Search Results - subject:"Variance decomposition"

Cross-Country Relative Price Volatility: Effects of Market Structure

Cheung, Yin-Wong; Fujii, Eiji - CESifo - 2005

Using annual data on nine manufacturing sectors of eighteen OECD countries, the article studies the implications of market structure for cross-country relative price variability. It is found that, in accordance with predictions from a standard markup pricing model, reductions in market...

Persistent link: https://www.econbiz.de/10005416486

Improved customer choice predictions using ensemble methods

Wezel, M.C. van; Potharst, R. - Erasmus University Rotterdam, Econometric Institute - 2005

regression. Next, an additive decomposition of the prediction error of a model, the bias/variance decomposition, is considered. A …. Keywords: Bagging, Bias/Variance Decomposition, Boosting, Brand Choice, CART, Choice Models, Data Mining, Ensembles. 1 … to consider the bias/variance decomposition for a squared error function before turning to general loss functions. 5 …

Persistent link: https://www.econbiz.de/10005450872

Improved customer choice predictions using ensemble methods

van Wezel, van Wezel, M.C.; Potharst, Potharst, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2005

regression. Next, an additive decomposition of the prediction error of a model, the bias/variance decomposition, is considered. A …

Persistent link: https://www.econbiz.de/10010731879

Decomposition of Variability in Farm Household Assets and Debt

Mishra, Ashok K.; El-Osta, Hisham S. - In: Journal of Agribusiness 23 (2005) 2

farm and nonfarm sources of assets and farm and nonfarm sources of debt. Using a normalized variance decomposition approach …

Persistent link: https://www.econbiz.de/10008519373

Cross-Country Relative Price Volatility: Effects of Market Structure

Cheung, Yin-wong; Fujii, Eiji - Hong Kong Institute for Monetary Research (HKIMR), … - 2005

Persistent link: https://www.econbiz.de/10005357439

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A. - BANCOLOMBIA

Berggrun, Luis - UNIVERSIDAD ICESI - 2005

Este documento analiza la dinámica de los Recibos de Deposito Americanos (ADR) de un banco colombiano (Bancolombia) en relación con los factores que inciden en su precio (precio de las acciones (preferenciales) subyacentes, la tasa de cambio y el índice del mercado accionario de Estados...

Persistent link: https://www.econbiz.de/10005262913

A Variance Decomposition of Index-Linked Bond Returns

Breedon, Francis - School of Economics and Finance, Queen Mary - 2012

We undertake a variance decomposition of index-linked bond returns for the US, UK and Iceland. In all cases, news about …

Persistent link: https://www.econbiz.de/10010780018

A New Method for Determining Why Length of Life is More Unequal in Some Populations Than in Others

Nau, Claudia; Firebaugh, Glenn - In: Demography 49 (2012) 4, pp. 1207-1230

Why is there greater variability in individual longevity in some populations than in others? We propose a decomposition method designed to address that question by quantifying the effects of population differences in the spread, allocation, and timing of the principal causes of death. Applying...

Persistent link: https://www.econbiz.de/10010844130

The causal structure of bond yields

Wang, Zijun - In: The Quarterly Review of Economics and Finance 52 (2012) 1, pp. 93-102

This paper implements an emerging data-driven method of directed acyclic graphs to study the contemporaneous causal structure among the federal funds rate and U.S. Treasury bond yields of various maturities. Using high frequency daily data from 1994 to 2009, we find that innovations in the...

Persistent link: https://www.econbiz.de/10010868870

Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States

Füss, Roland; Schweizer, Denis - In: Review of Quantitative Finance and Accounting 38 (2012) 3, pp. 391-410

Persistent link: https://www.econbiz.de/10010989618