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Comparing large-sample maximum Sharpe ratios and incremental variable testing
Hanke, Michael; Penev, Spiridon - In: European journal of operational research : EJOR 265 (2018) 2, pp. 571-579
Persistent link: https://www.econbiz.de/10011811449
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Likelihood-based statistical estimation from quantized data
Vardeman, Stephen B.; Lee, Chiang-Sheng - 2003
Most standard statistical methods treat numerical data as if they were real (infinitenumber- of-decimal-places) observations. The issue of quantization or digital resolution is recognized by engineers and metrologists, but is largely ignored by statisticians and can render standard statistical...
Persistent link: https://www.econbiz.de/10010511727
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Likelihood-based statistical estimation from quantized data
Vardeman, Stephen B.; Lee, Chiang-Sheng - 2003
Persistent link: https://www.econbiz.de/10001901600
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ANOVA with Summary Statistics : A Stata Macro
Butt, Nadeem Shafique - 2011
some packages can perform one-way ANOVA after generating surrogate data from summary statistics. In this short note we have …
Persistent link: https://www.econbiz.de/10013125051
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Handbook of financial econometrics, mathematics, statistics, and machine learning
Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021
, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook … finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook. Led by …
Persistent link: https://www.econbiz.de/10012061412
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An empirical investigation of US fiscal expenditures and macroeconomic outcomes
Aksoy, Yunus; Melina, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009305805
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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A nonparametric test of the predictive regression model
Juhl, Ted - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 387-394
Persistent link: https://www.econbiz.de/10010488497
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An empirical investigation of US fiscal expenditures and macroeconomic outcomes
Aksoy, Yunus; Melina, Giovanni - In: Economics letters 114 (2012) 1, pp. 64-68
Persistent link: https://www.econbiz.de/10009517283