Search Results - subject:"CORRELATION"

Cross-section without factors : a string model for expected returns

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718

Persistent link: https://www.econbiz.de/10015050788

Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively … with the other asset returns over the investor’s prospective horizon. And because correlation is an average of sub …

Persistent link: https://www.econbiz.de/10014343662

Robust inference on correlation under general heterogeneity

Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - In: Journal of econometrics 240 (2024) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015075086

Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis

Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2024 - This version: July 12, 2024

The shocks in structural vector autoregressive (VAR) analysis are typically assumed to be instantaneously uncorrelated. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable. Correlated shocks may be obtained even if the proxies are...

Persistent link: https://www.econbiz.de/10014633772

Statistical analysis of global debt in the world economy

Firsanova, Violetta - In: Technology audit and production reserves 4 (2024) 4/78, pp. 38-42

Persistent link: https://www.econbiz.de/10015078752

Long monthly European temperature series and the North Atlantic Oscillation

He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - 2023

Persistent link: https://www.econbiz.de/10014281994

Putting all eggs in one basket : some insights from a correlation inequality

Dubey, Pradeep; Sahi, Siddhartha; Wang, Guanyang - 2024

Persistent link: https://www.econbiz.de/10014575655

Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024

Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation …

Persistent link: https://www.econbiz.de/10014505308

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial … and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas …

Persistent link: https://www.econbiz.de/10014632198

Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID‑19 pandemic with fractal, chaos, and randomness : evidence from a large dataset

Lahmiri, Salim - In: Financial innovation : FIN 10 (2024), pp. 1-12

, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the …

Persistent link: https://www.econbiz.de/10014541840

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