Tests for Categorical Data Beyond Pearson: A Distance Covariance and Energy Distance Approach. [PDF]
Biom JCastro-Prado F +4 more
europepmc +1 more source
Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations
International Journal of Finance &Economics, EarlyView.ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein +2 more
wiley +1 more source
Monte Carlo Simulation with Asymptotic Method (Published in "Journal of Japan Statistical Society", Vol.35-2, 171-203, 2005. ) [PDF]
We shall propose a new computational scheme with the asymptotic method to achieve variance reduction of Monte Carlo simulation for numerical analysis especially in finance. We not only provide general scheme of our method, but also show its effectiveness
Nakahiro Yoshida, Akihiko Takahashi
core
On the Evolution of the Stock Market Efficiency: Evidence From Emerging Markets
International Studies of Economics, EarlyView.ABSTRACT The study of market efficiency is one of the most covered topics in the field of financial markets, with the Efficient Market Hypothesis gathering devotees as well as several critics. The perception of markets as agents with an adaptive nature gave rise to the Adaptive Market Hypothesis (AMH).
Júlio Lobão, Luís Pacheco, Nuno Cruz
wiley +1 more source
Causal K-Means Clustering. [PDF]
J R Stat Soc Series B Stat MethodolKim K, Kim J, Kennedy EH.
europepmc +1 more source
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters [PDF]
Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limiting distributions when the null hypothesis is composite-that is, when parameters of the null model are estimated.
Thomas Parker
core
Nonparametric Tests for Exponentiality Against IFRA Alternatives Based on Cumulative Extropy Measures. [PDF]
Entropy (Basel)Alqefari AA.
europepmc +1 more source
Journal of Applied Econometrics, EarlyView.ABSTRACT The effects of monetary policy shocks are regularly estimated using high‐frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock.
Pooyan Amir‐Ahmadi +2 more
wiley +1 more source
Vision and Influence in Econometrics: John Denis Sargan [PDF]
Denis Sargan's intellectual influence in econometrics is discussed and some of his visions for the future of econometrics are considered in this memorial article.
Peter C.B. Phillips
core