In recent years, finance specialists have described several phenomena and they are developing calculation methods thanks to mathematical tools that are becoming more and more sophisticated. Thus, our research aims to use in a practical way the main operating techniques of the Monte Carlo...

Asset returns are modeled by bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine...

We propose and study properties of several estimators of variance decomposition in the local-projections framework. We find for empirically relevant sample sizes that, after being bias corrected with bootstrap, our estimators perform well in simulations. We also illustrate the workings of our...

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant...

While accurate point estimation of customer lifetime value (CLV) has been the target of a large body of academic research, few have focused on the variance of CLV (V(CLV)), which represents the degree of uncertainty associated with a customer's expected CLV. This is ironic because academics have...

This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same...

The aim of this paper is to identify whether the GARCH or the SV based models provide the best goodness of fit to financial time-series data. To investigate the issue, three different formulations for each type (i.e., the standard model, the fat-tailed model, and the asymmetric model) are...

Bosnian Abstract: Matematičko obrazovanje je neizostavan dio studija psihologije, a naročito je bitno za pojedince koji će se baviti istraživačkim radom na ovom polju društvenih znanosti. Varijanca i kovarijanca su statistički koncepti važni, prije svega, u: analizi varijance,...

Variance reduction techniques have been shown by others in the past to be a useful tool to reduce variance in Simulation studies. However, their application and success in the past has been mainly domain specific, with relatively little guidelines as to their general applicability, in particular...

We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...