Ear Spool Design

In a recent synthesis of style theory, Carr (1995) proposed a model based on attribute hierarchies, which reveal social patterns. The present study applies Carr's model of style to a large sample of bicymbal copper ear spools, a diagnostic “Hopewell” artifact class of the Middle Woodland period (ca. 150 B.C.—A.D. 400) in eastern North America. After ear spool attributes are defined and ranked for their visibility, a seriation of the ear spools is developed and tested for time and space correlations. Results are consistent with the interpretation that the size of social groups participating in ritual events increased over time, while the technical requirements for ear spool durability decreased. The “visibility” of ear spool attributes relates to patterns of group interaction at the level of the site, sub-region and region, thus supporting Carr's model. The model has limitations when bridging from archaeological data to ethnographic interpretations, although our results indicate that exchange of finished goods and technology was less important within the context of the Hopewell Interaction Sphere than the construction of Hopewell ideologies.