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A Very Simple Positive Semi Definite Heteroskedasticity And Autocorrelation Consistent Covariance Matrix
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Book Synopsis A Very Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix by : P. Burridge
Download or read book A Very Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by P. Burridge and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix by :
Download or read book A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by and published by . This book was released on 1988 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix by : Whitney K. Newey
Download or read book A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by Whitney K. Newey and published by . This book was released on 1986 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.
Book Synopsis A Simple, Positive Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix by : Whitney K. Newey
Download or read book A Simple, Positive Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by Whitney K. Newey and published by . This book was released on 1985 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator by : Kenneth D. West
Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Kenneth D. West and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.
Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Wireless Communications for Power Substations: RF Characterization and Modeling by : Basile L. Agba
Download or read book Wireless Communications for Power Substations: RF Characterization and Modeling written by Basile L. Agba and published by Springer. This book was released on 2018-06-08 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of the identification, characterization, and modeling of electromagnetic interferences in substations for the deployment of wireless sensor networks. The authors present in chapter 3 the measurement setup to record sequences of impulsive noise samples in the ISM band of interest. The setup can measure substation impulsive noise, in wide band, with enough samples per time window and enough precision to allow a statistical study of the noise. During the measurement campaign, the authors recorded around 120 noise sequences in different substations and for four ranges of equipment voltage, which are 25 kV, 230 kV, 315 kV and 735 kV. A characterization process is proposed, by which physical characteristics of partial discharge can be measured in terms of first- and second-order statistics. From the measurement campaign, the authors infer the characteristics of substation impulsive noise as a function of the substation equipment voltage, and can provide representative parameters for the four voltage ranges and for several existing impulsive noise models. The authors investigate in chapters 4 and 5 the modeling of electromagnetic interferences caused by partial discharge sources. First, the authors propose a complete and coherent approach model that links physical characteristics of high-voltage installations to the induced radio-interference spectra of partial discharge sources. The goodness-of-fit of the proposed physical model has been measured based on some interesting statistical metrics. This allows one to assess the effectiveness of the authors' approach in terms of first- and second-order statistics. Chapter 6 proposes a model based on statistical approach. Indeed, substation impulsive noise is composed of correlated impulses, which would require models with memory in order to replicate a similar correlation. Among different models, we have configured a Partitioned Markov Chain (PMC) with 19 states (one state for the background noise and 18 states for the impulse); this Markov-Gaussian model is able to generate impulsive noise with correlated impulse samples. The correlation is observable on the impulse duration and the power spectrum of the impulses. Our PMC model provides characteristics that are more similar to the characteristics of substation impulsive noise in comparison with other models, in terms of time and frequency response, as well as Probability Density Functions (PDF). Although PMC represents reliably substation impulsive noise, the model remains complex in terms of parameter estimation due to a large number of Markov states, which can be an obstacle for future wireless system design. In order to simplify the model, the authors decrease the number of states to 7 by assigning one state to the background noise and 6 states to the impulse and we call this model PMC-6. PMC-6 can generate realistic impulses and can be easily implemented in a receiver in order to mitigate substation impulsive noise. Representative parameters are provided in order to replicate substation impulsive noise for different voltage ranges (25-735 kV). Chapter 7, a generalized radio-noise model for substations is proposed, in which there are many discharges sources that are randomly distributed over space and time according to the Poisson field of interferers approach. This allows for the identification of some interesting statistical properties of moments, cumulants and probability distributions. These can, in turn, be utilized in signal processing algorithms for rapid partial discharge's identification, localization, and impulsive noise mitigation techniques in wireless communications in substations. The primary audience for this book is the electrical and power engineering industry, electricity providers and companies who are interested in substation automation systems using wireless communication technologies for smart grid applications. Researchers, engineers and students studying and working in wireless communication will also want to buy this book as a reference.
Book Synopsis Non-Linear Time Series Models in Empirical Finance by : Philip Hans Franses
Download or read book Non-Linear Time Series Models in Empirical Finance written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2000-07-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi
Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Book Synopsis Banking And Capital Markets: New International Perspectives by : Lloyd P Blenman
Download or read book Banking And Capital Markets: New International Perspectives written by Lloyd P Blenman and published by World Scientific. This book was released on 2010-06-04 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely collection of papers probes into the major issues that are at the heart of our current financial market crises. The coverage of banking topics include the changing nature of intra and inter-bank markets, bank lending behavior, risk and risk-taking, the role of liquidity, return and maturity transformation issues. Issues on international financial market volatility and spillover effects are analyzed in detail, and intense discussions on capital adequacy and regulation in banking, and the potential role of banks' activities in the triggering of financial crises provide forward-looking insights.This volume will offer readers current and innovative approaches to assessing extant issues in banking and financial markets. In particular, it provides new ideas about the role of corporate governance institutions as signaling devices in exercising regulatory authority and protection of the shareholders' rights. What this volume covers in breadth, it also delves in depth with critical analyses and commentaries on the possible role of bank lending in triggering international crises, value creation in international joint ventures and the pricing of risk in international financial markets.
Book Synopsis Applied Econometrics by : Dimitrios Asteriou
Download or read book Applied Econometrics written by Dimitrios Asteriou and published by Bloomsbury Publishing. This book was released on 2021-03-05 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: This trusted textbook returns in its 4th edition with even more exercises to help consolidate understanding - and a companion website featuring additional materials, including a solutions manual for instructors. Offering a unique blend of theory and practical application, it provides ideal preparation for doing applied econometric work as it takes students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion. Clear presentation of economic tests and methods of estimation is paired with practical guidance on using several types of software packages. Using real world data throughout, the authors place emphasis upon the interpretation of results, and the conclusions to be drawn from them in econometric work. This book will be essential reading for economics undergraduate and master's students taking a course in applied econometrics. Its practical nature makes it ideal for modules requiring a research project. New to this Edition: - Additional practical exercises throughout to help consolidate understanding - A freshly-updated companion website featuring a new solutions manual for instructors
Download or read book Asset Management written by Andrew Ang and published by Oxford University Press. This book was released on 2014-07-07 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis Financial Econometrics by : Oliver Linton
Download or read book Financial Econometrics written by Oliver Linton and published by Cambridge University Press. This book was released on 2019-02-21 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Book Synopsis Quantitative Investment Analysis by : Richard A. DeFusco
Download or read book Quantitative Investment Analysis written by Richard A. DeFusco and published by John Wiley & Sons. This book was released on 2015-11-02 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.
Book Synopsis Time Series Models for Business and Economic Forecasting by :
Download or read book Time Series Models for Business and Economic Forecasting written by and published by Cambridge University Press. This book was released on with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Applications for Environmental Analysis and Risk Assessment by : Joseph Ofungwu
Download or read book Statistical Applications for Environmental Analysis and Risk Assessment written by Joseph Ofungwu and published by John Wiley & Sons. This book was released on 2014-05-27 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Applications for Environmental Analysis and Risk Assessment guides readers through real-world situations and the best statistical methods used to determine the nature and extent of the problem, evaluate the potential human health and ecological risks, and design and implement remedial systems as necessary. Featuring numerous worked examples using actual data and “ready-made” software scripts, Statistical Applications for Environmental Analysis and Risk Assessment also includes: • Descriptions of basic statistical concepts and principles in an informal style that does not presume prior familiarity with the subject • Detailed illustrations of statistical applications in the environmental and related water resources fields using real-world data in the contexts that would typically be encountered by practitioners • Software scripts using the high-powered statistical software system, R, and supplemented by USEPA’s ProUCL and USDOE’s VSP software packages, which are all freely available • Coverage of frequent data sample issues such as non-detects, outliers, skewness, sustained and cyclical trend that habitually plague environmental data samples • Clear demonstrations of the crucial, but often overlooked, role of statistics in environmental sampling design and subsequent exposure risk assessment.
