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Year of publication
Subject
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Analysis of variance 1,112 Varianzanalyse 1,112 Theorie 615 Theory 615 USA 372 United States 372 Volatility 184 Volatilität 184 Estimation 174 Schätzung 174 Estimation theory 167 Schätztheorie 167 Portfolio selection 163 Portfolio-Management 163 Time series analysis 121 Zeitreihenanalyse 121 Capital income 115 Kapitaleinkommen 115 Forecasting model 111 Prognoseverfahren 111 Correlation 99 Korrelation 98 Börsenkurs 96 Share price 96 Regressionsanalyse 79 Regression analysis 77 ARCH model 75 ARCH-Modell 75 Statistical test 67 Statistischer Test 67 Monte Carlo simulation 62 Monte-Carlo-Simulation 61 Statistical distribution 52 Statistische Verteilung 52 Multivariate Analyse 51 Multivariate analysis 51 Risikomaß 50 Risk measure 50 Deutschland 48 Germany 47
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Online availability
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Free 303 Undetermined 153
Type of publication
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Article 671 Book / Working Paper 444
Type of publication (narrower categories)
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Article in journal 606 Aufsatz in Zeitschrift 606 Graue Literatur 329 Non-commercial literature 329 Arbeitspapier 312 Working Paper 312 Aufsatz im Buch 63 Book section 63 Hochschulschrift 52 Thesis 48 Collection of articles written by one author 9 Sammlung 9 Lehrbuch 4 Bibliografie enthalten 3 Bibliography included 3 Case study 3 Fallstudie 3 Reprint 3 Aufsatzsammlung 2 Forschungsbericht 2 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 1,025 German 80 French 5 Spanish 2 Undetermined 2 Polish 1 Slovenian 1
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Author
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Schmid, Wolfgang 14 Caporin, Massimiliano 10 Hafner, Christian M. 10 Herwartz, Helmut 9 Bodnar, Taras 8 Barndorff-Nielsen, Ole E. 7 Christensen, Kim 7 Hartung, Joachim 7 Watanabe, Toshiaki 7 Andersen, Torben 6 Bollerslev, Tim 6 Dette, Holger 6 Fengler, Matthias R. 6 Ferrer-i-Carbonell, Ada 6 Gao, Jiti 6 Hansen, Peter Reinhard 6 Herrmann, Andreas 6 McAleer, Michael 6 Okhrin, Yarema 6 Shephard, Neil G. 6 Voev, Valeri 6 Zeileis, Achim 6 Croux, Christophe 5 Dew-Becker, Ian 5 Erlenmaier, Ulrich 5 Giglio, Stefano 5 Gribisch, Bastian 5 Hodrick, Robert J. 5 Huber, Frank 5 Kapetanios, George 5 Koopman, Siem Jan 5 Le, Anh 5 Ledoit, Olivier 5 Mammen, Enno 5 Nagakura, Daisuke 5 Podolskij, Mark 5 Renò, Roberto 5 Wolf, Michael 5 Azadeh, Mohammad Ali 4 Bauwens, Luc 4
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Institution
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Centre for Analytical Finance <Århus> 3 Queen Mary College / Department of Economics 3 Forschungsinstitut zur Zukunft der Arbeit 2 National Bureau of Economic Research 2 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 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 University Institute / Department of Economics 1 Fachbuchverlag Leipzig in Carl Hanser GmbH & Co. KG 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 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 University of British Columbia / Finance Division 1 University of Chicago / Graduate School of Business 1 University of Exeter / Department of Economics 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 23 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 16 International journal of theoretical and applied finance 13 Journal of financial econometrics : official journal of the Society for Financial Econometrics 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 International journal of hospitality management 11 SFB 649 discussion paper 11 Discussion paper / Tinbergen Institute 10 Journal of empirical finance 10 Mathematical finance : an international journal of mathematics, statistics and financial theory 10 Econometric reviews 9 Journal of banking & finance 9 CREATES research paper 8 Econometric theory 8 Economics letters 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 Applied economics 7 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 7 Journal of the American Statistical Association : JASA 7 The review of financial studies 7 European journal of operational research : EJOR 6 Global COE Hi-Stat discussion paper series 6 International journal of business excellence 6 International journal of forecasting 6 International journal of productivity and quality management : IJPQM 6 Journal of business ethics : JOBE 6 Statistical papers 6 The European journal of finance 6 Working papers in economics and statistics 6 CORE discussion papers : DP 5 Discussion paper / Centre for Economic Policy Research 5 Discussion paper series / IZA 5 Econometric Institute research papers 5 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 5 Marketing : ZFP ; journal of research and management 5 Organizational research methods : ORM 5 Research paper series / Swiss Finance Institute 5 The journal of finance : the journal of the American Finance Association 5 Working paper 5
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Source
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ECONIS (ZBW) 1,112 RePEc 3
Showing 1 - 50 of 1,115
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Exponential high-frequency-based-volatility (EHEAVY) models
Xu, Yongdeng - 2022
This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It...
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Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach
Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22
This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
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From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...
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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
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Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions
De Nard, Gianluca - 2021
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Inference of jumps using wavelet variance
Chen, Heng; Shintani, Mototsugu - 2021
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Predicting the Global Minimum Variance Portfolio
Reh, Laura - 2020
We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...
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Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures
Chou, Ray Y. - 2020
Value at risk (VaR) and expected shortfall (ES) are two of the most widely used risk measures in economics and finance. In this paper, we use a semiparametric method, together with realized variance measures, to jointly estimate structural models for the two risk measures. The semiparametric...
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Variance Risk in Global Markets
Bekaert, Geert - 2020
Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the return on variance swaps. We characterize the exposures of returns on equities, bonds and currencies in all regions of the world to U.S. based equity variance risk. We explore...
Persistent link: https://ebtypo.dmz1.zbw/10012848035
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Affine Forward Variance Models
Gatheral, Jim - 2020
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function, which can be obtained as solution of a...
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The financial transaction tax : an ANOVA assessment of selected EU countries
Raisová, Manuela; Regásková, Martina; Lazányi, Kornélia - In: Equilibrium : quarterly journal of economics and … 15 (2020) 1, pp. 29-48
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Stock index pattern discovery viaToeplitz Inverse Covariance-Based Clustering
Ouyang, Hongbing; Wei, Xiaolu; Wu, Quifeng - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 58-72
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Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk
Pyun, Sungjune - 2020
The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....
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Testing jointly for structural changes in the error variance and coefficients of a linear regression model
Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 1019-1057
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...
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Forecasting the Realized Variance in the Presence of Intraday Periodicity
Dumitru, Ana-Maria H. - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
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Semiparametric single-index predictive regression
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - 2019
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Forecasting cross-section of stock returns with realised moments
Fičura, Milan - In: European financial and accounting journal : EFAJ 14 (2019) 2, pp. 71-84
The study tests whether realised moments of stock returns (mean, variance, skewness and kurtosis) computed from daily returns over the last month, quarter and year can predict the 1-month cross-sectional stock returns of 40 US-traded liquid stocks in the period 1986-2019. The performed...
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Challenges of integrated variance estimation in emerging stock markets
Arnerić, Josip; Matković, Mario - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 713-739
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
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On permutation location-scale tests
Polko-Zając, Dominika - In: Statistics in transition : an international journal of … 20 (2019) 4, pp. 153-166
Statisticians are constantly looking for methods of statistical inference that would be both effective and would require meeting as few assumptions as possible. Permutation tests seem to fit here, as using them makes it possible to perform statistical inference in situations where classical...
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Semiparametric single-index predictive regression
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - 2019
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DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...
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Covariance prediction in large portfolio allocation
Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics : open access journal 7 (2019) 2/19, pp. 1-24
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...
Persistent link: https://ebtypo.dmz1.zbw/10012025822
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012064776
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Distance to default and probability of defaultdan experimental study
Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research : JGER 9 (2019) 32, pp. 1-12
The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. It is crucial to know which parameter effects more on DD and PD so that...
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High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Cai, Tony - 2019
This paper studies the estimation of high-dimensional minimum variance portfolio (MVP) based on the high frequency returns which can exhibit heteroscedasticity and possibly be contaminated by microstructure noise. Under certain sparsity assumptions on the precision matrix, we propose estimators...
Persistent link: https://ebtypo.dmz1.zbw/10012900204
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2019
The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...
Persistent link: https://ebtypo.dmz1.zbw/10012904964
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Observation-driven Models for Realized Variances and Overnight Returns
Opschoor, Anne - 2019
We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of incidental large observations. Applying our...
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Orthant-based variance decomposition in investment portfolios
Giner, Javier - In: European journal of operational research : EJOR 291 (2021) 2, pp. 497-511
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Variance risk premium and expected currency return : the story is different at the tails of the distribution
Sahin, Baki Cem - In: Spanish journal of finance & accounting : the official … 50 (2021) 4, pp. 409-422
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Multivariate volatility forecasts for stock market indices
Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499
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A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586
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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
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Improvement in performance measures by desirability coupled with Lean Six Sigma tool on titanium matrix composite : a novel approach
Bose, Soutrik; Nandi, Titas - In: International journal of six sigma and competitive … 13 (2021) 1/3, pp. 38-54
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Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9
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A multivariate Kernel approach to forecasting the variance covariance of stock market returns
Becker, Ralf; Clements, Adam; O'Neill, Rob - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27
This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - 2018
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Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
Casas, Isabel; Mao, Xiuping; Veiga, Helena - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011864851
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Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina; Silvennoinen, Annastiina; Teräsvirta, Timo - 2018
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Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio - 2018
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Eignung von Varianz-Kovarianz-Ansätzen und Copula-Modellen zur Risikoaggregation in bankaufsichtlichen Risikotragfähigkeitskonzepten
Graalmann, Marc-Philip; Lehrbass, Frank - 2018
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Persistent link: https://ebtypo.dmz1.zbw/10012022707
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Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns
Gribisch, Bastian - 2018
We propose a dynamic factor state-space model for high-dimensional covariance matrices of asset returns. It uses observed risk factors and assumes that the latent covariance matrix of assets and factors is observed through their realized covariance matrix with a Wishart measurement density. The...
Persistent link: https://ebtypo.dmz1.zbw/10012908082
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A Closed-Formula Characterization of the Epps Effect
Buccheri, Giuseppe - 2018
In this study we provide an analytical characterization of the impact of zero returns on the popular realized covariance estimator of Barndorff-Nielsen and Shephard (2004). In our framework, efficient price processes evolve as a semimartingale with some likelihood of repeated prices. We show...
Persistent link: https://ebtypo.dmz1.zbw/10012910542
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Biases in Variance of Decomposed Portfolio Returns
Alexeev, Vitali - 2018
Significant portfolio variance biases arise when contrasting multi-period portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P500 constituents from 2003 to 2011 demonstrates that,...
Persistent link: https://ebtypo.dmz1.zbw/10012930691
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Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices
Ledoit, Olivier - 2018
This paper establishes the first analytical formula for optimal nonlinear shrinkage of large-dimensional covariance matrices. We achieve this by identifying and mathematically exploiting a deep connection between nonlinear shrinkage and nonparametric estimation of the Hilbert transform of the...
Persistent link: https://ebtypo.dmz1.zbw/10012932617
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Unbiased Weighted Variance and Skewness Estimators for Overlapping Returns
Taylor, Stephen Michael - 2018
This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. and Lo and MacKinlay. In addition, they may be used in overlapping return variance or skewness ratio...
Persistent link: https://ebtypo.dmz1.zbw/10012933537
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Large-Dimensional Factor Modeling Based on High-Frequency Observations
Pelger, Markus - 2018
This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. We derive an estimator for the number of factors and consistent and asymptotically mixed-normal estimators of the loadings and factors under the assumption of a large number...
Persistent link: https://ebtypo.dmz1.zbw/10012937382
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Spectra of Large-Dimensional Sample Covariance Matrices
Serdobolskii, V.I. - 2018
Limit spectral theory of sample covariance matrices of increasing dimension was recently used as a base for the development of improved non-degenerating methods of multivariate statistical analysis. We present results of a numerical investigation of fundamental relations of this theory (of the...
Persistent link: https://ebtypo.dmz1.zbw/10012925415
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Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium
Casas, Isabel - 2018
This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...
Persistent link: https://ebtypo.dmz1.zbw/10012925879
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