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Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

Persistent link: https://www.econbiz.de/10009437793

Modeling physiological and anthropometric variables known to vary with body size and other confounding variables

Nevill, Alan M.; Bate, Stuart; Holder, Roger L. - 2005

This review explores the most appropriate methods of identifying population differences in physiological and anthropometric variables known to differ with body size and other confounding variables. We shall provide an overview of such problems from a historical point of view. We shall then give...

Persistent link: https://www.econbiz.de/10009458973

Efficiency and productivity analysis in ten Asian banking industries

Shen, Zhi - 2010

measure of determinants or heteroscedasticity. Both cases are considered in the empirical sections of this thesis. In the …

Persistent link: https://www.econbiz.de/10009461100

Conditional variance function checking in heteroscedastic regression models.

Samarakoon, Nishantha Anura - 2011

applicationsexhibit heteroscedasticity. The practical importance of detecting heteroscedasticityin regression analysis is widely …

Persistent link: https://www.econbiz.de/10009464098

Finansinio kintamumo modeliavimas apibendrintuoju Gegenbauer-LARCH modeliu

Osipavičiūtė, Aušra - 2009

Darbe siekiama aprašyti periodinį ilgos atminties finansinių laiko eilučių elgesį. Remiantis anksčiau sukurtais modeliais, siūlomas h-faktorių Gegenbauer-LARCH modelis, kuris į LARCH tipo proceso sąlyginės dispersijos lygtį įtraukia apibendrintą ilgos atminties filtrą, paremtą...

Persistent link: https://www.econbiz.de/10009479239

Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data

Hadri, Kaddour; Guermat, Cherif; Whittaker, Julie - 2003

inefficiencies are sensitive to specification errors. One source of such errors is heteroscedasticity. This paper addresses this … issue by extending the Hadri (1999) correction for heteroscedasticity to stochastic production frontiers and to panel data …. It is argued that heteroscedasticity within an estimation can have a significant effect on results, and that correcting …

Persistent link: https://www.econbiz.de/10009445692

Adaptive weighting for flexible estimation in nonparametric regression models.

Nosedal-Sanchez, Alvaro - 2011

We propose a new method to find spatially adaptive smoothing splines. This new method breaks down the interval [0, 1] into p disjoint sub-intervals. Then we define p functional components in [0, 1], which have two importantfeatures. First, the purpose of each of these p components is to estimate...

Persistent link: https://www.econbiz.de/10009429662

Accuracy bounds for normal-incidence acoustic structure estimation

Theriault, Kenneth B. - 1977

Determnation of the structure of a medium from normal-incidenceacoustic reflection data is a basic problem in fieldsas diverse as medical technology and the earth sciences; thisresearch examines the accuracy with which quantitative structureestimates can be made from noise-corrupted...

Persistent link: https://www.econbiz.de/10009461036

Determination of the optimal number of strata for bias reduction in propensity score matching.

Akers, Allen - 2010

Previous research implementing stratification on the propensity score has generally relied on using five strata, based on prior theoretical groundwork and minimal empirical evidence as to the suitability of quintiles to adequately reduce bias in all cases and across all sample sizes. This study...

Persistent link: https://www.econbiz.de/10009475025

Scaling conditional tail probability and quantile estimators

Cotter, John - 2009

In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an investor to determine their risk profile accounting for losses (quantiles) at...

Persistent link: https://www.econbiz.de/10009475704