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, two new procedures are introduced, called Dickey-Fuller Optimal (DFO), Mini-Max Subset Correlation (MMSC). The former is a …
Persistent link: https://www.econbiz.de/10013067582
This paper provides a mapping from portfolio risk diversification into the pairwise correlation between portfolios. In … diversification level, the greater is the overlap between portfolios. The overlap, in turn, leads to greater correlation between …
Persistent link: https://www.econbiz.de/10013061199
’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 prospective horizon. And because correlation is an average of sub …
Persistent link: https://www.econbiz.de/10014343662
We consider the identification of empirical models of supply and demand. As is well known, a supply-side instrument can resolve price endogeneity in demand estimation. We show that, under common assumptions, two other approaches also yield consistent estimates of the joint model: (i) a...
Persistent link: https://www.econbiz.de/10012019872
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based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency …
Persistent link: https://www.econbiz.de/10009769897
Persistent link: https://www.econbiz.de/10010385038
variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two …
Persistent link: https://www.econbiz.de/10011545109
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