Showing 1 - 10 of 24
Cronbach’s alpha is a popular method to measure reliability, e.g. in quantifying the reliability of a score to summarize the information of several items in questionnaires. The alpha coefficient is known to be non-robust. We study the behavior of this coefficient in different settings to...
Persistent link: https://www.econbiz.de/10009770913
Persistent link: https://www.econbiz.de/10001579515
Persistent link: https://www.econbiz.de/10001820238
Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively...
Persistent link: https://www.econbiz.de/10014175201
We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...
Persistent link: https://www.econbiz.de/10013115577
Persistent link: https://www.econbiz.de/10009301110
Persistent link: https://www.econbiz.de/10009377508
Persistent link: https://www.econbiz.de/10008989131
Persistent link: https://www.econbiz.de/10010485677
Persistent link: https://www.econbiz.de/10003804788