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Pollock, David Stephen G.; Pollock, David Stephen G. - 1979

Persistent link: https://www.econbiz.de/10000048312

Chapter 1 Linear algebra and matrix methods in econometrics

Theil, Henri - In: Handbook of econometrics : volume 1, (pp. 3-65). 1983

tools for the statistical component of econometrics; another reason is the increased use of matrix algebra in the economic … methods is that many topics in econometrics have a multivariate character. The chapter illustrates the convenience of matrices … linear systems only. Vectors and matrices are important in the statistical component of econometrics. A general method of …

Persistent link: https://www.econbiz.de/10014024913

Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

vol. i. Introduction to financial econometrics, mathematics, statistics, and machine learning / C F Lee. Do managers …"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics …, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …

Persistent link: https://www.econbiz.de/10012643541

Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics …, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …

Persistent link: https://www.econbiz.de/10012061412

Complex-Valued Econometrics with Examples in R : Modelling, Regression and Applications

Svetunʹkov, Sergej Gennadʹevič; Svetunkov, Ivan - 2024

Chapter 1. Introduction to theory of complex variables -- Chapter 2. Simple Complex Linear Regression -- Chapter 3. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of Complex Linear Models -- Chapter 6. Complex Dynamic...

Persistent link: https://www.econbiz.de/10014631750

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, Antonio - 2019

In this paper we develop a class of applied probabilistic continuous time but discretized state space decompositions of the characterization of a multivariate generalized diffusion process. This decomposition is novel and, in particular, it allows one to construct families of mimicking classes...

Persistent link: https://www.econbiz.de/10012904432

Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

Persistent link: https://www.econbiz.de/10014343662

Risk Tuning With Generalized Linear Regression

Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - 2007

A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of...

Persistent link: https://www.econbiz.de/10014225148

Preference externality estimators : a comparison of border approaches and ivs

Li, Xing; Hartmann, Wesley R.; Amano, Tomomichi - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7892-7910

Persistent link: https://www.econbiz.de/10015144425

Teaching about heterogeneous response models

Murray, Michael P. - In: The journal of economic education 45 (2014) 2, pp. 110-120

Persistent link: https://www.econbiz.de/10010490644