Search Results - subject_exact:"Measure of dispersion"

Li, Kai; Li, Yingying; Lyu, Changlei; Yu, Jialin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458839

Whelan, Karl - 2025

Ellsberg's paradox shows that people prefer gambles with known probabilities to those where they are uncertain. Standard explanations rule out risk aversion by appealing to Savage's (1954) subjective expected utility theory but this axiomatic approach leaves open other interpretations of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015484424

Non-standard errors in carbon premia

Beyer, Victor; Bauckloh, Michael Tobias - 2024

This research investigates the influence of methodological choices in portfolio sorts on the size of the carbon premium. By analyzing more than 100,000 methodological paths, we find that variations in the construction of brown-minus-green portfolios create substantial non-standard errors. From...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014631855

Max-share misidentification

Dou, Liyu; Ho, Paul; Lubik, Thomas A. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190615

When should you adjust standard errors for clustering?

Abadie, Alberto; Athey, Susan; Imbens, Guido; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013547709

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When should you adjust standard errors for clustering?

Abadie, Alberto; Athey, Susan; Imbens, Guido; … - 2017

Book / Working Paper

When should you adjust standard errors for clustering?

Abadie, Alberto; Athey, Susan; Imbens, Guido; … - 2017

Book / Working Paper

When Should You Adjust Standard Errors for Clustering?

Abadie, Alberto - 2017

Book / Working Paper

When Should You Adjust Standard Errors for Clustering?

Abadie, Alberto - 2017

Book / Working Paper

How do empirical estimators of popular risk measures impact pro-cyclicality?

Bräutigam, Marcel; Kratz, Marie - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014436789

Variance estimation of changes in overlapping samples : an application to the Italian survey on service turnover

Chianella, Diego - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014266702

Cross-sectional gravity models, PPML estimation, and the bias correction of the two-way cluster-robust standard errors

Pfaffermayr, Michael - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014362890

Non-standard errors

Bosch-Rosa, Ciril; Kassner, Bernhard - 2023

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014478337

Revisiting the origins of business cycles with the size-variance relationship

Yeh, Chen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463159

Non-Standard Errors in Portfolio Sorts

Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022

We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013404257

Non-standard Errors

Jurkatis, Simon; Ferrara, Gerardo - 2022

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013297339

Asset price dynamics with limited attention

Hendershott, Terrence; Menkveld, Albert J.; Praz, Rémy; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012878980

Regularized gmm for time-varying models with applications to asset pricing

Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014538940

MPT and CAPM mismeasure risk

Smith, Gary - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652177

Should we trust clustered standard errors? : a comparison with randomization-based methods

Paz, Lourenço Senne; West, James E. - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012036306

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Should We Trust Clustered Standard Errors? a Comparison with Randomization-Based Methods

Paz, Lourenco; West, James E. - 2021

Book / Working Paper

Should We Trust Clustered Standard Errors? A Comparison with Randomization-Based Methods

Paz, Lourenço Senne - 2019

Book / Working Paper

Understanding persistence

Kelly, Morgan - 2020

A large literature on persistence finds that many modern outcomes strongly reflect characteristics of the same places in the distant past. These studies typically combine unusually high t statistics with severe spatial autocorrelation in residuals, suggesting that some findings may be artefacts...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012285404

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Understanding persistence

Kelly, Morgan - 2020

Book / Working Paper

Up- and downside variance risk premia in global equity markets

Held, Matthias; Kapraun, Julia; Omachel, Marcel; … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012521039

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Up- and downside variance risk premia in global equity markets

Held, Matthias - 2015

Article

Up- and Downside Variance Risk Premia in Global Equity Markets

Held, Matthias - 2020

Book / Working Paper

Swap variance hedging and efficiency : the role of high moments

Chow, K. Victor; Li, Bingxin; Wang, Zhan - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014375401

Heteroskedasticity-robust standard errors for dynamic panel data models with fixed effects

Han, Chirok; Kim, Hyoungjong - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014362891

At what level should one cluster standard errors in paired and small-strata experiments?

Chaisemartin, Clément de; Ramirez-Cuellar, Jaime - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480232

Optimality of matched-pair designs in randomized controlled trials

Bai, Yuehao - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014229433

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Optimality of Matched-Pair Designs in Randomized Controlled Trials

Bai, Yuehao - 2019

Book / Working Paper

Economics of downside risk

Spanaus, Conrad - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012128179

Bivariate FCLT for the sample quantile and measures of dispersion for augmented GARCH(p, q) processes

Bräutigam, Marcel; Kratz, Marie - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012138444

Testing constancy in varying coefficient models

Delgado, Miguel A.; Arteaga-Molina, Luis A. - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011990854

Valid t-ratio inference for IV

Lee, David S.; McCrary, Justin; Moreira, Marcelo J.; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014229317

On the dependence between quantiles and dispersion estimators

Brautigam, Marcel; Kratz, Marie - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012135476

Disquiet on the Weather Front : The Welfare Impacts of Climatic Variability in the Rural Philippines

Safir, Abla - 2017

Three recent rounds (2003, 2006, and 2009) of the Family Income and Expenditure Survey are matched to rainfall data from 43 rainfall stations in the Philippines to quantify the extent to which unusual weather has any negative effects on the consumption of Filipino households. It is found that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012974065

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Disquiet on the Weather Front : The Welfare Impacts of Climatic Variability in the Rural Philippines

Safir, Abla - 2013

Book / Working Paper

The costs of simplicity : why multilevel models may benefit from accounting for cross-cluster differences in the effects of controls

Heisig, Jan Paul; Schaeffer, Merlin; Giesecke, Johannes - 2017

Context effects, where a characteristic of an upper-level unit or cluster (e.g., a country) affects outcomes and relationships at a lower level (e.g., that of the individual), are a primary object of sociological inquiry. In recent years, sociologists have increasingly analyzed such effects...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011900900

An application of the put-call-parity to variance reduced Monte-Carlo option pricing

Müller, Armin - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011479909

Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions : invariance and finite-sample distributional theory

Tchakota, Firmin Doko; Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011502519

Inference in regression discontinuity designs with a discrete running variable

Kolesár, Michal; Rothe, Christoph - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011898871

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Inference in regression discontinuity designs with a discrete running variable

Kolesár, Michal; Rothe, Christoph - 2016

Book / Working Paper

Inference with large clustered datasets

MacKinnon, James G. - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011801754

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Inference with large clustered datasets

MacKinnon, James G. - 2016

Book / Working Paper

Measurement errors and monetary policy : then and now

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011472366

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Measurement Errors and Monetary Policy : Then and Now

Amir Ahmadi, Pooyan - 2015

Book / Working Paper

Climate Sensitivity Uncertainty : When is Good News Bad?

Freeman, Mark - 2015

Climate change is real and dangerous. Exactly how bad it will get, however, is uncertain. Uncertainty is particularly relevant for estimates of one of the key parameters: equilibrium climate sensitivity—how eventual temperatures will react as atmospheric carbon dioxide concentrations double....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013029035

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Climate Sensitivity Uncertainty : When is Good News Bad?

Freeman, Mark C. - 2015

Book / Working Paper

The variance risk premium and fundamental uncertainty

Conrad, Christian; Stürmer, Karin - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011431141

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The variance risk premium and fundamental uncertainty

Conrad, Christian; Stürmer, Karin - 2015 - This version: February 24, 2015

Edition: This version: February 24, 2015

Book / Working Paper

Climate sensitivity uncertainty : when is good news bad?

Freeman, Mark C.; Wagner, Gernot; Zeckhauser, Richard - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010488266

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Climate sensitivity uncertainty : when is good news bad?

Freeman, Mark C.; Wagner, Gernot; Zeckhauser, Richard - 2015

Book / Working Paper

Cumulative paired Phi-entropy

Klein, Ingo; Mangold, Benedikt - 2015

A new kind of entropy will be introduced generalizing both the differential entropy and the cumulative (residual) entropy. The generalization is twofold. Firstly, we define the entropy for cumulative distribution functions (cdf) and survivor functions (sf) simultaneously instead of densities,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011300742

Downside variance risk premium

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cedric - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011408562

Up- and downside variance risk premia in global equity markets

Held, Matthias; Omachel, Marcel - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010491931

What Australian investors need to know to diversify their portfolios

Alexeev, Vitali; Tapon, Francis - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010244485

Equity portfolio diversification : how many stocks are enough? ; evidence from five developed markets

Alexeev, Vitali; Tapon, Francis - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010244490

Currency hedging over long horizons

Froot, Kenneth - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012110026

Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models

Giesen, Sebastian; Scheufele, Rolf - 2013

In this paper we analyze the small sample properties of full information and limited information estimators in a potentially misspecified DSGE model. Therefore, we conduct a simulation study based on a standard New Keynesian model including price and wage rigidities. We then study the effects of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009735826

Essays on statistics and experimental economics

Doll, Monika - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011893234

Two-way cluster-robust standard errors : a methodological note on what has been done and what has not been done in accounting and finance research

Sun, Lan; Huang, Yueh-Hsia; Ger, Tyng-Bin - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011888685

Equity Portfolio Diversification : How Many Stocks are Enough? Evidence from Five Developed Markets

Alexeev, Vitali - 2012

Choosing the number of stocks to hold in a portfolio can significantly affect its risk. We use daily observations for traded equity returns in the US, UK, Japan, Canada and Australia from 1975 to 2011 to simulate portfolios and calculate several measures of risk, including heavy tailed. For each...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013097359

Assessing forecast uncertainty : an information Bayesian approach

Mendez-Ramos, Fabian - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011736184

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Assessing Forecast Uncertainty : An Information Bayesian Approach

Mendez-Ramos, Fabian - 2017

Book / Working Paper

Semivolatility of returns as a measure of downside risk

Chambers, Donald Robert; Lu, Qin - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011655929