Search Results - subject:"conditional variance"

Machine-learning-based semiparametric time series conditional variance: Estimation and forecasting

Dang, Justin; Ullah, Aman - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12

This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a … estimate the semiparametric estimator using real data and how to use this estimator to make forecasts for the conditional … variance. Simulations are conducted to show the dominance of the proposed estimator in terms of mean squared error. An …

Persistent link: https://www.econbiz.de/10013201342

What the Mean Measures of Mobility Miss: Learning About Intergenerational Mobility from Conditional Variance

Ahsan, Md. Nazmul; Emran, M. Shahe; Jiang, Hanchen; … - 2022

understand the role of family background, but ignores the information contained in conditional variance. Using exceptionally rich … suggests a strong influence of father's education on conditional variance of children's schooling. We find substantial …'s education on the conditional variance has changed qualitatively, in some cases a positive effect in the 1950s cohort turning …

Persistent link: https://www.econbiz.de/10013202219

Machine-learning-based semiparametric time series conditional variance : estimation and forecasting

Dang, Justin; Ullah, Aman - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10012814196

What the mean measures of mobility miss : learning about intergenerational mobility from conditional variance

Ahsan, Nazmul; Emran, M. Shahe; Jiang, Hanchen; Shilpi, … - 2022 - This version: February 17, 2022

Persistent link: https://www.econbiz.de/10013254235

New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model

Settar, Abdeljalil; Fatmi, Nadia Idrissi; Badaoui, Mohammed - In: Central European journal of economic modelling and … 13 (2021) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10012439109

Time variation in cash flows and discount rates

Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589

Persistent link: https://www.econbiz.de/10014444702

On the predictive ability of conditional market skewness

Serna, Gregorio - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 186-191

Persistent link: https://www.econbiz.de/10014461560

The variance premiums' responses to the ECB monetary announcements

Chebbi, Tarek; Hmedat, Waleed - In: International journal of trade and global markets 17 (2023) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10014287205

Measuring the value relevance of financial information for strategic decision-making and performance of Nigerian listed firms

Osazevbaru, Henry Osahon - In: Trends Economics and Management 14 (2020) 36, pp. 33-48

Purpose of the article: Management has traditionally used financial information for strategic decision-making. This study investigates the value relevance of financial information contained in earnings per share and operating cash flow per share for strategic decision-making and hence...

Persistent link: https://www.econbiz.de/10015186119

Measuring the value relevance of financial information for strategic decision-making and performance of Nigerian listed firms

Osazevbaru, Henry Osahon - In: Trends economics and management 14 (2020) 36, pp. 33-48

Persistent link: https://www.econbiz.de/10012433039