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Year of publication
Subject
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Varianzanalyse 1,184 Analysis of variance 1,170 Theorie 637 Theory 636 USA 387 United States 387 Volatility 189 Volatilität 188 Estimation 183 Schätzung 183 Schätztheorie 178 Estimation theory 176 Portfolio selection 169 Portfolio-Management 169 Zeitreihenanalyse 123 Time series analysis 122 Capital income 118 Kapitaleinkommen 118 Forecasting model 113 Prognoseverfahren 113 Correlation 104 Korrelation 102 Börsenkurs 99 Share price 99 analysis of variance 96 Regressionsanalyse 89 Regression analysis 80 ARCH model 75 ARCH-Modell 75 Statistical test 72 Statistischer Test 72 Monte Carlo simulation 63 Monte-Carlo-Simulation 62 Deutschland 55 Multivariate Analyse 54 Statistical distribution 54 Statistische Verteilung 54 Germany 52 Multivariate analysis 51 Risikomaß 51
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Online availability
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Free 358 Undetermined 220
Type of publication
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Article 787 Book / Working Paper 528
Type of publication (narrower categories)
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Article in journal 654 Aufsatz in Zeitschrift 654 Graue Literatur 334 Non-commercial literature 334 Working Paper 320 Arbeitspapier 317 Aufsatz im Buch 63 Book section 63 Hochschulschrift 56 Thesis 51 Collection of articles written by one author 9 Sammlung 9 Lehrbuch 7 Textbook 7 Article 6 Aufsatzsammlung 3 Bibliografie enthalten 3 Bibliography included 3 Case study 3 Fallstudie 3 Forschungsbericht 3 Reprint 3 Einführung 2 Collection of articles of several authors 1 Conference paper 1 Dissertation u.a. Prüfungsschriften 1 Konferenzbeitrag 1 Konferenzschrift 1 Market information 1 Marktinformation 1 Mehrbändiges Werk 1 Multi-volume publication 1 Report 1 Sammelwerk 1 Systematic review 1 Tabelle 1 Übersichtsarbeit 1
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Language
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English 1,132 German 95 Undetermined 77 French 6 Spanish 3 Czech 1 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 Dette, Holger 8 Barndorff-Nielsen, Ole E. 7 Christensen, Kim 7 Ferrer-i-Carbonell, Ada 7 Hartung, Joachim 7 Okhrin, Yarema 7 Watanabe, Toshiaki 7 Andersen, Torben 6 Bollerslev, Tim 6 Fengler, Matthias R. 6 Gao, Jiti 6 Hansen, Peter Reinhard 6 Herrmann, Andreas 6 McAleer, Michael 6 Shephard, Neil G. 6 Voev, Valeri 6 Zeileis, Achim 6 Amisano, Gianni 5 Azadeh, Mohammad Ali 5 Croux, Christophe 5 Dew-Becker, Ian 5 Erlenmaier, Ulrich 5 Geweke, John 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
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Institution
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Centre for Analytical Finance <Århus> 3 National Bureau of Economic Research 3 Queen Mary College / Department of Economics 3 European Central Bank 2 Forschungsinstitut zur Zukunft der Arbeit 2 International Food Policy Research Institute (IFPRI) 2 International Monetary Fund (IMF) 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 Dalhousie University / Research Seminar 1 Departamento de Economia, Universidade de Évora 1 Department of Agricultural Economics, University of Khartoum 1 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 1 Dipartimento di Studi Sullo Sviluppo Economico (DISSE), Università degli Studi di Macerata 1 Econometrisch Instituut <Rotterdam> 1 Economic Research Service, Department of Agriculture 1 Economics Research, World Bank Group 1 European University Institute / Department of Economics 1 Fachbuchverlag Leipzig in Carl Hanser GmbH & Co. KG 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute of Cost and Management Accountants 1 Internationaler Währungsfonds 1 Judge Institute of Management Studies 1 London School of Economics (LSE) 1 London School of Economics and Political Science 1 Mathematica Policy Research 1 Research Seminar on Multivariate Statistical Analysis <1, 1972, Halifax, Nova Scotia> 1 Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund> 1 Springer-Verlag GmbH 1 USDA, ARS 1 University of British Columbia / Finance Division 1 University of Chicago / Graduate School of Business 1 University of Exeter / Department of Economics 1 Université Paris-Dauphine (Paris IX) 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 Journal of empirical finance 11 SFB 649 discussion paper 11 Discussion paper / Tinbergen Institute 10 International journal of productivity and quality management : IJPQM 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 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 Applied economics 7 Journal of the American Statistical Association : JASA 7 Psychometrika 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 Journal of business ethics : JOBE 6 Sage university papers / 7 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 International journal of services and operations management 5 Marketing : ZFP ; journal of research and management 5 Organizational research methods : ORM 5
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Source
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ECONIS (ZBW) 1,188 RePEc 74 USB Cologne (EcoSocSci) 37 EconStor 9 BASE 7
Showing 1 - 50 of 1,315
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The performance of shrinkage estimator for stock portfolio selection in case of high dimensionality
Nhat Minh Nguyen; Nguyen Trung Duc; Thalassinos, Eleftherios - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-12
Harry Markowitz introduced the Modern Portfolio Theory (MPT) for the first time in 1952 which has been applied widely for optimal portfolio selection until now. However, the theory still has some limitations that come from the instability of covariance matrix input. This leads the selected...
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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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Sparse Graphical Modelling for Minimum Variance Portfolios
Riccobello, Riccardo; Bonaccolto, Giovanni; Kremer, Philipp - 2022
Graphical models have shown remarkable performance in uncovering the conditional dependence structure across a set of given variables. In this paper, we introduce two new graphical modelling approaches—called Gslope and Tslope—to the portfolio selection literature for directly estimating the...
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Bayesian Estimation of Block Covariance Matrices
Creal, Drew; Kim, Jaeho - 2022
We develop estimation methods for Bayesian models where the covariance matrix has a block structure. A block covariance matrix partitions the data into groups or blocks; variances and covariances are equal within blocks while covariances are equal across blocks. We derive the posterior and...
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Probability Distributions and GAS Models for Realized Covariance Matrices
Stollenwerk, Michael - 2022
Realized covariance matrices (RCs) are an important input to asses the risks involved in different investment allocations and it is thus useful to model and forecast them. To this end generalized autoregressive score (GAS) models are employed in this paper. These models are ideal for comparing...
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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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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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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
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Executives' knowledge management and emotional intelligence role : dynamizing factor towards open innovation
Blázquez Puerta, Carmen Dolores; Bermúdez González, … - In: Journal of open innovation : technology, market, and … 7 (2021) 1/83, pp. 1-16
The main aim of this empirical research was to classify the profiles of executives of Spanish companies. We classified the executives' profiles based on two key factors of innovation: knowledge management and emotional intelligence. The sample comprised study 241 executives of Spanish companies,...
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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
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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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Time-varying Minimum Variance Portfolio
Fan, Qingliang; Wu, Ruike; Yang, Yanrong; Zhong, Wei - 2021
This paper proposes a new time-varying minimum variance portfolio (TV-MVP) in a large investment universe of assets. Our method extends the existing literature of minimum variance portfolio by allowing for time-varying factor loadings, which is the facilitator to capture the dynamics of asset...
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Income Satisfaction Inequality and its Causes
Ferrer-i-Carbonell, Ada; van Praag, B.M.S - 2021
In this paper, the concept of Income Satisfaction Inequality is operationalized on the basis of individual responses to an Income Satisfaction question posed in the German Socio-Economic Panel (GSOEP). Income satisfaction is the subjective analogue of the objective income concept and includes...
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Inference of jumps using wavelet variance
Chen, Heng; Shintani, Mototsugu - 2021
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Returns to Education and Wage Equations
Pereira, Pedro Telhado; Martins, Pedro S. - 2021
We show why considering a number of education-dependent covariates in the wage equation decreases coefficient of education in the wage equation. We use a meta-analysis of results for Portugal to show, empirically, that this is the case. The coefficient decreases when we use covariates that can...
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Using Analysis of Gini (Anogi) for Detecting Whether Two Sub-Samples Represent the Same Universe : The SOEP Experience
Frick, Joachim R.; Goebel, Jan; Schechtman, Edna; … - 2021
A particular shortcoming of panel surveys is potential bias arising from selective attrition. Based on data from the German Socio-Economic Panel Study (SOEP) we analyze potential artifacts (level, structure, inequality of income) by comparing results from two independently drawn panel...
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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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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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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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Uso del diseño de experimentos para la innovación empresarial
Delgado Fernández, Mercedes - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 38-56
The article deals with the use of experimental design in business innovation projects. Firstly, the foundations of experimental design are presented, with special emphasis on the process approach and its applicability in innovation. The second section proposes a guide for its application in...
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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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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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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...
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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...
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Grouped normal variance mixtures
Hintz, Erik; Hofert, Marius; Lemieux, Christiane - In: Risks : open access journal 8 (2020) 4/103, pp. 1-26
Grouped normal variance mixtures are a class of multivariate distributions that generalize classical normal variance mixtures such as the multivariate t distribution, by allowing different groups to have different (comonotone) mixing distributions. This allows one to better model risk factors...
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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
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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
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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
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Consumer response tendency and its implications for satisfaction and recommendation intention
Kato, Takumi - In: Journal of global scholars of marketing science : … 32 (2022) 2, pp. 269-284
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Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher; Bessler, Wolfgang; Conlon, Thomas - In: Journal of empirical finance 65 (2022), pp. 24-50
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Reduction of variation and control parameters optimising in a cement-bags company
Shehata, Abdelrahman S.; Heshmat, Mahmoud; El-Sharief, … - In: International journal of process management and … 12 (2022) 3, pp. 321-347
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Robust inference in models identified via heteroskedasticity
Lewis, Daniel J. - In: The review of economics and statistics 104 (2022) 3, pp. 510-524
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Contribution of green manufacturing for realizing business performance in Indian small and medium scale organizations (SME's)
Singh, Mahakdeep; Singh, Kanwarpreet; Sethi, Amanpreet Singh - In: Journal of science and technology policy management : JSTPM 13 (2022) 2, pp. 329-357
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Research on using Six Sigma management to improve bank customer satisfaction
Zhuo, Zhiyi - In: International Journal of Quality Innovation 5 (2019) 1, pp. 1-14
In the banking industry, which aims to serve customers, management level and service level are one of the criteria for measuring the core competitiveness of banks. An important indicator of management and service levels is to ensure customer satisfaction with the bank used. Six Sigma management...
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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
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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...
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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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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...
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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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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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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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Stakeholders' perception for development of an entrepreneurial and innovative institution
Carmen, Gasparotti; Rusu, Eugen - In: EuroEconomica 38 (2019) 2, pp. 365-382
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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 based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012215175
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Research on using Six Sigma management to improve bank customer satisfaction
Zhuo, Zhiyi - In: International journal of quality innovation 5 (2019) 3, pp. 1-14
In the banking industry, which aims to serve customers, management level and service level are one of the criteria for measuring the core competitiveness of banks. An important indicator of management and service levels is to ensure customer satisfaction with the bank used. Six Sigma management...
Persistent link: https://ebtypo.dmz1.zbw/10012210784
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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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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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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,...
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