Search Results - subject:"Variance"

Modeling variance risk in financial markets using power-laws : new evidence from the Garman-Klass variance estimator

Fathi, Masoumeh; Grobys, Klaus - In: Quantitative finance 25 (2025) 7, pp. 1047-1072

Persistent link: https://www.econbiz.de/10015534177

Formulation of estimator for population mean in stratified successive sampling using memory-based information

Majumder, Sanjoy; Bandyopadhyay, Arnab; Gupta, Arindam - In: Statistics in transition : an international journal of … 26 (2025) 2, pp. 39-56

In study described in this article, we developed a memory type estimator for the population mean in stratified successive sampling. We used the past sample information together with the current sample information through hybrid exponentially weighted moving averages statistics. We have also used...

Persistent link: https://www.econbiz.de/10015447227

On the optimality of linear residual risk sharing

Yang, Jiajie; Wei, Wei - In: ASTIN bulletin : the journal of the International … 55 (2025) 3, pp. 514-536

Persistent link: https://www.econbiz.de/10015550236

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 … part using simulation reveals that the run-time of estimating population variance can be shortened when using an …

Persistent link: https://www.econbiz.de/10015376726

Mean-variance portfolio optimization using jackknife empirical likelihood estimation of tail conditional variance

Nargunam, Rupel; Sudheesh, K. K. - 2025

Persistent link: https://www.econbiz.de/10015437097

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

Persistent link: https://www.econbiz.de/10015179565

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026

Persistent link: https://www.econbiz.de/10015632820

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

Multivariate dynamic mixed-frequency density pooling for financial forecasting

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: International journal of forecasting 41 (2025) 3, pp. 1184-1198

Persistent link: https://www.econbiz.de/10015441556

Assessing the quality of generalized variance functions

Siems, Inken; Münnich, Ralf - In: AStA Wirtschafts- und Sozialstatistisches Archiv 19 (2026) 3-4, pp. 205-221

Generalized variance functions (GVFs) are widely used in official statistics to approximate sampling variances when … direct variance estimation is impractical. However, their reliability is highly context-dependent. This study evaluates GVF …

Persistent link: https://www.econbiz.de/10015605042