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Italian Cities SDGs composite index : a methodological approach to measure the Agenda 2030 at urban level
Farnia, Luca; Cavalli, Laura; Vergalli, Sergio - 2019
In this paper we calculate the Italian Cities Sustainable Development Goals (SDGs) Composite Index potentially useful … dimensions representing 16 out of 17 SDGs adopted by the United Nations at the end of September 2015, the index merges 53 …
Persistent link: https://www.econbiz.de/10012052252
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
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CDS Proxy Construction via Machine Learning Techniques Part II : Parametrization, Correlation, Benchmarking
Brummelhuis, Raymond - 2019
This article is the second of two articles by the authors on the construction of CDS proxy rates. In the first article, the authors proposed a machine learning (ML) -based proxy-rate construction technique which uses classification to construct so-called Proxy-Names whose liquidly quoted CDS...
Persistent link: https://www.econbiz.de/10012892865
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Improving Portfolio Allocation Through Covariance Matrix Filtering
Golden, Daron - 2017
eigen-structure of the sample correlation matrix. This paper compares the filtering methods using a theoretical eigen … are identified. The sample correlation matrix suffers from excess dispersion in its eigenvalues and excess dispersion in … the sample covariance matrix, its diagonal elements and the covariance matrix based on the constant correlation model …
Persistent link: https://www.econbiz.de/10012965654
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Currency Hedge Design : Accounting for Uncertain Correlation and Volatility
Seymour, Anthony - 2016
framework and that the particular choice of hedge is strongly dependent on the correlation between the exchange rate and the … currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic … conditional correlation (DCC) model in a simulation framework allows one to incorporate the effects of time-varying parameters …
Persistent link: https://www.econbiz.de/10012994157
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Bootstrap Methods for Covariance Structures
Horowitz, Joel L. - 1998
The optimal minimum distance (OMD) estimator for models of covariance structures is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample...
Persistent link: https://www.econbiz.de/10014075738
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Robustness of a Noise Filtering Procedure for Correlation Matrices : B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices
Izmailov, Alexander - 2014
noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …
Persistent link: https://www.econbiz.de/10013060875
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Robustness of a Noise Filtering Procedure for Correlation Matrices : A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices
Izmailov, Alexander - 2014
noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately … contaminated with noise. The final, noise filtered correlation matrices, were practically the same in both cases (by simple visual … between off-diagonal elements of correlation matrices obtained as a result of noise filtering of empirical correlation matrix …
Persistent link: https://www.econbiz.de/10013060876
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Extraordinary Stability of Noise-Filtered Correlation Matrices
Izmailov, Alexander - 2014
Demonstration of the extraordinary out-of-sample stability of noise-filtered correlation matrices measured in terms of ….Study of the out-of-sample stability of noise-filtered correlation matrices as a function of number of securities and history …
Persistent link: https://www.econbiz.de/10013060882
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Filtering Noise from Correlation Matrices (Detection of Correlation Diversion, Pairs Trading, Risk Analysis, Et Al.)
Izmailov, Alexander - 2014
Demonstration of the omnipresence of noise in financial correlation/covariance matrices revealed by means of random … matrix theory, a branch of probability theory.Introduction of the Shannon entropy as a measure of noise in correlation … filtering noise from correlation matrices. This noise is the inevitable consequence of the imperfection of traditional modeling …
Persistent link: https://www.econbiz.de/10013060895