Search Results - subject:"PRINCIPAL COMPONENT ANALYSIS"

The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping

Grenouilleau, Daniel - Directorate-General Economic and Financial Affairs, … - 2006

The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the...

Persistent link: https://www.econbiz.de/10008595797

Improving VWAP strategies: A dynamical volume approach

Białkowski, Jedrzej; Darolles, Serge; Fol, Gaëlle Le - Centre d'Études des Politiques Économiques (EPEE), … - 2006

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of...

Persistent link: https://www.econbiz.de/10010641698

Social Capital, Public Spending and the Quality of Economic Development: The Case of Italy

Sabatini, Fabio - Fondazione ENI Enrico Mattei (FEEM) - 2006

This paper carries out an empirical assessment of the relationship between social capital and the quality of economic development in Italy. The analysis draws on a dataset collected by the author including about two hundred variables representing different aspects of economic development and...

Persistent link: https://www.econbiz.de/10005570362

TIME EVOLUTION ANALYSIS AND FORECAST OF KEY PERFORMANCE INDICATORS IN A BALANCED SCORECARD

Morard, Bernard; Stancu, Alexandru; Jeannette, Christophe - In: Global Journal of Business Research 7 (2013) 2, pp. 9-27

This paper offers a generic and rational construction of Balanced Scorecard. The construction involves implementing a time-managed approach to identify the evolution of the main contributors to the current companyâ€™s strategy as well as their behavior in the future organizational...

Persistent link: https://www.econbiz.de/10011205695

Revisiting the dollar index

Essayyad, Musa; Albinali, Khaled; Al-Titi, Omar; … - In: International Journal of Monetary Economics and Finance 6 (2013) 1, pp. 1-16

This research is an inter-temporal update of an empirical paper published by Essayyad et al., which is based on work of Loretan and Nardo et al. We continue to employ the same principal component technique, to construct an alternative US Dollar Index to gauge movements in currency markets. The...

Persistent link: https://www.econbiz.de/10010816793

MULTIVARIATE METHODS IN ASSESSING THE ACCURACY OF PREDICTION MARKETS EX ANTE BASED ON OHE HIGHEST-PRICE CRITERION

Lin, Hung-Wen; Tung, Chen-yuan; Yeh, Jason - In: Journal of Prediction Markets 7 (2013) 3, pp. 29-44

This study successfully establishes the principal component analysis with discriminant analysis (PCA-DA) model to …

Persistent link: https://www.econbiz.de/10010798249

Correlative coherence modelling of South Australian wind farms

Ward, K.; Korolkiewicz, M.; Boland, J. - In: Renewable Energy 52 (2013) C, pp. 154-159

component analysis. Distributional aspects of a correlative coherence measure on which CCA is based are discussed as well. … electricity output of five wind farms situated in South Australia. The results of this analysis are verified using principal …

Persistent link: https://www.econbiz.de/10010804432

Assessment of Phenotypic Variability in Enset (Ensete Ventricosum (WELW) Cheesman) Accessions Using Multivariate Analysis

Yemataw, Zerihun; Mohamed, Hussien; Yeshitla, Mikias - In: International Journal of Natural Sciences Research 1 (2013) 7, pp. 50-59

Enset (Ensete ventricosum) is a perennial, banana-like crop, endemic to Ethiopia that produces pseudostem and a starchy belly corm pulped for food, feed and fiber. This study was carried out to ascertain the value and magnitude of genetic diversity among 240 Enset accessions based on their...

Persistent link: https://www.econbiz.de/10010774305

M-type smoothing spline estimators for principal functions

Lee, Seokho; Shin, Hyejin; Billor, Nedret - In: Computational Statistics & Data Analysis 66 (2013) C, pp. 89-100

functional principal component analysis into alternating penalized M-regression with a bounded loss function. The resulting … method on simulated and real data and compare it with the conventional functional principal component analysis and other … robust functional principal component analysis techniques. …

Persistent link: https://www.econbiz.de/10010871313

LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE

YASUOKA, TAKASHI - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350024-1

This paper consists of two parts. The first part aims to construct a LIBOR market model under the real-world measure (LMRW) according to the Jamshidian framework. Then, LIBOR rates, bond prices and a state price deflator are explicitly described under the LMRW. The second part aims to estimate...

Persistent link: https://www.econbiz.de/10010883216