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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
Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...
Persistent link: https://www.econbiz.de/10012037392
The problem of estimation of realized correlation, which is analogous to realized covariance, is compounded by effects …
Persistent link: https://www.econbiz.de/10013082359
reduced form. The analysis is applied in investigating the validity of the causal Markov condition. …
Persistent link: https://www.econbiz.de/10012177106
This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation error bound of PRs, we show that orthogonal or weakly...
Persistent link: https://www.econbiz.de/10013336165
allowing for an arbitrary covariance structure between time periods. We also suggest a third technique, based on randomization …
Persistent link: https://www.econbiz.de/10001620672
Persistent link: https://www.econbiz.de/10001580233
Currently, the commonly employed instrumental variables strategy relies on the knife-edge assumption of perfect exogeneity for valid inference. To make reliable inferences on the structural parameters under violations of exogeneity one must know the true correlation between the structural error...
Persistent link: https://www.econbiz.de/10014205574
If we conducted a competition for which statistical quantity would be the most valuable in exploratory data analysis, the winner would most likely be the correlation coefficient with a significant difference from its first competitor. In addition, most data applications contain non-normal data...
Persistent link: https://www.econbiz.de/10014084103
A possible drawback of the ordinary correlation coefficient p for two real random variables X and Y is that zero correlation does not imply independence. In this paper we introduce a new correlation coefficient p* which assumes values between zero and one, equalling zero iff the two variables...
Persistent link: https://www.econbiz.de/10014057932