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Year of publication
Subject
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Analysis of variance 1,804 Varianzanalyse 1,796 Theorie 688 Theory 687 Schätztheorie 460 Estimation theory 459 Volatility 421 Volatilität 420 Portfolio selection 327 Portfolio-Management 327 Estimation 273 Schätzung 272 Correlation 262 Korrelation 262 Forecasting model 210 Prognoseverfahren 210 Zeitreihenanalyse 201 Time series analysis 200 Capital income 199 Kapitaleinkommen 199 ARCH model 151 ARCH-Modell 151 Börsenkurs 151 Share price 150 USA 120 United States 120 Regressionsanalyse 112 Monte Carlo simulation 110 Monte-Carlo-Simulation 110 analysis of variance 110 Stochastic process 105 Stochastischer Prozess 105 Regression analysis 103 Option pricing theory 98 Optionspreistheorie 98 Statistical test 94 Statistischer Test 94 CAPM 86 Risk 83 Risiko 80
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Online availability
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Free 674 Undetermined 467 CC license 28
Type of publication
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Article 1,136 Book / Working Paper 826
Type of publication (narrower categories)
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Article in journal 962 Aufsatz in Zeitschrift 962 Graue Literatur 398 Non-commercial literature 398 Working Paper 373 Arbeitspapier 370 Aufsatz im Buch 72 Book section 72 Hochschulschrift 61 Thesis 50 research-article 17 Lehrbuch 11 Collection of articles written by one author 9 Sammlung 9 Article 8 Textbook 8 Aufsatzsammlung 4 Collection of articles of several authors 4 Forschungsbericht 4 Sammelwerk 4 Bibliografie enthalten 3 Bibliography included 3 Case study 3 Einführung 3 Fallstudie 3 Reprint 3 case-report 2 Conference paper 1 Dissertation u.a. Prüfungsschriften 1 Konferenzbeitrag 1 Konferenzschrift 1 Market information 1 Marktinformation 1 Mehrbändiges Werk 1 Multi-volume publication 1 Report 1 Systematic review 1 Tabelle 1 conceptual-paper 1 viewpoint 1
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Language
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English 1,771 German 102 Undetermined 77 French 6 Spanish 4 Czech 1 Polish 1 Slovenian 1
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Author
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Schmid, Wolfgang 15 Caporin, Massimiliano 12 Hafner, Christian M. 12 Bauwens, Luc 11 Bodnar, Taras 11 Hartung, Joachim 11 Christensen, Kim 10 Croux, Christophe 10 Golosnoy, Vasyl 10 Gribisch, Bastian 10 Herwartz, Helmut 10 Hodrick, Robert J. 10 Kapetanios, George 10 Liesenfeld, Roman 10 Linton, Oliver 10 Fengler, Matthias 9 Gao, Jiti 9 Opschoor, Anne 9 Podolskij, Mark 9 Bonato, Matteo 8 Ferrer-i-Carbonell, Ada 8 Hansen, Peter Reinhard 8 Inoue, Atsushi 8 Oomen, Roel C. A. 8 Voev, Valeri 8 Watanabe, Toshiaki 8 Amisano, Gianni 7 Barndorff-Nielsen, Ole E. 7 Boudt, Kris 7 Dijk, Dick van 7 Geweke, John 7 Gupta, Rangan 7 Lucas, André 7 McAleer, Michael 7 Okhrin, Yarema 7 Paterlini, Sandra 7 Patton, Andrew J. 7 Potter, Simon M. 7 Zhang, Xiaoyan 7 Andersen, Torben 6
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Institution
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National Bureau of Economic Research 14 European Central Bank 3 Queen Mary College / Department of Economics 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Centre for Analytical Finance <Århus> 2 Forschungsinstitut zur Zukunft der Arbeit 2 International Food Policy Research Institute (IFPRI) 2 International Monetary Fund (IMF) 2 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 2 University of Canterbury / Dept. of Economics and Finance 2 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Dalhousie University / Research Seminar 1 Departamento de Economia, Universidade de Évora 1 Department of Agricultural Economics, University of Khartoum 1 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 1 Dipartimento di Studi Sullo Sviluppo Economico (DISSE), Università degli Studi di Macerata 1 Econometrisch Instituut <Rotterdam> 1 Economic Research Service, Department of Agriculture 1 Economics Research, World Bank Group 1 European University Institute / Department of Economics 1 Fachbuchverlag Leipzig in Carl Hanser GmbH & Co. KG 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute of Cost and Management Accountants 1 Internationaler Währungsfonds 1 Judge Institute of Management Studies 1 London School of Economics (LSE) 1 London School of Economics and Political Science 1 Mathematica Policy Research 1 Research Seminar on Multivariate Statistical Analysis <1, 1972, Halifax, Nova Scotia> 1 Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund> 1 Springer-Verlag GmbH 1 USDA, ARS 1 Université Paris-Dauphine (Paris IX) 1 Université de Montréal / Département de sciences économiques 1 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 1 Vereinte Nationen / Economic and Social Commission for Western Asia 1 Victoria University of Wellington / School of Economics and Finance 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
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Published in...
All
Journal of econometrics 48 Finance research letters 19 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 19 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 18 International journal of theoretical and applied finance 16 Discussion paper / Tinbergen Institute 15 Journal of empirical finance 15 Economics letters 14 Journal of banking & finance 14 Journal of financial econometrics 14 Journal of financial econometrics : official journal of the Society for Financial Econometrics 14 NBER working paper series 14 Working paper 14 Econometric reviews 13 NBER Working Paper 13 Working paper / National Bureau of Economic Research, Inc. 13 Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series 12 Organizational research methods : ORM 12 Applied economics 11 Econometric theory 11 International journal of hospitality management 11 International journal of productivity and quality management : IJPQM 11 Quantitative finance 11 SFB 649 discussion paper 11 Applied mathematical finance 10 European journal of operational research : EJOR 10 International journal of forecasting 10 CEMMAP working papers / Centre for Microdata Methods and Practice 9 CREATES research paper 9 Economic modelling 9 Journal of the American Statistical Association : JASA 9 Mathematical finance : an international journal of mathematics, statistics and financial theory 9 The European journal of finance 9 Applied economics letters 8 Computational economics 8 Operations research letters 8 The review of economics and statistics 8 The review of financial studies 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 Psychometrika 7
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Source
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ECONIS (ZBW) 1,811 RePEc 74 USB Cologne (EcoSocSci) 37 Other ZBW resources 21 EconStor 11 BASE 8
Showing 1 - 50 of 1,962
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Functional repeated measures analysis of variance and its application
Kuryło, Katarzyna; Smaga, Łukasz - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 185-204
This paper is inspired by medical studies in which the same patients with multiple sclerosis are examined at several successive visits (doctor's appointments) and described by fractional anisotropy tract profiles, which can be represented as f unctions. Since the observations for each patient...
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Are accelerators akin to breweries or wineries? : a Bayesian variance decomposition of accelerator and cohort effects
Avnimelech, Gil; Dushnitsky, Gary; Ellsaesser, Florian; … - In: Strategic management journal 46 (2025) 2, pp. 534-579
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A common component of Fama and French factor variances
Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025
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Graph-based methods for forecasting realized covariances
Zhang, Chao; Pu, Xingyue; Cucuringu, Mihai; Dong, Xiaowen - 2025
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The conditional autoregressive F-riesz model for realized covariance matrices
Opschoor, Anne; Lucas, André; Rossini, Luca - 2025
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Empowering Arab women through wage equality : a comprehensive analysis of wage disparities and strategies for promoting equal pay in the Arab region
Vereinte Nationen / Economic and Social Commission for … - 2025
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Variance of the generalized regression estimator under measurement error
Brakel, Jan A. van den; Michiels, John - 2025
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On Bessel's correction : unbiased sample variance, the "bariance," and a novel runtime-optimized estimator
Reichel, Felix - 2025
Bessel's correction adjusts the denominator in the sample variance formula from n to n − 1 to produce an unbiased estimator for the population variance. This paper includes rigorous derivations, geometric interpretations, and visualizations. It then introduces the concept of "bariance," an...
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Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment
Capera Romero, Laura; Opschoor, Anne - 2025
This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...
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Improving minimum-variance portfolio through shrinkage of large covariance matrices
Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16
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Asset allocation with factor-based covariance matrices
Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203
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Dynamic load impact on protocols in mesh : an ANOVA test evaluation
Alameri, Ibrahim; Komárková, Jitka; Al-Hadhrami, Tawfik - In: Scientific papers of the University of Pardubice 32 (2025) 3, pp. 1-12
This paper takes a deep dive into mesh routing protocols, unraveling how they hold up under the pressures of varying node densities and the hustle and bustle of mobility. This paper included robust and advanced non-parametric statistical tests-think Kruskal-Wallis and Mann-Whitney-to figure out...
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Blockchains effects on responsiveness to recalls in the food and beverage industry
Keramati, Abbas; Siau, Bethany; Bellitto, Tyler; … - In: Journal of economy and technology 3 (2025), pp. 283-298
Blockchain technology, by revolutionizing the way businesses use data, is shifting the cost-responsiveness frontier. While the most popular application of blockchain is cryptocurrency, nowadays it is touching many other businesses including the food and beverage industry. This paper is a short...
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Firm wage effects
Kline, Patrick - 2024
This paper reviews the literature on firm wage differences and the fixed effects methods typically used to measure these differences. High wage firms tend to be more productive, larger, more sought after by workers, and to employ more credentialed and higher wage workers. The latest evidence...
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
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Effekte der digitalen Selbstwirksamkeit : eine empirische Analyse unter Berücksichtigung von Drittvariableneffekten
Fornfeist, Jan - 2024
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Science or scientism? : on the momentum illusion
Grobys, Klaus - In: Annals of finance 20 (2024) 4, pp. 479-519
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Statistical analysis of global debt in the world economy
Firsanova, Violetta - In: Technology audit and production reserves 4 (2024) 4/78, pp. 38-42
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Modeling multiplicative interaction effects in Gaussian structured additive regression models
Aschersleben, Philipp; Granna, Julian; Kneib, Thomas; … - 2024
Gaussian Structured Additive Regression provides a flexible framework for additive decomposition of the expected value with nonlinear covariate effects and time trends, unit- or cluster-specific heterogeneity, spatial heterogeneity, and complex interactions between covariates of different types....
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Cointegrated portfolios and volatility modeling in the cryptocurrency market
Gabriel, Stefan; Kunst, Robert M. - 2024
We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...
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Measurement invariance testing in partial least squares structural equation modeling
Liengaard, Benjamin Dybro - In: Journal of business research : JBR 177 (2024), pp. 1-16
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The topological structure of panel variance decomposition networks
Celani, Alessandro; Cerchiello, Paola; Pagnottoni, Paolo - In: Journal of financial stability 71 (2024), pp. 1-19
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Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix
Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
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Optimization strategy for the modeling and estimation of interactive effects
Hu, Xiaohui - In: Prague economic papers : a bimonthly journal of … 33 (2024) 3, pp. 261-276
Modeling policy effects in the context of high-dimensional data requires a balanced consideration of omitted interaction bias and overfitting problems. This paper investigates the role of machine learning algorithms in stabilizing estimates and demonstrates the possible regularization bias...
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269
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Asymmetric models for realized covariances
Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024
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The variance of regression coefficients when the population is finite
Startz, Richard; Steigerwald, Douglas G. - In: Journal of econometrics 240 (2024) 1, pp. 1-21
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Variance-reduced risk inference in semi-supervised settings
Einmahl, John H. J.; Peng, Liang - 2024
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Are minimum variance portfolios in multi-factor models long in low-beta assets?
Steland, Ansgar - In: Mathematics and financial economics 18 (2024) 1, pp. 151-170
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Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses
Matsushita, Yukitoshi; Otsu, Taisuke; Sunada, Keita - 2024
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Sparse portfolio selection via topological data analysis based clustering
Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024
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Intellectual capital forecasting for invention patent through machine learning model
Wang, Mei-Hsin; Che, Hui-Chung - In: Journal of intellectual capital 25 (2024) 7, pp. 129-150
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Covariate adjustment in stratified experiments
Cytrynbaum, Max - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 971-998
This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment‐covariate...
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On shrinkage covariance estimators : how inefficient is 1/N strategy of covariance estimation for portfolio selection in foreign exchange market?
Husnain, Muhammad; Ali, Shamrez; Munir, Qaiser; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-21
We investigate portfolio selection performance as in Markowitz by evaluating variance matrix estimation criteria in the currency market. This study challenges theoretically rigorous shrinkage covariance estimators using multiple evaluation metrics: systematic loss function, risk profile of...
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Assessment of students' academic performance in clothing and textile in tertiary institutions using ANN and ANOVA techniques
Azonuche, Juliana Ego; Okoruwa, Juliet Obiageli; Sonye, … - In: International journal of learning and change : IJLC 16 (2024) 5, pp. 486-507
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Arbeitsbedingungen und gesundheitliche Beschwerden in Basisarbeit: Eine sektorübergreifende Untersuchung im Dienstleistungsbereich
Lück, Marcel; Hünefeld, Lena; Kaboth, Arthur - In: Zeitschrift für Arbeitswissenschaft 77 (2023) 4, pp. 553-566
In diesem Beitrag werden Arbeitsanforderungen, Ressourcen und Gesundheit von Basisarbeitenden in den Dienstleistungssektoren Handel, Finanzwesen und öffentliche Dienstleistungen untersucht. Als Datengrundlage dient die aktuelle Erhebung der BIBB/BAuA-Erwerbstätigenbefragung 2018, eine...
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Oil Tail Risks and the Realized Variance of Consumer Prices in Advanced Economies
Salisu, Afees; Ogbonna, Ahamuefula Ephraim; Vo, Xuan Vinh - 2023
In this study, we examine the nexus between oil tail risks and the realized variance of consumer prices in six advanced economies, namely, Canada, France, Germany, Japan, the United Kingdom, and the United States. Importantly, we estimate the oil tail risks following the Conditional...
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Forecasting Earnings Variance : Quantile-Based Vs. Residuals-Based Variance Proxies
Brunke, Luca - 2023
The aim of this study is to analyze different forecasting approaches for the variance of future earnings, compare the respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in line with former research, indicate that...
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Treatment Effect Estimation with Censored Outcome and Covariate Selection
Li, Li; Shi, Pengfei; Fan, Qingliang; Zhong, Wei - 2023
Covariates selection is essential when faced with many variables in modern causal inference in a data-rich environment. Particularly, the efficiency of the average causal effect (ACE) can be improved by including covariates only related to the outcome and reduced by including covariates related...
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An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537
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Higher moment connectedness of cryptocurrencies : a time-frequency approach
Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 793-814
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Pricing of pseudo-swaps based on pseudo-statistics
Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the...
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Pathways to prosperity : navigating post‑stagnation growth and revitalizing business
Spitsin, Valdislav; Vuković, Darko B.; Ryzhkova, Marina; … - In: Economies : open access journal 12 (2024) 3, pp. 1-26
This study examines the ways in which firms recover from stagnation or sales decline, with a focus on two key aspects: traditional high‑growth companies and growth restarts within the framework of organizational life cycle theory. Analyzing a dataset of 1883 Russian firms from 2013 to 2021,...
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Generalized ratio-product cum regression variance estimator in two-phase sampling
Muhammad, Isah - In: CBN journal of applied statistics 14 (2023) 2, pp. 73-101
This study develops a flexible and efficient generalized ratio-product cum regression-type estimator of population variance utilizing auxiliary variable in two-phase sampling that incorporates the properties of ratio-type and product-type estimators. The properties of the estimator were derived...
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
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Detection of multiple structural breaks in large covariance matrices
Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861
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When it counts : econometric identification of the basic factor model based on glt structures
Frühwirth-Schnatter, Sylvia; Hosszejni, Darjus; Lopes, … - In: Econometrics : open access journal 11 (2023) 4, pp. 1-30
Despite the popularity of factor models with simple loading matrices, little attention has been given to formally address the identifiability of these models beyond standard rotation-based identification such as the positive lower triangular (PLT) constraint. To fill this gap, we review the...
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Are cryptos becoming alternative assets?
Pele, Daniel Traian; Wesselhöfft, Niels; Härdle, Wolfgang - In: The European journal of finance 29 (2023) 10, pp. 1064-1105
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Implementation of variance reduction techniques applied to the pricing of investment certificates
Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42
Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed...
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Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485
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