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Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668322

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Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024

Book / Working Paper

The conditional autoregressive F-riesz model for realized covariance matrices

Opschoor, Anne; Lucas, André; Rossini, Luca - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271649

Graph-based methods for forecasting realized covariances

Zhang, Chao; Pu, Xingyue; Cucuringu, Mihai; Dong, Xiaowen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339744

Improving minimum-variance portfolio through shrinkage of large covariance matrices

Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193796

A common component of Fama and French factor variances

Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359779

Are accelerators akin to breweries or wineries? : a Bayesian variance decomposition of accelerator and cohort effects

Avnimelech, Gil; Dushnitsky, Gary; Ellsaesser, Florian; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015386846

Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment

Capera Romero, Laura; Opschoor, Anne - 2025

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015419907

Formulation of estimator for population mean in stratified successive sampling using memory-based information

Majumder, Sanjoy; Bandyopadhyay, Arnab; Gupta, Arindam - 2025

In study described in this article, we developed a memory type estimator for the population mean in stratified successive sampling. We used the past sample information together with the current sample information through hybrid exponentially weighted moving averages statistics. We have also used...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015447227

ANOVA-HDFE : fast variance decomposition with high-dimensional fixed effects and an application to trade flows

Adam, Hanna L.; Larch, Mario; Nower, Michael - 2025

Performing an analysis of variance (ANOVA) on a large dataset spanning many dimensions becomes computationally challenging or even infeasible. We develop a new, fast procedure, ANOVA-HDFE, which uses sequential linear regressions and builds on recent advances in regression analysis with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015447991

Variance decomposition and cryptocurrency return prediction

Lee, Suzanne S.; Wang, Minho - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451355

Variance of the generalized regression estimator under measurement error

Brakel, Jan A. van den; Michiels, John - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407679

Asset allocation with factor-based covariance matrices

Conlon, Thomas; Cotter, John; Kynigakis, Iason - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015433232

Testing mean densities with an application to climate change in Vietnam

Mondon, Camille; Trinh Thi Huong; Martín-Fernández, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436677

Mean-variance portfolio optimization using jackknife empirical likelihood estimation of tail conditional variance

Nargunam, Rupel; Sudheesh, K. K. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437097

Eine Ikonographie thermodynamischer Systemwirkungen für die Analyse von "Handlungen"

Krcal, Hans-Christian - 2025

Thermodynamic laws are dominant and not deniable, we need to consider those in the context of system theory. From the system's perspective the entropy issue is decisive for the evaluation of future economic options and constraints. The paper sensitizes for entropic adequate firm acts in regard...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437882

Multivariate dynamic mixed-frequency density pooling for financial forecasting

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441556

Symmetric positive semi-definite Fourier estimator of spot covariance matrix with high frequency data

Akahori, Jiro; Kambara, Reika; Liu, Nien-Lin; Mancino, … - 2025

This paper proposes a nonparametric estimator of the spot volatility matrix with high-frequency data. Our newly proposed Positive Definite Fourier (PDF) estimator produces symmetric positive semi-definite estimates and is consistent with a suitable choice of the localizing kernel. The PDF...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015492652

A minimum variance unbiased estimator of finite population variance using auxiliary information

Panigrahi, Archana; Dash, Priyaranjan; Mishra, Gopabandhu - 2025

A class of estimators of finite population variance (S_y^2) using auxiliary information has been proposed under simple random sampling without replacement (SRSWOR) scheme. An attempt has been made to derive the minimum variance unbiased estimator of finite population variance from the proposed...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015506719

π-CAPM : the classical CAPM with probability weighting and skewed assets

Driessen, Joost; Ebert, Sebastian; Koëter, Joren - 2025

We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model — the Pi-CAPM — generates several new predictions: (i) skewness has a positive price effect, amplified...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614265

On the optimality of linear residual risk sharing

Yang, Jiajie; Wei, Wei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015550236

On Bessel's correction : unbiased sample variance, the "bariance," and a novel runtime-optimized estimator

Reichel, Felix - 2025

Bessel's correction adjusts the denominator in the sample variance formula from n to n − 1 to produce an unbiased estimator for the population variance. This paper includes rigorous derivations, geometric interpretations, and visualizations. It then introduces the concept of "bariance," an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015376726

Machine learning and the forecastability of cross-sectional realized variance : the role of realized moments

Plakandaras, Vasilios; Bonato, Matteo; Gupta, Rangan; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015398295

Modeling variance risk in financial markets using power-laws : new evidence from the Garman-Klass variance estimator

Fathi, Masoumeh; Grobys, Klaus - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534177

Positive-definite converging Kernel estimation of long-run variance

Liu, Xu; Chan, Kin Wai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534442

Forecasting the realized variance in the presence of intraday periodicity

Dumitru, Ana Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558468

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Forecasting the Realized Variance in the Presence of Intraday Periodicity

Dumitru, Ana-Maria H. - 2019

Book / Working Paper

Forecasting the realized variance in the presence of intraday periodicity

Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019

Book / Working Paper

Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model

Honig, Igor; Kircher, Felix - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558692

Assessing the quality of generalized variance functions

Siems, Inken; Münnich, Ralf T. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071149

Realized candlestick wicks

Li, Yifan; Nolte, Ingmar; Nolte, Sandra; Yu, Shifan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016084010

Optimization strategy for the modeling and estimation of interactive effects

Hu, Xiaohui - 2024

Modeling policy effects in the context of high-dimensional data requires a balanced consideration of omitted interaction bias and overfitting problems. This paper investigates the role of machine learning algorithms in stabilizing estimates and demonstrates the possible regularization bias...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015054100

Item level correction : detecting, removing, and reporting common methods variance

Merkle, Adam - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015486170

Portfolio selection with a rank-deficient covariance matrix

Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636734

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Portfolio selection with a rank-deficient covariance matrix

Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021

Book / Working Paper

Comment on: eigenvalue tests for the number of latent factors in short panels

Pelger, Markus - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339148

Comment on: eigenvalue tests for the number of latent factors in short panels

Onatski, Alexei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339153

Measurement invariance testing in partial least squares structural equation modeling

Liengaard, Benjamin Dybro - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014551490

Large-dimensional portfolio selection with a high-frequency-based dynamic factor model

Tranberg Bodilsen, Simon - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339181

Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix

Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015084447

A redefined variance inflation factor : overcoming the limitations of the variance inflation factor

Salmerón-Gómez, Román; García-García, Catalina B.; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015195768

The variance of regression coefficients when the population is finite

Startz, Richard; Steigerwald, Douglas G. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015075057

Analytically pricing variance swaps under the Hawkes jump-diffusion process with liquidity risks

Wang, Ke; Guo, Xun-xiang; Wang, Yang-yang; Zhang, Hong-yu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464894

Statistical analysis of global debt in the world economy

Firsanova, Violetta - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015078752

Sparse portfolio selection via topological data analysis based clustering

Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014485759

Variance estimation for the quantification of the margin of conservatism category C

Wosnitza, Jan Henrik - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015466297

Stratifying on treatment status

Hahn, Jinyong; Ham, John C.; Ridder, Geert; Sheng, Shuyang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015466939

The topological structure of panel variance decomposition networks

Celani, Alessandro; Cerchiello, Paola; Pagnottoni, Paolo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014533567

Earnings, marriage, and the variance of family income by age, gender, and cohort

Altonji, Joseph G.; Giraldo Páez, Daniel; Hynsjö, Disa; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455646

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014495264

Functional repeated measures analysis of variance and its application

Kuryło, Katarzyna; Smaga, Łukasz - 2024

This paper is inspired by medical studies in which the same patients with multiple sclerosis are examined at several successive visits (doctor's appointments) and described by fractional anisotropy tract profiles, which can be represented as f unctions. Since the observations for each patient...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015125582

The international commonality of idiosyncratic variances

Bekaert, Geert; Wang, Xue; Zhang, Xiaoyan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015411826

Effekte der digitalen Selbstwirksamkeit : eine empirische Analyse unter Berücksichtigung von Drittvariableneffekten

Fornfeist, Jan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015165279

Portfolio optimization with estimation errors : a robust linear regression approach

Du, Yilin; He, Wenfeng; Mei, Xiaoling - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432887