Search Results - subject:"Maximum eigenvalue"

Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model

Biswas, Subhojit; Mukherjee, Diganta; SenGupta, Indranil - In: International journal of financial engineering 7 (2020) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10012603783

Extreme canonical correlations and high-dimensional cointegration analysis

Onatski, Alexei; Wang, Chen - In: Journal of econometrics 212 (2019) 1, pp. 307-322

Persistent link: https://www.econbiz.de/10012303946

A proposal for multi-asset generalized variance swaps

Biswas, Subhojit; Mukherjee, Diganta - In: Annals of financial economics 14 (2019) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012226643

Co-integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2009

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

Persistent link: https://www.econbiz.de/10004991541

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2008

Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

Persistent link: https://www.econbiz.de/10005440040

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Økonomisk Institut, Københavns Universitet - 2008

perform very well in practice. Keywords: Co-integration; non-stationary volatility; trace and maximum eigenvalue tests; wild … conventional trace and maximum eigenvalue statistics of Johansen (1988,1991), demonstrating that the asymptotic null distributions … context by developing wild bootstrap-based implementations of Johansen�s maximum eigenvalue and trace test statistics. Our …

Persistent link: https://www.econbiz.de/10005749701

APPLICATION TECHNIQUE OF THE INVESTMENT ATTRACTIVENESS AND COMPETITIVENESS ANALYSIS OF THE ART FACILITIES TO THE SEGMENT RUSSIAN PAINTING

Pashkus, M. V. - In: Annals of marketing-mba 3 (2014) 11

This article is devoted to investment attractiveness evaluation of various art objects. The paper substantiates the use of a matrix of strategic positioning techniques of the art facilities to identify their competitive status in order to reduce market risks for potential investors. The proposed...

Persistent link: https://www.econbiz.de/10011097411

Analytic network process in risk assessment and decision analysis

Ergu, Daji; Kou, Gang; Shi, Yong; Shi, Yu - In: Computers & operations research : and their … 42 (2014), pp. 58-74

Persistent link: https://www.econbiz.de/10010235257

Testing for cointegration using the Johansen methodology when variables are near-integrated

Hjalmarsson, Erik; Österholm, Pär - 2007

Persistent link: https://www.econbiz.de/10003997748

A testing procedure for determining the number of factors in approximate factor models with large datasets

Kapetanios, George - 2005

The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity...

Persistent link: https://www.econbiz.de/10010284186