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Year of publication
Subject
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Analysis of variance 621 Varianzanalyse 621 Theorie 256 Theory 256 Estimation theory 196 Schätztheorie 196 Volatility 147 Volatilität 147 Correlation 115 Korrelation 115 Portfolio selection 106 Portfolio-Management 106 Estimation 104 Schätzung 104 Forecasting model 80 Prognoseverfahren 80 Capital income 75 Kapitaleinkommen 75 Time series analysis 69 Zeitreihenanalyse 69 ARCH model 50 ARCH-Modell 50 Börsenkurs 43 Share price 43 Monte Carlo simulation 38 Monte-Carlo-Simulation 38 Regressionsanalyse 38 Statistical test 38 Statistischer Test 38 Regression analysis 36 Statistical distribution 35 Statistische Verteilung 35 Risk 34 Stochastic process 34 Stochastischer Prozess 34 CAPM 33 Market microstructure 32 Marktmikrostruktur 32 Risiko 32 Option pricing theory 29
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Online availability
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Free 626 CC license 24
Type of publication
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Book / Working Paper 555 Article 71
Type of publication (narrower categories)
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Graue Literatur 281 Non-commercial literature 281 Working Paper 274 Arbeitspapier 273 Article in journal 73 Aufsatz in Zeitschrift 73 Hochschulschrift 16 Thesis 12 Forschungsbericht 3 Collection of articles of several authors 2 Sammelwerk 2 Aufsatzsammlung 1 Collection of articles written by one author 1 Conference paper 1 Konferenzbeitrag 1 Sammlung 1
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Language
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English 614 German 9 Undetermined 3
Author
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Hartung, Joachim 10 Caporin, Massimiliano 8 Gao, Jiti 8 Hafner, Christian M. 8 Bauwens, Luc 7 Croux, Christophe 7 Ferrer-i-Carbonell, Ada 7 Hodrick, Robert J. 7 Linton, Oliver 7 Christensen, Kim 6 Herwartz, Helmut 6 Liesenfeld, Roman 6 Podolskij, Mark 6 Praag, Bernard M. S. van 6 Zeileis, Achim 6 Bonato, Matteo 5 Boudt, Kris 5 Inoue, Atsushi 5 Kapetanios, George 5 Knapp, Guido 5 Li, Degui 5 McAleer, Michael 5 Opschoor, Anne 5 Potter, Simon M. 5 Watanabe, Toshiaki 5 Yang, Yanrong 5 Braione, Manuela 4 Chen, Jia 4 Frondel, Manuel 4 Golosnoy, Vasyl 4 Hautsch, Nikolaus 4 Lucas, André 4 Nagakura, Daisuke 4 Packham, Natalie 4 Pan, Guangming 4 Paterlini, Sandra 4 Ranaldo, Angelo 4 Storti, Giuseppe 4 Vance, Colin 4 Vanduffel, Steven 4
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Institution
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National Bureau of Economic Research 14 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Forschungsinstitut zur Zukunft der Arbeit 2 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Econometrisch Instituut <Rotterdam> 1 Erasmus University Rotterdam, Econometric Institute 1 European Central Bank 1 European University Institute / Department of Economics 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Internationaler Währungsfonds 1 Judge Institute of Management Studies 1 Society for the Study of Economic Inequality - ECINEQ 1 Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund> 1 Université de Montréal / Département de sciences économiques 1 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 1 Victoria University of Wellington / School of Economics and Finance 1
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Published in...
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 19 NBER working paper series 14 Discussion paper / Tinbergen Institute 13 NBER Working Paper 13 SFB 649 discussion paper 11 CEMMAP working papers / Centre for Microdata Methods and Practice 9 CREATES research paper 9 Working paper 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 Research paper series / Swiss Finance Institute 7 Working paper / National Bureau of Economic Research, Inc. 7 Working papers in economics and statistics 7 Global COE Hi-Stat discussion paper series 6 Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland 6 CORE discussion papers : DP 5 Econometric Institute research papers 5 Econometrics : open access journal 5 Risks : open access journal 5 Discussion paper / Center for Economic Research, Tilburg University 4 Discussion paper / Central Bureau voor de Statistiek 4 Discussion paper series / IZA 4 Economics working paper 4 Swiss Finance Institute Research Paper 4 Cambridge working papers in economics 3 Cardiff economics working papers 3 Chicago Booth Research Paper 3 Discussion papers of interdisciplinary research project 373 3 Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen 3 FRB of New York Staff Report 3 International journal of economics and financial issues : IJEFI 3 KBI 3 Quantitative economics : QE ; journal of the Econometric Society 3 Research notes in economics & statistics 3 Staff reports / Federal Reserve Bank of New York 3 Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia 3 Working papers 3 CEA_372Cass working paper series 2 CESifo Working Paper Series 2 CESifo working papers 2 CFS working paper series 2
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Source
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ECONIS (ZBW) 621 RePEc 4 EconStor 1
Showing 1 - 10 of 626
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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...
Persistent link: https://www.econbiz.de/10015376726
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Graph-based methods for forecasting realized covariances
Zhang, Chao; Pu, Xingyue; Cucuringu, Mihai; Dong, Xiaowen - In: Journal of financial econometrics 23 (2025) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10015339744
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A common component of Fama and French factor variances
Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10015359779
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The conditional autoregressive F-riesz model for realized covariance matrices
Opschoor, Anne; Lucas, André; Rossini, Luca - In: Journal of financial econometrics 23 (2025) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10015271649
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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
Persistent link: https://www.econbiz.de/10015386846
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Variance of the generalized regression estimator under measurement error
Brakel, Jan A. van den; Michiels, John - 2025
Persistent link: https://www.econbiz.de/10015407679
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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
Persistent link: https://www.econbiz.de/10015433232
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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...
Persistent link: https://www.econbiz.de/10015426557
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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...
Persistent link: https://www.econbiz.de/10015419907
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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
Persistent link: https://www.econbiz.de/10015193796
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