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An Introduction to Shrinkage Estimation of the Covariance Matrix: A Pedagogic Illustration
Kwan, Clarence C. Y. - 2011
Shrinkage estimation of the covariance matrix of asset returns was introduced to the finance profession several years … paper presents, from a pedagogic perspective, an introduction to shrinkage estimation and uses Microsoft ExcelTM for its …
Persistent link: https://www.econbiz.de/10009441688
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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION
Syllignakis, Manolis; Kouretas, Georgios - 2006
. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short ñ term interdependencies between …
Persistent link: https://www.econbiz.de/10009476878
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Financial Time Series Analysis using Pattern Recognition Methods
Zeng, Zhanggui - 2006
This thesis is based on research on financial time series analysis using pattern recognition methods. The first part of this research focuses on univariate time series analysis using different pattern recognition methods. First, probabilities of basic patterns are used to represent the features...
Persistent link: https://www.econbiz.de/10009480080
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Searching for histogram patterns due to macroscopic fluctuations in financial time series
Van Zyl, Verena Helen - 2007
This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...
Persistent link: https://www.econbiz.de/10009442100
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The Adjustment of the Yule-Walker Relations in VAR Modelling: The Impact of the Euro on the Hong Kong Stock Market
Penm, Jack H.W; Brailsford, Tim; Terrell, R.D - 2000
VAR models are increasingly being used in the analysis of relationships between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of emerging markets given their...
Persistent link: https://www.econbiz.de/10009451291
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Shrinkage in Europe: Stock Loss in the Fast-moving Consumer Goods Sector.
Beck, Adrian; Bilby, Charlotte; Chapman, Paul - 2002
This paper presents the findings of the first pan-European survey of companies withinthe Fast Moving Consumer Goods sector. It provides a discussion on the definition ofshrinkage and presents data on the extent, nature and causes of stock loss throughout thesupply chain – from point of...
Persistent link: https://www.econbiz.de/10009463086
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Group dismissal for poor performance as a response to excessive stock shrinkage : a study of owner-managed franchised grocery retailers
Brown, Timothy Glen - 2008
ENGLISH ABSTRACT: Excessive shrinkage threatens the viability of retailers, especially grocery retailersbecause they … excessive shrinkage, but South African law generally requires that theemployer prove individual culpability or poor performance … to justify a dismissal. Inmost cases, retailers are not able to identify the exact causes of shrinkage or thoseemployees …
Persistent link: https://www.econbiz.de/10009442044
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Estimating heterogeneous effects: applications to labor economics
Bonhomme, Stéphane; Denis, Angela
Un número creciente de aplicaciones utilizan escenarios en los que, para inferir efectos heterogéneos, un investigador compara distintas unidades. Ejemplos de diseños de investigación son aquellos que incluyen a niños que se mudan de barrio, trabajadores que cambian de empresa, pacientes...
Persistent link: https://www.econbiz.de/10014573592