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Year of publication
Subject
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Analysis of variance 1,037 Varianzanalyse 1,037 Theorie 563 Theory 563 USA 381 United States 381 Estimation 157 Estimation theory 157 Schätztheorie 157 Schätzung 157 Portfolio selection 146 Portfolio-Management 146 Volatility 141 Volatilität 141 Time series analysis 99 Zeitreihenanalyse 99 Capital income 94 Kapitaleinkommen 94 Forecasting model 90 Prognoseverfahren 90 Correlation 83 Korrelation 83 Regressionsanalyse 76 Börsenkurs 75 Regression analysis 75 Share price 75 ARCH model 70 ARCH-Modell 70 Statistical test 64 Statistischer Test 64 Monte Carlo simulation 60 Monte-Carlo-Simulation 59 Multivariate Analyse 51 Multivariate analysis 51 Risikomaß 49 Risk measure 49 Statistical distribution 49 Statistische Verteilung 49 Deutschland 45 Germany 44
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Online availability
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Free 249 Undetermined 133
Type of publication
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Article 650 Book / Working Paper 390
Type of publication (narrower categories)
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Article in journal 570 Aufsatz in Zeitschrift 570 Graue Literatur 320 Non-commercial literature 320 Arbeitspapier 302 Working Paper 302 Aufsatz im Buch 63 Book section 63 Hochschulschrift 49 Thesis 48 Collection of articles written by one author 8 Sammlung 8 Lehrbuch 4 Bibliografie enthalten 3 Bibliography included 3 Case study 3 Fallstudie 3 Reprint 3 Forschungsbericht 2 Aufsatzsammlung 1 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 951 German 79 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 8 Barndorff-Nielsen, Ole E. 7 Bodnar, Taras 7 Hartung, Joachim 7 Watanabe, Toshiaki 7 Christensen, Kim 6 Dette, Holger 6 Ferrer-i-Carbonell, Ada 6 Hansen, Peter Reinhard 6 Herrmann, Andreas 6 McAleer, Michael 6 Okhrin, Yarema 6 Shephard, Neil G. 6 Voev, Valeri 6 Zeileis, Achim 6 Andersen, Torben G. 5 Bollerslev, Tim 5 Erlenmaier, Ulrich 5 Huber, Frank 5 Kapetanios, George 5 Koopman, Siem Jan 5 Nagakura, Daisuke 5 Podolskij, Mark 5 Renò, Roberto 5 Azadeh, Mohammad Ali 4 Bauwens, Luc 4 Caporale, Guglielmo Maria 4 Chen, Jia 4 Fengler, Matthias 4 Fengler, Matthias R. 4 Frondel, Manuel 4 Gao, Jiti 4 Gersbach, Hans 4 Golosnoy, Vasyl 4 Gribisch, Bastian 4 Hautsch, Nikolaus 4 Hodrick, Robert J. 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 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 20 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 Mathematical finance : an international journal of mathematics, statistics and financial theory 10 Econometric reviews 9 Journal of empirical finance 9 CREATES research paper 8 Econometric theory 8 Economics letters 8 Journal of banking & finance 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 Working paper / Department of Econometrics and Business Statistics, Monash University 7 Global COE Hi-Stat discussion paper series 6 International journal of business excellence 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 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 European journal of operational research : EJOR 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 series / Department of Economics, Queen Mary, University of London 5 Advances in statistical analysis : AStA ; a journal of the German Statistical Society 4 Applied economics letters 4
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Source
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ECONIS (ZBW) 1,037 RePEc 3
Showing 1 - 50 of 1,040
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From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2020
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...
Persistent link: https://ebtypo.dmz1.zbw/10012249756
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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
Persistent link: https://ebtypo.dmz1.zbw/10012259943
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Observation-driven models for realized variances and overnight returns
Opschoor, Anne; Lucas, André - 2019 - This version: July 23, 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...
Persistent link: https://ebtypo.dmz1.zbw/10012056853
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10011989685
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10012158212
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012215175
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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
Persistent link: https://ebtypo.dmz1.zbw/10012213665
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012009351
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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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Unbiased weighted variance and skewness estimators for overlapping returns
Taylor, Stephen; Fang, Ming - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 2-8
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. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies...
Persistent link: https://ebtypo.dmz1.zbw/10011962867
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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
Persistent link: https://ebtypo.dmz1.zbw/10011913657
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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
Persistent link: https://ebtypo.dmz1.zbw/10011864902
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Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011864983
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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...
Persistent link: https://ebtypo.dmz1.zbw/10011823257
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Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://ebtypo.dmz1.zbw/10012175249
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Studies on European call option of binomial option pricing model using Taguchi's L27 orthogonal array
Dar, Amir Ahmad; Anuradha, N. - In: International journal of intelligent enterprise 7 (2020) 1/2/3, pp. 234-249
Persistent link: https://ebtypo.dmz1.zbw/10012177415
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IT adaptation in sugar supply chain : a study at milling level
Kumar, Rupesh; Nath, Vishnu - In: International journal of logistics systems and … 35 (2020) 1, pp. 28-49
Persistent link: https://ebtypo.dmz1.zbw/10012177733
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Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470
Persistent link: https://ebtypo.dmz1.zbw/10012232977
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Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821
Persistent link: https://ebtypo.dmz1.zbw/10012262622
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Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues
Shi, Fangquan; Shu, Lianjie; Yang, Aijun; He, Fangyi - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 8, pp. 2700-2731
Persistent link: https://ebtypo.dmz1.zbw/10012384771
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Use of Taguchi method for optimisation of process parameters of option pricing model
Dar, Amir Ahmad; Anuradha, N. - In: International journal of services, economics and management 11 (2020) 1, pp. 1-20
Persistent link: https://ebtypo.dmz1.zbw/10012256810
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Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu; Tsang, Ka Ho; Wong, Hoi Ying - In: IMA journal of management mathematics 31 (2020) 3, pp. 257-280
Persistent link: https://ebtypo.dmz1.zbw/10012258670
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Singular diffusions, constant elasticity of variance processes and logarithmic rates of return
Liu, Siqi; Melia, Adrian; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 26 (2020) 9, pp. 837-853
Persistent link: https://ebtypo.dmz1.zbw/10012207313
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Estimation and inference for linear models with two-way fixed effects and sparsely matched data
Verdier, Valentin - In: The review of economics and statistics 102 (2020) 1, pp. 1-16
Persistent link: https://ebtypo.dmz1.zbw/10012208026
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Gebührenmaßstäbe als Einflussfaktoren auf die Höhe der Hausmüllgebühren : Systematik und varianzanalytische Untersuchung
Dietz, Saskia; Richter, Magnus; Souren, Rainer - 2017
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Realized semicovariances : looking for signs of direction inside the covariance matrix
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017
Persistent link: https://ebtypo.dmz1.zbw/10012116691
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An institutional approach to trade unions’ density : the case of legal origin and political ideology
Lewkowicz, Jacek; Lewczuk, Anna - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011871839
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Taxing humans : pitfalls of the mechanism design approach and potential resolutions
Rees-Jones, Alex; Taubinsky, Dmitry - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011770369
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A Taguchi approach on optimal process control parameters for HDPE pipe extrusion process
Sharma, G. V. S. S.; Rao, R. Umamaheswara; Rao, P. Srinivasa - In: Journal of industrial engineering international 13 (2017) 2, pp. 215-228
High-density polyethylene (HDPE) pipes find versatile applicability for transportation of water, sewage and slurry from one place to another. Hence, these pipes undergo tremendous pressure by the fluid carried. The present work entails the optimization of the withstanding pressure of the HDPE...
Persistent link: https://ebtypo.dmz1.zbw/10011776519
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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
Clustered covariances or clustered standard errors are very widely used to account for correlated or clustered data, especially in economics, political sciences, or other social sciences. They are employed to adjust the inference following estimation of a standard least-squares regression or...
Persistent link: https://ebtypo.dmz1.zbw/10011697332
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Fixed-effect regressions on network data
Jochmans, Koen; Weidner, Martin - 2017
This paper studies inference on fixed effects in a linear regression model estimated from network data. An important special case of our setup is the two-way regression model, which is a workhorse method in the analysis of matched data sets. Networks are typically quite sparse and it is...
Persistent link: https://ebtypo.dmz1.zbw/10011653757
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Sparse precision matrices for minimum variance portfolios
Giacometti, Rosella; Paterlini, Sandra - In: Computational Management Science : CMS 16 (2019) 3, pp. 375-400
Persistent link: https://ebtypo.dmz1.zbw/10012053143
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Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32
Persistent link: https://ebtypo.dmz1.zbw/10012054424
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A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771
Persistent link: https://ebtypo.dmz1.zbw/10011987586
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A test for joint market efficiency from an investor’s perspective
Viswanathan, Lakshmi; Maheswaran, S.; Balasubramanian, G. - In: Theoretical economics letters 9 (2019) 5, pp. 1518-1533
Persistent link: https://ebtypo.dmz1.zbw/10012104496
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Microstructure noise and realized variance in the live cattle futures market
Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578
Persistent link: https://ebtypo.dmz1.zbw/10012114677
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Promoting and hindering factors in the introduction of fixed revenue accounting : a case study in a B2B company based on management accounting change
Hosoda, Masahiro; Myochin, Yoshitaka; Tomita, Daisuke - In: Fixed revenue accounting : a new management accounting …, (pp. 99-113). 2019
Persistent link: https://ebtypo.dmz1.zbw/10011966628
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://ebtypo.dmz1.zbw/10012162415
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Option-Implied variance asymmetry and the cross-section of stock returns
Huang, Tao; Li, Junye - In: Journal of banking & finance 101 (2019), pp. 21-36
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Estimating multifactor portfolio credit risk : a variance reduction approach
Hsieh, Ming-Hua; Lee, Yi-Hsi; Shyu, So-De; Chiu, Yu-Fen - In: Pacific-Basin finance journal 57 (2019), pp. 1-17
Persistent link: https://ebtypo.dmz1.zbw/10012170623
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Exponential smoothing of realized portfolio weights
Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237
Persistent link: https://ebtypo.dmz1.zbw/10012171651
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Beyond ANOVA : an introduction to structural equation models for experimental designs
Breitsohl, Heiko - In: Organizational research methods : ORM 22 (2019) 3, pp. 649-677
Persistent link: https://ebtypo.dmz1.zbw/10012128088
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://ebtypo.dmz1.zbw/10012139775
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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://ebtypo.dmz1.zbw/10012139780
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The VIX, the variance premium, and expected returns
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558
Persistent link: https://ebtypo.dmz1.zbw/10012149836
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019
Persistent link: https://ebtypo.dmz1.zbw/10012157341
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Disentangling the role of variance and covariance information in portfolio selection problems
Santos, André Portela - In: Quantitative finance 19 (2019) 1, pp. 57-76
Persistent link: https://ebtypo.dmz1.zbw/10012194620
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