Showing 1 - 10 of 29
The following research is guided by the hypothesis that products chosen on a shopping trip in a supermarket can indicate the preference interdependenciesbetween different products or brands. The bundle chosen on the trip can be regarded as the result of a global utility function. More...
Persistent link: https://www.econbiz.de/10005862002
In high-dimensional data, one often seeks a few interesting low-dimensional projections that reveal important features of the data. Projection pursuit is a procedure for searching high-dimensional data for interesting low-dimensional projections via the optimization of a criterion function...
Persistent link: https://www.econbiz.de/10005862017
This article provides a comprehensive econometric analysis of factors driving aggregatemortality rates over time. It differs from previous studies in this field by simultaneouslyconsidering an extensive set of macroeconomic, socio-economic and ecological factors asexplanatory variables. Germany...
Persistent link: https://www.econbiz.de/10005862604
This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).
Persistent link: https://www.econbiz.de/10005843151
This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.
Persistent link: https://www.econbiz.de/10005843221
This paper delevops a tools to analyse the ordering of concordance of random vectors.
Persistent link: https://www.econbiz.de/10005843302
This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.
Persistent link: https://www.econbiz.de/10005843307
Partial-least squares regression (PLS) is a statistical tool specifically designed to cope with problems like small datasets, missing values and the presence of multicollinearity . The paper proceeds first with a concise review of the PLS method.
Persistent link: https://www.econbiz.de/10005843541
In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10005843734
Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed.(...)
Persistent link: https://www.econbiz.de/10005847115