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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

Measuring Nonstationary Cycles: a Time-Deformation Approach

Movchan, Oleksandr Victorovich - 2009

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...

Persistent link: https://www.econbiz.de/10009431199

Two statistical problems related to credit scoring / Tanja de la Rey.

De la Rey, Tanja - 2007

This thesis focuses on two statistical problems related to credit scoring. In credit scoring of individuals, two classes are distinguished, namely low and high risk individuals (the so-called "good" and "bad" risk classes). Firstly, we suggest a measure which may be used to study the nature of a...

Persistent link: https://www.econbiz.de/10009455950

Parameter Estimation for the Lognormal Distribution

Ginos, Brenda Faith 1986- - 2009

The lognormal distribution is useful in modeling continuous random variables which are greater than or equal to zero. Example scenarios in which the lognormal distribution is used include, among many others: in medicine, latent periods of infectious diseases; in environmental science, the...

Persistent link: https://www.econbiz.de/10009457140

Parameter Estimation for the Beta Distribution

Owen,Claire Elayne Bangerter 1984- - 2008

The beta distribution is useful in modeling continuous random variables that lie between 0 and 1, such as proportions and percentages. The beta distribution takes on many different shapes and may be described by two shape parameters, alpha and beta, that can be difficult to estimate. Maximum...

Persistent link: https://www.econbiz.de/10009457237