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Year of publication
Subject
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Analysis of variance 1,728 Varianzanalyse 1,728 Theorie 668 Theory 668 Estimation theory 449 Schätztheorie 449 Volatility 418 Volatilität 418 Portfolio selection 319 Portfolio-Management 319 Estimation 267 Schätzung 266 Correlation 258 Korrelation 258 Forecasting model 207 Prognoseverfahren 207 Time series analysis 197 Zeitreihenanalyse 197 Capital income 195 Kapitaleinkommen 195 ARCH model 151 ARCH-Modell 151 Börsenkurs 149 Share price 148 USA 113 United States 113 Monte Carlo simulation 110 Monte-Carlo-Simulation 110 Stochastic process 105 Stochastischer Prozess 105 Regressionsanalyse 101 Regression analysis 99 Option pricing theory 97 Optionspreistheorie 97 Statistical test 92 Statistischer Test 92 CAPM 85 Risk 82 Risiko 80 Risikomaß 80
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Online availability
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Free 617 Undetermined 366 CC license 23
Type of publication
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Article 988 Book / Working Paper 743
Type of publication (narrower categories)
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Article in journal 909 Aufsatz in Zeitschrift 909 Graue Literatur 392 Non-commercial literature 392 Arbeitspapier 364 Working Paper 364 Aufsatz im Buch 71 Book section 71 Hochschulschrift 57 Thesis 47 Collection of articles written by one author 9 Sammlung 9 Lehrbuch 6 Textbook 4 Aufsatzsammlung 3 Bibliografie enthalten 3 Bibliography included 3 Case study 3 Collection of articles of several authors 3 Fallstudie 3 Forschungsbericht 3 Reprint 3 Sammelwerk 3 Conference paper 1 Konferenzbeitrag 1 Market information 1 Marktinformation 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 1,636 German 85 French 5 Spanish 2 Undetermined 2 Polish 1 Slovenian 1
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Author
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Schmid, Wolfgang 15 Caporin, Massimiliano 12 Hafner, Christian M. 12 Bauwens, Luc 11 Bodnar, Taras 11 Christensen, Kim 10 Croux, Christophe 10 Golosnoy, Vasyl 10 Gribisch, Bastian 10 Hartung, Joachim 10 Herwartz, Helmut 10 Hodrick, Robert J. 10 Kapetanios, George 10 Liesenfeld, Roman 10 Linton, Oliver 10 Fengler, Matthias 9 Gao, Jiti 9 Podolskij, Mark 9 Bonato, Matteo 8 Ferrer-i-Carbonell, Ada 8 Inoue, Atsushi 8 Oomen, Roel C. A. 8 Opschoor, Anne 8 Voev, Valeri 8 Watanabe, Toshiaki 8 Barndorff-Nielsen, Ole E. 7 Boudt, Kris 7 Dijk, Dick van 7 Gupta, Rangan 7 Hansen, Peter Reinhard 7 Lucas, André 7 McAleer, Michael 7 Paterlini, Sandra 7 Patton, Andrew J. 7 Potter, Simon M. 7 Zhang, Xiaoyan 7 Andersen, Torben 6 Bollerslev, Tim 6 Frondel, Manuel 6 Grobys, Klaus 6
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Institution
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National Bureau of Economic Research 14 Queen Mary College / Department of Economics 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Centre for Analytical Finance <Århus> 2 Forschungsinstitut zur Zukunft der Arbeit 2 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 2 University of Canterbury / Dept. of Economics and Finance 2 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Econometrisch Instituut <Rotterdam> 1 Erasmus University Rotterdam, Econometric Institute 1 European Central Bank 1 European University Institute / Department of Economics 1 Fachbuchverlag Leipzig in Carl Hanser GmbH & Co. KG 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Institute of Cost and Management Accountants 1 Internationaler Währungsfonds 1 Judge Institute of Management Studies 1 London School of Economics and Political Science 1 Society for the Study of Economic Inequality - ECINEQ 1 Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund> 1 Springer-Verlag GmbH 1 Université de Montréal / Département de sciences économiques 1 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 1 Victoria University of Wellington / School of Economics and Finance 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
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Published in...
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Journal of econometrics 48 Finance research letters 19 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 19 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 18 International journal of theoretical and applied finance 16 Discussion paper / Tinbergen Institute 14 Economics letters 14 Journal of banking & finance 14 Journal of empirical finance 14 Journal of financial econometrics : official journal of the Society for Financial Econometrics 14 NBER working paper series 14 Working paper 14 Econometric reviews 13 Journal of financial econometrics 13 NBER Working Paper 13 Working paper / National Bureau of Economic Research, Inc. 13 Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series 12 Organizational research methods : ORM 12 Applied economics 11 Econometric theory 11 International journal of hospitality management 11 Quantitative finance 11 SFB 649 discussion paper 11 Applied mathematical finance 10 International journal of forecasting 10 CEMMAP working papers / Centre for Microdata Methods and Practice 9 CREATES research paper 9 Economic modelling 9 European journal of operational research : EJOR 9 International journal of productivity and quality management : IJPQM 9 Journal of the American Statistical Association : JASA 9 Mathematical finance : an international journal of mathematics, statistics and financial theory 9 The European journal of finance 9 Applied economics letters 8 Computational economics 8 Operations research letters 8 The review of financial studies 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 Research paper series / Swiss Finance Institute 7 The review of economics and statistics 7
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Source
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ECONIS (ZBW) 1,728 RePEc 3
Showing 1 - 50 of 1,731
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Are accelerators akin to breweries or wineries? : a Bayesian variance decomposition of accelerator and cohort effects
Avnimelech, Gil; Dushnitsky, Gary; Ellsaesser, Florian; … - In: Strategic management journal 46 (2025) 2, pp. 534-579
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A common component of Fama and French factor variances
Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025
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Graph-based methods for forecasting realized covariances
Zhang, Chao; Pu, Xingyue; Cucuringu, Mihai; Dong, Xiaowen - 2025
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The conditional autoregressive F-riesz model for realized covariance matrices
Opschoor, Anne; Lucas, André; Rossini, Luca - 2025
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Variance of the generalized regression estimator under measurement error
Brakel, Jan A. van den; Michiels, John - 2025
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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...
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Improving minimum-variance portfolio through shrinkage of large covariance matrices
Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16
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Covariate adjustment in stratified experiments
Cytrynbaum, Max - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 971-998
This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment‐covariate...
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On shrinkage covariance estimators : how inefficient is 1/N strategy of covariance estimation for portfolio selection in foreign exchange market?
Husnain, Muhammad; Ali, Shamrez; Munir, Qaiser; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-21
We investigate portfolio selection performance as in Markowitz by evaluating variance matrix estimation criteria in the currency market. This study challenges theoretically rigorous shrinkage covariance estimators using multiple evaluation metrics: systematic loss function, risk profile of...
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Firm wage effects
Kline, Patrick - 2024
This paper reviews the literature on firm wage differences and the fixed effects methods typically used to measure these differences. High wage firms tend to be more productive, larger, more sought after by workers, and to employ more credentialed and higher wage workers. The latest evidence...
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
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Effekte der digitalen Selbstwirksamkeit : eine empirische Analyse unter Berücksichtigung von Drittvariableneffekten
Fornfeist, Jan - 2024
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Science or scientism? : on the momentum illusion
Grobys, Klaus - In: Annals of finance 20 (2024) 4, pp. 479-519
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Statistical analysis of global debt in the world economy
Firsanova, Violetta - In: Technology audit and production reserves 4 (2024) 4/78, pp. 38-42
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Modeling multiplicative interaction effects in Gaussian structured additive regression models
Aschersleben, Philipp; Granna, Julian; Kneib, Thomas; … - 2024
Gaussian Structured Additive Regression provides a flexible framework for additive decomposition of the expected value with nonlinear covariate effects and time trends, unit- or cluster-specific heterogeneity, spatial heterogeneity, and complex interactions between covariates of different types....
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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...
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Measurement invariance testing in partial least squares structural equation modeling
Liengaard, Benjamin Dybro - In: Journal of business research : JBR 177 (2024), pp. 1-16
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The topological structure of panel variance decomposition networks
Celani, Alessandro; Cerchiello, Paola; Pagnottoni, Paolo - In: Journal of financial stability 71 (2024), pp. 1-19
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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...
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Optimization strategy for the modeling and estimation of interactive effects
Hu, Xiaohui - In: Prague economic papers : a bimonthly journal of … 33 (2024) 3, pp. 261-276
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...
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269
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Asymmetric models for realized covariances
Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024
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The variance of regression coefficients when the population is finite
Startz, Richard; Steigerwald, Douglas G. - In: Journal of econometrics 240 (2024) 1, pp. 1-21
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Functional repeated measures analysis of variance and its application
Kuryło, Katarzyna; Smaga, Łukasz - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 185-204
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...
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Variance-reduced risk inference in semi-supervised settings
Einmahl, John H. J.; Peng, Liang - 2024
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Are minimum variance portfolios in multi-factor models long in low-beta assets?
Steland, Ansgar - In: Mathematics and financial economics 18 (2024) 1, pp. 151-170
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Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses
Matsushita, Yukitoshi; Otsu, Taisuke; Sunada, Keita - 2024
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Sparse portfolio selection via topological data analysis based clustering
Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024
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Oil Tail Risks and the Realized Variance of Consumer Prices in Advanced Economies
Salisu, Afees; Ogbonna, Ahamuefula Ephraim; Vo, Xuan Vinh - 2023
In this study, we examine the nexus between oil tail risks and the realized variance of consumer prices in six advanced economies, namely, Canada, France, Germany, Japan, the United Kingdom, and the United States. Importantly, we estimate the oil tail risks following the Conditional...
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Forecasting Earnings Variance : Quantile-Based Vs. Residuals-Based Variance Proxies
Brunke, Luca - 2023
The aim of this study is to analyze different forecasting approaches for the variance of future earnings, compare the respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in line with former research, indicate that...
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Treatment Effect Estimation with Censored Outcome and Covariate Selection
Li, Li; Shi, Pengfei; Fan, Qingliang; Zhong, Wei - 2023
Covariates selection is essential when faced with many variables in modern causal inference in a data-rich environment. Particularly, the efficiency of the average causal effect (ACE) can be improved by including covariates only related to the outcome and reduced by including covariates related...
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An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537
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Higher moment connectedness of cryptocurrencies : a time-frequency approach
Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 793-814
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Pricing of pseudo-swaps based on pseudo-statistics
Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the...
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Generalized ratio-product cum regression variance estimator in two-phase sampling
Muhammad, Isah - In: CBN journal of applied statistics 14 (2023) 2, pp. 73-101
This study develops a flexible and efficient generalized ratio-product cum regression-type estimator of population variance utilizing auxiliary variable in two-phase sampling that incorporates the properties of ratio-type and product-type estimators. The properties of the estimator were derived...
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
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Detection of multiple structural breaks in large covariance matrices
Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861
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When it counts : econometric identification of the basic factor model based on glt structures
Frühwirth-Schnatter, Sylvia; Hosszejni, Darjus; Lopes, … - In: Econometrics : open access journal 11 (2023) 4, pp. 1-30
Despite the popularity of factor models with simple loading matrices, little attention has been given to formally address the identifiability of these models beyond standard rotation-based identification such as the positive lower triangular (PLT) constraint. To fill this gap, we review the...
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Are cryptos becoming alternative assets?
Pele, Daniel Traian; Wesselhöfft, Niels; Härdle, Wolfgang - In: The European journal of finance 29 (2023) 10, pp. 1064-1105
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Implementation of variance reduction techniques applied to the pricing of investment certificates
Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42
Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed...
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Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485
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Challenging Golden Standards in Ewma Smoothing Parameter Calibration Based on Realized Covariance Measures
Hartkopf, Jan; Reh, Laura - 2023
In this paper, we investigate the calibration of the smoothing parameter in an exponentially weighted moving average (EWMA) for realized covariance matrices. Although it is the crucial determinant in steering the dynamics of the EWMA, little attention is drawn on its calibration in many...
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El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices : evidence from a machine learning approach
Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of forecasting 42 (2023) 4, pp. 785-801
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014292795
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Realized BEKK-CAW models
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77
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Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects
Papantonis, Ioannis; Rompolis, Leonidas S.; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 171-198
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...
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Up- and Down-Correlations in Normal Variance Mixture Models
Ansari, Jonathan; Shushi, Tomer; Vanduffel, Steven - 2023
We study conditional correlations between pairs of risks in normal variance mixture models, which are widely used in risk management and finance. In particular, we examine up- and down-correlations defined as the conditional correlation between the sum of risks and an individual component,...
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Sparse Graphical Modelling for Minimum Variance Portfolios
Riccobello, Riccardo; Bonaccolto, Giovanni; Kremer, … - 2023
Graphical models have demonstrated exceptional performance in uncovering the conditional dependence structure among a given set of variables. This paper introduces two novel graphical modeling techniques: Gslope and Tslope, which use the Sorted L1-Penalized Estimator (Slope) to directly estimate...
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An Exact Test of the Improvement of the Minimum Variance Portfolio
Glabadanidis, Paskalis - 2023
I propose an exact finite sample test of the risk reduction of the global minimum variance (GMV) portfolio. The GMV test statistic is proportional to the reduction in the variance of the GMV portfolio and has a straightforward geometric and portfolio interpretation and complements the celebrated...
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436
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