Results 31 to 40 of about 2,813,405 (313)
Realized Variance Modeling: Decoupling Forecasting from Estimation*
, 2020 In this paper we evaluate the in-sample fit and out-of-sample forecasts of various combinations of realized variance models and estimation criteria . Our empirical findings highlight that: independently of the econometrician’s forecasting loss function,
F. Cipollini +2 more
semanticscholar +1 more source
Sample and realized minimum variance portfolios: Estimation, statistical inference, and tests
WIREs Computational Statistics, 2021 The global minimum variance portfolio (GMVP) is the starting point of the Markowitz mean‐variance efficient frontier. The estimation of the GMVP weights is therefore of much importance for financial investors.
Vasyl Golosnoy +2 more
semanticscholar +1 more source
Optimal states and almost optimal adaptive measurements for quantum interferometry [PDF]
, 2000 We derive the optimal N-photon two-mode input state for obtaining an estimate \phi of the phase difference between two arms of an interferometer. For an optimal measurement [B. C. Sanders and G. J. Milburn, Phys. Rev. Lett.
A. S. Holevo +11 more
core +2 more sources
Forecasting, 2022 In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities.
Massimo Guidolin, Manuela Pedio
doaj +1 more source
How Does the Volatility of Volatility Depend on Volatility?
Risks, 2020 We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance ...
Sigurd Emil Rømer, Rolf Poulsen
doaj +1 more source
Realized beta : persistence and predictability [PDF]
, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM.
Andersen, Torben G. +3 more
core +4 more sources
Realized density estimation using intraday prices
Croatian Review of Economic, Business and Social Statistics, 2020 Availability of high-frequency data, in line with IT developments, enables the use of Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher ...
Arnerić Josip
doaj +1 more source
Analisis Belanja Daerah pada Pemerintah Daerah Kabupaten Jepara
Jurnal Akuntansi, 2022 This study aims to determine the magnitude of variance ratio analysis and regional spending compatibility ratio analysis in Jepara Regency Regional Government for the period 2017 to 2020.
Agustiyana Lailatus Sholikhah +1 more
doaj +1 more source
Term structure of interest rates with short-run and long-run risks
Journal of Finance and Data Science, 2022 We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S.
Olesya V. Grishchenko +2 more
doaj +1 more source
Formation of the Reproductive Behavior of Healthcare Students Depending on Their Mothers' Realized Plans [PDF]
Folia Medica, 2020 Introduction: A socio-demographic analysis of marriage and family requires conducting deep studies penetrating the essence of the processes among the population.
Daniela Taneva, Angelina Kirkova
doaj +3 more sources