Search Results - subject_exact:"Analysis of variance"

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447991

Functional repeated measures analysis of variance and its application

Kuryło, Katarzyna; Smaga, Łukasz - 2024

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015125582

ANOVA-HDFE: Fast Variance Decomposition with High-Dimensional Fixed Effects and an Application to Trade Flows

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461454

Empowering Arab women through wage equality : a comprehensive analysis of wage disparities and strategies for promoting equal pay in the Arab region

2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372626

The conditional autoregressive F-riesz model for realized covariance matrices

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271649

Graph-based methods for forecasting realized covariances

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339744

Improving minimum-variance portfolio through shrinkage of large covariance matrices

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193796

A common component of Fama and French factor variances

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359779

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015386846

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

Capera Romero, Laura; Opschoor, Anne - 2025

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419907

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447227

Variance decomposition and cryptocurrency return prediction

Lee, Suzanne S.; Wang, Minho - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451355

Variance of the generalized regression estimator under measurement error

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407679

Asset allocation with factor-based covariance matrices

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433232

Blockchains effects on responsiveness to recalls in the food and beverage industry

Keramati, Abbas; Siau, Bethany; Bellitto, Tyler; … - 2025

Blockchain technology, by revolutionizing the way businesses use data, is shifting the cost-responsiveness frontier. While the most popular application of blockchain is cryptocurrency, nowadays it is touching many other businesses including the food and beverage industry. This paper is a short...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433614

Testing mean densities with an application to climate change in Vietnam

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436677

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437097

Eine Ikonographie thermodynamischer Systemwirkungen für die Analyse von "Handlungen"

Krcal, Hans-Christian - 2025

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437882

Multivariate dynamic mixed-frequency density pooling for financial forecasting

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441556

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492652

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506719

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614265

On the optimality of linear residual risk sharing

Yang, Jiajie; Wei, Wei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550236

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

Reichel, Felix - 2025

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376726

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015398295

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

Fathi, Masoumeh; Grobys, Klaus - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534177

Positive-definite converging Kernel estimation of long-run variance

Liu, Xu; Chan, Kin Wai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534442

Forecasting the realized variance in the presence of intraday periodicity

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558468

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Forecasting the Realized Variance in the Presence of Intraday Periodicity

Dumitru, Ana-Maria H. - 2019

Book / Working Paper

Forecasting the realized variance in the presence of intraday periodicity

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

Book / Working Paper

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

Honig, Igor; Kircher, Felix - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558692

Improvement of process capability analysis through Six Sigma methodology : a case study in the capacitor manufacturing industry

Raman, Ravi Shankar; Basavaraj, Yadavalli; Nidhi Singh; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015442001

Optimization strategy for the modeling and estimation of interactive effects

Hu, Xiaohui - 2024

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015054100

Portfolio selection with a rank-deficient covariance matrix

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636734

Show one more version 1

Portfolio selection with a rank-deficient covariance matrix

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

Book / Working Paper

Measurement invariance testing in partial least squares structural equation modeling

Liengaard, Benjamin Dybro - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551490

Asymmetric models for realized covariances

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668322

Show one more version 1

Asymmetric models for realized covariances

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

Book / Working Paper

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

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015084447

The variance of regression coefficients when the population is finite

Startz, Richard; Steigerwald, Douglas G. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075057

Statistical analysis of global debt in the world economy

Firsanova, Violetta - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078752

Sparse portfolio selection via topological data analysis based clustering

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014485759

The topological structure of panel variance decomposition networks

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533567

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014495264

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

Fornfeist, Jan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015165279

Variance-reduced risk inference in semi-supervised settings

Einmahl, John H. J.; Peng, Liang - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015114538

Science or scientism? : on the momentum illusion

Grobys, Klaus - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015188762

Covariate adjustment in stratified experiments

Cytrynbaum, Max - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015189773

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; … - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192454

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015173647

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Ghanbari, Hamed - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179565

Intellectual capital forecasting for invention patent through machine learning model

Wang, Mei-Hsin; Che, Hui-Chung - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419528

Dynamic load impact on protocols in mesh : an ANOVA test evaluation

Alameri, Ibrahim; Komárková, Jitka; Al-Hadhrami, Tawfik - 2024

This paper takes a deep dive into mesh routing protocols, unraveling how they hold up under the pressures of varying node densities and the hustle and bustle of mobility. This paper included robust and advanced non-parametric statistical tests-think Kruskal-Wallis and Mann-Whitney-to figure out...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426557

Are minimum variance portfolios in multi-factor models long in low-beta assets?

Steland, Ansgar - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045588