Results 231 to 240 of about 68,879 (310)

On the Open TS/ST Correspondence. [PDF]

Commun Math Phys
François M, Grassi A.
europepmc   +1 more source

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

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

How Long does it Take to Train an Elephant Random Walk. [PDF]

J Stat Phys
Fang Z.
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

Covariate adjustment in randomized clinical trials: From general theory to practical insights. [PDF]

Clin Trials
Bannick MS, Yi Y, Ye T.
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

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

Information-Entropic Deep Learning with Gaussian Process Regularisation for Uncertainty-Aware Quantitative Trading. [PDF]

Entropy (Basel)
Lin F, Sun H.
europepmc   +1 more source

A Joint Test of Unconfoundedness and Common Trends

Journal of Applied Econometrics, EarlyView.
ABSTRACT We introduce an overidentification test of two alternative assumptions to identify the average treatment effect on the treated in a two‐period panel data setting: unconfoundedness and common trends. Under unconfoundedness, treatment assignment and post‐treatment outcomes are independent, conditional on control variables and pre‐treatment ...
Martin Huber, Eva‐Maria Oeß
wiley   +1 more source