Results 211 to 220 of about 4,255 (254)

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

Multicomponent stress-strength reliability analysis using the inverted exponentiated rayleigh distribution under block adaptive type-II progressive hybrid censoring and k-records. [PDF]

Sci Rep
Newer HA.
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 quantile cure model with partially functional covariate effects. [PDF]

Stat Methods Med Res
Chen CM, Peng Y.
europepmc   +1 more source

High‐Frequency Instruments With Time‐Varying Reliability: Understanding Identification in Macroeconomics

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, Christian Matthes, Mu‐Chun Wang   +2 more
wiley   +1 more source

Semiparametric outcome regression-based estimator of Mann-Whitney-type causal effect. [PDF]

BMC Med Res Methodol
Sani SS, Blette BS, Li C, Yahaya A, Dikko HG, Usman A, Wudil UJ, Dankishiya F, Hussaini N, Wester CW, Aliyu MH, Shepherd BE.   +11 more
europepmc   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

An Approach to Fisher-Rao Metric for Infinite Dimensional Non-Parametric Information Geometry. [PDF]

Entropy (Basel)
Cheng B, Tong H.
europepmc   +1 more source

Improving the Finite Sample Estimation of Average Treatment Effects Using Double/Debiased Machine Learning With Propensity Score Calibration

Journal of Applied Econometrics, EarlyView.
ABSTRACT Double/debiased machine learning (DML) uses for estimating an average treatment effect (ATE) a double‐robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment given covariates.
Daniele Ballinari, Nora Bearth
wiley   +1 more source

Likelihood-Based Non-Parametric Receiver Operating Characteristic Curve Analysis in the Presence of Imperfect Reference Standard. [PDF]

Stat Med
Sun Y, Sang P, Tian Q, Li P.
europepmc   +1 more source