Recently, there has been much discussion about replicability and credibility. By integrating the full research record, increasing statistical power, reducing bias and enhancing credibility, meta-analysis is widely regarded as 'best evidence'. Through Monte Carlo simulation, closely calibrated on...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Financial analysts assume that the reliability of predictions derived from regression analysis improves with sample size. This is generally true because larger samples tend to produce less noisy results than smaller samples. But this is not always the case. Some observations are more relevant...

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

Factor investing has gained widespread acceptance among institutional investors. Some investors believe it is preferable to stratify the investment universe into factors to manage portfolio risk more effectively, while other investors focus on factors because they believe they yield risk...

In der Literatur wird zunehmend untersucht, inwieweit Enthüllungsrisiken durch multivariate Analysemethoden beim indirekten Mikrodatenzugang über die kontrollierte Datenfernverarbeitung (Remote Access) bestehen. Daran anschließend zeigt der Beitrag, wie die Schwerpunkteigenschaft der...

In der Literatur wird zunehmend untersucht, inwieweit Enthüllungsrisiken durch multivariate Analysemethoden beim indirekten Mikrodatenzugang über die kontrollierte Datenfernverarbeitung (Remote Access) bestehen. Daran anschließend zeigt der Beitrag, wie die Schwerpunkteigenschaft der...

Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...

The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...

Most Difference-in-Difference (DD) papers rely on many years of data and focus on serially correlated outcomes. Yet almost all these papers ignore the bias in the estimated standard errors that serial correlation introduces. This is especially troubling because the independent variable of...