Showing 1 - 10 of 18,032
It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...
Persistent link: https://www.econbiz.de/10012946531
We propose here a novel method of factor profiling (FP) for ultra high dimensional variable selection. The new method assumes that the correlation structure of the high dimensional data can be well represented by a set of low-dimensional latent factors (Fan et al., 2008). The latent factors can...
Persistent link: https://www.econbiz.de/10013143110
This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...
Persistent link: https://www.econbiz.de/10013155852
Three models are presented: AR (autoregressive), MA (moving average) and ARMA (autoregressive moving average) are common models used in time series forecasting. These three models are the various definition of each element of the General Linear Model: Y = a + b + c. For the study of linear...
Persistent link: https://www.econbiz.de/10013076067
The aim of this paper is to apply the methods of Symbolic Time Series Analysis (STSA) to series of inflation from a group of Latin-American economies. Starting with a partition of two inflation regimes, we use data symbolization for identifying temporal patterns. Afterwards the statistical...
Persistent link: https://www.econbiz.de/10014062841
This article surveys estimation in stationary time series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances - in single- and multi-period models, in the absence...
Persistent link: https://www.econbiz.de/10014056578
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It … can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature …: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well known and …
Persistent link: https://www.econbiz.de/10013314570
almost all these papers ignore the bias in the estimated standard errors that serial correlation introduces. This is … serially correlated, which will exacerbate the bias in standard errors. To illustrate the severity of this issue, we randomly …
Persistent link: https://www.econbiz.de/10001620672
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a Sequential Monte Carlo filter proposed by Fernandez-Villaverde and Rubio-Ramirez (2004) and the Kalman filter. The Sequential Monte Carlo filter exploits the nonlinear structure of the...
Persistent link: https://www.econbiz.de/10014048591
This paper proposes tests for stochastic dominance in mobility based on the empirical likelihood ratio. Two views of mobility are considered, either based on measures of absolute mobility or on transition matrices. First-order and second-order dominance conditions in mobility are first derived,...
Persistent link: https://www.econbiz.de/10014198196