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Melnik, K. N.; Melnik, Roderick V. N.

doi:10.1023/a:1021904320681

Cited by 7 publications

(2 citation statements)

References 15 publications

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“…This is the method employed in most of the existing literature that investigates the rating effects on the price and probability of sale. For examples, see Resnick et al (2006), Melnik andAlm (2002, 2005) and Lucking-Reiley et al (1999).…”

Section: Discussionmentioning

confidence: 99%

“…This formulation enables us to include all observations (including sold = 0) into a single-estimation model thereby allowing us to analyze the impact of the independent variables on the willingness to pay. This variation of the Tobit model is commonly used in empirical studies performed on eBay data due to the nature of auctions and their set-up on eBay (see Lucking-Reiley et al, 2007;andMelnik &Alm, 2002, 2005; for examples of the application of this model to eBay datasets.) For this specification, we continued to use the Huber-White robust standard error estimation technique.…”

Section: Promotion and Realized Auction Pricementioning

confidence: 99%

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Does It Pay to Promote on eBay?

Melnik

Richardson

Tompkins

2011

Journal of Promotion Management

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Promotional upgrades to auction listings are now a ubiquitous feature of auction Web sites. We examine 705 auctions of a single consumer-electronic product on eBay and test whether use of various promotions results in a greater probability of sale or a higher realized price. We find that promotions that focus on display enhancements, such as border, bold, or highlight, are not worth the cost. However, the subtitle promotional tool is effective and worth the cost. We also find interesting results regarding seller reputation: although seller reputation does not increase the probability of a sale overall, it can result in higher realized price if a reputable seller is selected. Implications for promoting on eBay are discussed.

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Section: Discussionmentioning

confidence: 99%

Section: Promotion and Realized Auction Pricementioning

confidence: 99%

Does It Pay to Promote on eBay?

Melnik

Richardson

Tompkins

2011

Journal of Promotion Management

View full text Add to dashboard Cite

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First passage time for multivariate jump‐diffusion processes in finance and other areas of applications

Zhang

Melnik

2008

Appl Stoch Models Bus & Ind

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The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most important applications in the financial industry, the FPT problem does not have an analytical solution and the development of efficient numerical methods becomes the only practical avenue for its solution. Most of our examples in this contribution are centered around the evaluation of default correlations in credit risk analysis, where we are concerned with the joint defaults of several correlated firms, the task that is reducible to a FPT problem. This task represents a great challenge for jump-diffusion processes (JDP). In this contribution, we develop further our previous fast Monte Carlo method in the case of multivariate (and correlated) JDP. This generalization allows us, among other things, to evaluate the default events of several correlated assets based on a set of empirical data. The developed technique is an efficient tool for a number of financial, economic, and business applications, such as credit analysis, barrier option pricing, macroeconomic dynamics, and the evaluation of risk, as well as for a number of other areas of applications in science and engineering, where the FPT problem arises.Many applications in science, engineering, finance, economics, and industry require the solution of the first passage problem. Examples range from population genetics and other applications in biology, to neurobiology and neurophysiology, to molecule kinetics and problems in chemistry and physics, to rare events modelling and quantum information, and to aerospace engineering applications (e.g. [1][2][3][4]). This problem also arises in financial applications. Although methodologies developed in this paper are applicable to a number of other areas, we exemplify our discussion here with problems from finance.In the financial world, individual companies are usually linked together via economic conditions, so default correlation, defined as the risk of multiple companies' default together, has been an important area of research in credit analysis with applications to joint defaults, credit derivatives, asset pricing, and risk management.Currently, there are two dominant groups of theoretical models used in default correlation. One is a reduced form model, such as in [5] that uses a Copula function to parameterize the default correlation. In this context, it is worthwhile noting that Chen and Sopranzetti [6] have translated the joint default probability into a bivariate normal probability function, making the analysis and applications of such models potentially more convenient.The second group of models for default correlation is a structural form model. Zhou [7] and Hull and White [8] were the first to incorporate default correlation into the Black-Cox first passage structural model. They obtained similar closed-form solutions for two ...

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