Showing 61 - 70 of 147
Trimmed regions are a powerful tool of multivariate data analysis. They describe a probability distribution in Euclidean d-space regarding location, dispersion, and shape, and they order multivariate data with respect to their centrality. Dyckerhoff and Mosler (201x) have introduced the class of...
Persistent link: https://www.econbiz.de/10009019655
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...
Persistent link: https://www.econbiz.de/10009019656
It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only...
Persistent link: https://www.econbiz.de/10009019660
The decline of the middle class has been investigated as a principal aspect of social polarization (Wolfson 1994, 1997). Wang and Tsui 2000 have characterized a class of polarization measures by postulates on normalization, increasing spread and increasing bipolarity. The present paper...
Persistent link: https://www.econbiz.de/10009019661
While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent examples are given by the risk measures Value-at-Risk...
Persistent link: https://www.econbiz.de/10009019662
Die Studie untersucht Determinanten der Studiendauer und der Endnote von Kölner Studierenden im wirtschaftswissenschaftlichen Grundstudium auf Grund einer Auswertung der Prüfungsdaten. Die Ergebnisse führen zu Empfehlungen für den individuellen Aufbau des Studiums und die Konzeption...
Persistent link: https://www.econbiz.de/10009019663
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...
Persistent link: https://www.econbiz.de/10009019664
This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are in uenced by sampling errors. We establish...
Persistent link: https://www.econbiz.de/10009021669
This paper deals with some problems in the measurement of inequality when negative incomes are allowed. A helpful axiom is defined, called the Greatest Gets More axiom. Using this axiom it can be shown that the properties of some inequality measures depend on whether there are negative incomes...
Persistent link: https://www.econbiz.de/10009021670
Persistent link: https://www.econbiz.de/10009021671