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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 … motivates theoretical reasons to derive the weights of the elementary indicators in a composite index when multiple components …

Persistent link: https://www.econbiz.de/10011999119

Power Coefficient - a non-parametric indicator for measuring the time series dynamics

Pecar, B. - In: Computational finance and its applications II : [Second …, (pp. 413-421). 2006

Persistent link: https://www.econbiz.de/10003410236

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data …. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under …

Persistent link: https://www.econbiz.de/10003516408

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543