Search Results

The speed of convergence of the Threshold estimator of integrated variance,
Cecilia Mancini, in Stochastic Processes and their Applications (2011)
Keywords: Integrated variance Threshold estimator Convergence speed Infinite activity stable Lévy jumps

The variance of an integrated process need not diverge to infinity,
Hannes Leeb and Benedikt Poetscher, from University Library of Munich, Germany (1999)
Keywords: integrated process, unit root, difference stationarity, spectral density, long-memory, unbounded variance.

Change point in variance of fractionally integrated noise,
Daiqing Xi and Tianxiao Pang, in Statistical Papers (2024)
Keywords: Change point in variance, Fractionally integrated noise, Long memory, Quasi-maximum likelihood estimator, Rosenblatt process

Speed of convergence of the threshold estimator of integrated variance,
Cecilia Mancini, from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2010)
Keywords: Integrated variance, threshold estimator, convergence speed, infinite activity stable Le'vy jumps.

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component,
Daisuke Nagakura and Toshiaki Watanabe, from Institute of Economic Research, Hitotsubashi University (2009)
Keywords: Realized Variance, Integrated Variance, Microstructure Noise, State Space, Identification, Exchange Rate

Realized Variance and IID Market Microstructure Noise,
Asger Lunde and Peter Hansen, from Econometric Society (2004)
Keywords: Realized Variance; High-Frequency Data; Integrated Variance.

Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging,
Vitali Alexeev, Chen Jun and Ignatieva Katja, in Studies in Nonlinear Dynamics & Econometrics (2023)
Keywords: high-frequency data, integrated variance, pre-averaging, sampling scheme

Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale,
Kim Christensen and Mark Podolski, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2005)
Keywords: Central Limit Theorem ; Continuous Semi-Martingale ; High-Frequency Data ; Integrated Variance ; Market Microstructure Noise ; Quadratic Variation

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise,
Daisuke Nagakura and Toshiaki Watanabe, from Institute of Economic Research, Hitotsubashi University (2010)
Keywords: Realized Variance, Integrated Variance, Microstructure Noise, State Space, Identification, Exchange Rate

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise,
Daisuke Nagakura and Toshiaki Watanabe, from Institute of Economic Research, Hitotsubashi University (2011)
Keywords: Realized Variance, Integrated Variance, Microstructure Noise, State Space, Identification, Exchange Rate

Adaptive spatial designs minimizing the integrated Bernoulli variance in spatial logistic regression models - with an application to benthic habitat mapping,
Susan Anyosa, Jo Eidsvik and Oscar Pizarro, in Computational Statistics & Data Analysis (2023)
Keywords: Adaptive sampling; Spatial design; Integrated Bernoulli variance; Spatial GLM; Underwater robotics; Habitat mapping;

Estimation of long memory in integrated variance,
Eduardo Rossi and Paolo Santucci de Magistris, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Realized variance, Long memory, fractional Brownian Motion, Measurement error, Whittle estimator.

Estimation of long memory in integrated variance,
Eduardo Rossi and Paolo Santucci de Magistris, from University of Pavia, Department of Economics and Management (2012)
Keywords: Realized variance, Long memory stochastic volatility, Measurement error, local Whittle estimator.

Microstructure Noise and Realized Variance in the Live Cattle Futures Market,
Anabelle Couleau, Teresa Serra and Philip Garcia, in American Journal of Agricultural Economics (2019)
Keywords: Live cattle, futures, microstructure noise, realized variance, integrated variance

The VIX, the Variance Premium, and Expected Returns,
Daniela Osterrieder, Daniel Ventosa-Santaulària and J. Eduardo Vera-Valdés, in Journal of Financial Econometrics (2019)
Keywords: fractional integration, implied variance, integrated variance, persistent predictor, return prediction, risk–return trade-off, variance premium

Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde,
Peter Phillips and Jun Yu, from East Asian Bureau of Economic Research (2005)
Keywords: financial econometric research, movement of financial variables, integrated variance, realized variance

A note on conditional variance and characterization of probability distributions,
Piotr Jaworski and Marcin Pitera, in Statistics & Probability Letters (2020)
Keywords: Conditional variance; Characterization; Censored variance; Trimmed variance; Integrated quantile function; Quantile division;

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise,
Kim Christensen, Mark Podolskij and Mathias Vetter, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
Keywords: Bias-Correction, Integrated Variance, Market Microstructure Noise, Realized Range-Based Variance, Realized Variance

Common persistence in conditional variance: A reconsideration,
Changshuai Li, in Economic Modelling (2012)
Keywords: Persistence in variance; Co-persistence in variance; Long memory Integrated-GARCH (IGARCH); Vector GARCH (VGARCH); Decay coefficient;

Integrated Variance Estimation for Assets Traded in Multiple Venues,
Gustavo Fruet Dias and Karsten Schweiker, from School of Economics, University of East Anglia, Norwich, UK. (2024)
Keywords: High-frequency data, Ornstein-Uhlenbeck process, Cointegration, Realized variance, Realized kernel estimators, Market microstructure, Price discovery

Realised quantile-based estimation of the integrated variance,
Kim Christensen, Roel Oomen and Mark Podolskij, in Journal of Econometrics (2010)
Keywords: Finite activity jumps Market microstructure noise Order statistics Outliers Realised variance

Realised quantile-based estimation of the integrated variance,
Kim Christensen, Roel Oomen and Mark Podolskij, from HAL (2010)
Keywords: C10,C80,Finite activity jumps,Market microstructure noise,Order statistics,Outliers,Realised variance

Unified extension of variance bounds for integrated Pearson family,
Giorgos Afendras, in Annals of the Institute of Statistical Mathematics (2013)
Keywords: Completeness, Derivatives of higher order, Fourier coefficients, Orthogonal polynomials, Parseval identity, Pearson family of distributions, Rodrigues-type formula, Variance bounds,

Process and variance research: Integrating research on university spinoff evolution,
Athira Bahuleyan, Meena Chavan, Anna Krzeminska and Francesco Chirico, in Technovation (2024)
Keywords: University spinoffs; Variance perspective; Process perspective; Integrated framework; Research commercialization;

Bias-correcting the realized range-based variance in the presence of market microstructure noise,
Kim Christensen, Mark Podolskij and Mathias Vetter, in Finance and Stochastics (2009)
Keywords: Bias correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance, 62E20, 62P20, C10, C80,

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise,
Jozef Baruník and Lukas Vacha, from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014)
Keywords: quadratic variation, realized variance, jumps, market microstructure noise, wavelets

Changes in the Product Costing Process Driven by Implementation of an Integrated Information System in a Production Company,
Fałat Kamila, in Financial Internet Quarterly (formerly e-Finanse) (2019)
Keywords: standard costing variance, product costing, integrated information system implementation

Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets,
Hassan Zada, Arshad Hassan and Wing-Keung Wong, in Economies (2021)
Keywords: jumps identification; swap variance; integrated volatility; realized volatility

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Neighborhood Truncation Estimator, Functional Filtering, Integrated Quarticity, Inference on Integrated Variance, High-Frequency Data

The Differences Between a Standard Costing and Normal Costing Method of Manufacturing Operating Income Calculation Caused by the Implementation of a New Integrated Information System,
Fałat Kamila, in Folia Oeconomica Stetinensia (2020)
Keywords: manufacturing operating income calculation, integrated information system implementation, variance analysis

Robust estimation of integrated variance and quarticity under flat price and no trading bias,
Frowin C. Schulz, from University of Cologne, Institute of Econometrics and Statistics (2010)
Keywords: Realized Variance, Zero-Returns, Price Jumps, Robust Estimation, High-Frequency Data, Electricity Forward Contract

A path-independent approach to integrated variance under the CEV model,
Hengxu Wang, O’Hara, John G. and Nick Constantinou, in Mathematics and Computers in Simulation (MATCOM) (2015)
Keywords: CEV process; Realized variance; Small disturbance asymptotic expansion; Brownian bridge; Conditional Monte-Carlo simulation;

Mean-variance model for power system economic dispatch with wind power integrated,
Y.Z. Li, Q.H. Wu, M.S. Li and J.P. Zhan, in Energy (2014)
Keywords: Mean-variance model; Economic dispatch; Wind power; Multi-objective optimization algorithm; Decision making;

The Multifaceted Behavior of Integrated supOU Processes: The Infinite Variance Case,
Danijel Grahovac, Nikolai N. Leonenko and Murad S. Taqqu, in Journal of Theoretical Probability (2020)
Keywords: supOU processes, Ornstein–Uhlenbeck process, Limit theorems, Infinite variance, Stable processes

The integrated periodogram for long-memory processes with finite or infinite variance,
P. Kokoszka and T. Mikosch, in Stochastic Processes and their Applications (1997)
Keywords: Integrated periodogram Long memory Heavy tails Functional limit theorems Goodness-of-fit tests Fractional ARIMA

Cross-sectional noise reduction and more efficient estimation of Integrated Variance,
Giorgio Mirone, from Department of Economics and Business Economics, Aarhus University (2018)
Keywords: Realized Covariance, High-frequency data, Volatility Estimation, Market Microstructure Noise, Noise reduction, Volatility Signature Plot, Realized Variance

INVESTIGATION INTO UNEMPLOYMENT INTEGRATED INDEX DYNAMICS BY MEANS OF VARIANCE ANALYSIS AND THE T-METHOD OF MULTIPLE COMPARISON,
V. Pleskach, in Economics of Development (2014)
Keywords: unemployment, integral index, variance analysis.

Modified Block Bootstrap Testing for Persistence Change in Infinite Variance Observations,
Si Zhang, Hao Jin and Menglin Su, in Mathematics (2024)
Keywords: persistence change; infinite variance; near-integrated time series; change point estimator; block bootstrap

A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches,
Bjoern Schulte-Tillmann, Mawuli Segnon and Timo Wiedemann, from Center for Quantitative Economics (CQE), University of Muenster (2023)
Keywords: High-frequency data; Price duration; Realized measures of integrated variance; Value-at-Risk.

Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts,
Shirley Huang, Qianqiu Liu and Jun Yu, in Annals of Economics and Finance (2007)
Keywords: High frequency data, Integrated variance, Microstructure noise, GARCH, Stochastic volatility, Long range dependence, Intertemporal CAPM

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data,
Clifford Lam and Phoenix Feng, in Journal of Econometrics (2018)
Keywords: High frequency data; Microstructure noise; Non-synchronous trading; Integrated covariance matrix; Minimum variance portfolio; Nonlinear shrinkage;

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data,
Clifford Lam and Phoenix Feng, from London School of Economics and Political Science, LSE Library (2018)
Keywords: High frequency data; Microstructure noise; Non-synchronous trading; Integrated covariance matrix; Minimum variance portfolio; Nonlinear shrinkage

Comparison of range-based volatility estimators against integrated volatility in European emerging markets,
Josip Arneric, Mario Matković and Petar Sorić, in Finance Research Letters (2019)
Keywords: Integrated volatility; Realized variance; OHLC estimator; Loss function; Upper tail dependence; Emerging market;

Uniformly implementable small sample integrated likelihood ratio test for one-way and two-way ANOVA under heteroscedasticity and normality,
H. V. Kulkarni and S. M. Patil, in AStA Advances in Statistical Analysis (2021)
Keywords: Two-way with-interaction setup, Homogeneity of group means, Integrated likelihood, Nuisance parameters, Unequal variances

Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence,
Ngai Hang Chan and Rong-Mao Zhang, in Stochastic Processes and their Applications (2009)
Keywords: Heavy-tailed Long-range dependent Near-integrated time series and quantile regression

An integrated genetic algorithm-conventional regression-analysis of variance for improvement of gasoline demand estimation,
Ali Azadeh, Maryam Mirjalili, Mohammad Sheikhalishahi and Shima Nassiri, in International Journal of Industrial and Systems Engineering (2012)
Keywords: integration; GAs; genetic algorithms; gasoline demand; ANOVA; analysis of variance; conventional regression; demand estimation; petrol; demand forecasting; Iran; agriculture sector.

Variance-of-Variance Risk Premium,
Andreas Kaeck, in Review of Finance (2018)
Keywords: VIX, Stochastic volatility-of-volatility, Variance risk premium

Martingale inequalities and the Jackknife estimate of variance,
WanSoo T. Rhee and Michel Talagrand, in Statistics & Probability Letters (1986)
Keywords: jackknife variance

Forecasting International Stock Market Variances,
Geert Bekaert, Nancy Xu and Tiange Ye, from C.E.P.R. Discussion Papers (2024)
Keywords: Realized variance

Variance risk in commodity markets,
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen, in Journal of Banking & Finance (2017)
Keywords: Commodities; Variance risk premia; Variance swaps;

Regional diversification of hydro, wind, and solar generation potential: A mean-variance model to stabilize power fluctuations in the Brazilian integrated electrical energy transmission and distribution system,
Lucio Guido Tapia Carpio and Frederico A. Cardoso Guimarães, in Renewable Energy (2024)
Keywords: Regional diversification; Regional complementarity; Hydro-wind-solar energy; Variability of renewable energy; Mean-variance model;

Characterizations of distributions by variance bounds,
T. Cacoullos and V. Papathanasiou, in Statistics & Probability Letters (1989)
Keywords: characterizations variance bounds

A monotonicity property of variances,
J.M. Aldaz, in Statistics & Probability Letters (2013)
Keywords: Variance; Arithmetic–geometric inequality;

Variance bounds by a generalization of the Cauchy-Schwarz inequality,
V. Papathanasiou, in Statistics & Probability Letters (1988)
Keywords: variance bound

Variance Swaps in BM&F: Pricing and Viability of Hedge,
Richard John Brostowicz Junior and Márcio Laurini, in Brazilian Review of Finance (2010)
Keywords: Variance Swaps, Realized Variance, Hedge

Minimum variance quadratic unbiased estimation of variance components,
C. Radhakrishna Rao, in Journal of Multivariate Analysis (1971)
Keywords: Estimation variance components minimum variance minimum mean square unbiased

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps,
Joanna Goard, in Applied Mathematical Finance (2011)
Keywords: variance swap, volatility swap, stochastic variance,

On the Conditional Variance of Fuzzy Random Variables,
Wolfgang Näther and Andreas Wünsche, in Metrika: International Journal for Theoretical and Applied Statistics (2007)
Keywords: Fuzzy random variable, Conditional variance, Variance decomposition,

An integrated fuzzy mathematical programming-analysis of variance approach for forecasting gasoline consumption with ambiguous inputs: USA, Canada, Japan, Iran and Kuwait,
Ali Azadeh, Iman Behmanesh, Hamed Vafa Arani and Mohammad Hossein Sadeghi, in International Journal of Industrial and Systems Engineering (2014)
Keywords: gasoline consumption; petrol consumption; ambiguous inputs; fuzzy mathematical programming; analysis of variance; ANOVA; forecasting; USA; United States; Canada; Japan; Iran; Kuwait; fuzzy logic.

Variance of ANOVA-based estimator sˆ2M for differing sub-population sizes nk, 1 = k = K,
Mohammed Shahid Abdulla and L Ramprasath, from Indian Institute of Management Kozhikode (2019)
Keywords: Analysis of Variance, Variance of Conditionalexpectation

Bond Variance Risk Premiums,
Hoyong Choi, Philippe Mueller and Andrea Vedolin, in Review of Finance (2017)
Keywords: Variance risk premium, Treasury implied volatility, Treasury variance swap

Credit Variance Risk Premiums,
Manuel Ammann and Mathis Mörke, from University of St. Gallen, School of Finance (2019)
Keywords: Variance risk premium, CDS implied volatility, CDS variance swap

Why the variance?,
Abram Kagan and Lawrence A. Shepp, in Statistics & Probability Letters (1998)
Keywords: Measures of dispersion Variance Lehmann unbiasedness Loss functions Characterization

Mean Variance Vulnerability,
Thomas Eichner, in Management Science (2008)
Keywords: mean, variance, vulnerability, properness, standardness

On a characterization of variance and covariance,
Norbert Poschadel, in Statistics & Probability Letters (2010)
Keywords: Variance Independence Additivity Characterization Dispersion

Uncertainty and the conditional variance,
Jiahua Chen, Constance van Eeden and James Zidek, in Statistics & Probability Letters (2010)
Keywords: Information Normal distribution Uncertainty Variance

Variances of sample medians,
G. D. Lin and J. S. Huang, in Statistics & Probability Letters (1989)
Keywords: variance order statistic sample median

Maximum variance unimodal distributions,
John W. Seaman, Patrick S. Odell and Dean M. Young, in Statistics & Probability Letters (1985)
Keywords: bounds inequalities variance estimation unbiasedness

VARIANCE INVESTIGATION IN AGENCY SETTINGS,
Ra Lambert, in Journal of Accounting Research (1985)
Keywords: Cost variance, Auditing, Agency Theory

Diversified minimum-variance portfolios,
Guillaume Coqueret, from HAL (2015)
Keywords: Portfolio optimization,Minimum variance,Diversification

INTEGRATED ASSESSMENT MODELLING,
Richard Tol, from Research unit Sustainability and Global Change, Hamburg University (2006)
Keywords: integrated assessment

Truncating sample weights reduces variance,
Kai Fun Yu, in Statistics & Probability Letters (1994)
Keywords: Truncation sample weights variance

Variance bounds using a theorem of Polya,
Barry C. Arnold and Patrick L. Brockett, in Statistics & Probability Letters (1988)
Keywords: variance bounds Polya inequality

Robust performance hypothesis testing with the variance,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2010)
Keywords: Bootstrap, HAC inference, Variance

A Note on the Kinks at the Mean Variance Frontier,
József Vörös, J. Kriens and Leo Strijbosch, from Tilburg University, School of Economics and Management (1997)
Keywords: portfolio investment; variance

Testing for mean-variance spanning: A survey,
F.A. de Roon and Theo Nijman, from Tilburg University, Center for Economic Research (1998)
Keywords: capital markets; variance; testing

Volatility investing with variance swaps,
Wolfgang Härdle and Elena Silyakova, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
Keywords: Conditional Variance Swap, Corridor Variance Swap, Dispersion Trading, Gamma Swap, Variance Swap, Volatility Replication, Volatility Trading

Anova Tests for Homogeneity of Variance: Nonnormality and Unequal Samples,
Charles G. Martin and Paul A. Games, in Journal of Educational and Behavioral Statistics (1977)
Keywords: Homogeneity of Variance; Analysis of Variance; Variability; Nonnormality; Jackknife

Turnover Variances Analysis-Determinants for a Managerial and Competitive Analysis,
Silvano Guelfi and Paolo Saluto, in International Journal of Business Administration (2019)
Keywords: variances analysis, competitive position, turnover variance

Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation,
Yunpeng Sun, Daniel W. Apley and Jeremy Staum, in Operations Research (2011)
Keywords: nested simulation, analysis of variance, ANOVA, variance components

An integrated GA-time series algorithm for forecasting oil production estimation: USA, Russia, India, and Brazil,
A. Azadeh, M. Aramoon and M. Saberi, in International Journal of Industrial and Systems Engineering (2009)
Keywords: integrated genetic algorithms; GAs; time series; oil production; ANOVA; analysis of variance; Duncan's multiple range test; MAPE; minimum absolute percentage error; forecasting; USA; Russia; India; Brazil.

Variance swaps with mean reversion and multi-factor variance,
Bin Wu, Pengzhan Chen and Wuyi Ye, in European Journal of Operational Research (2024)
Keywords: Stochastic processes; Variance swap; Mean reversion; Long-term variance; Option pricing;

Comment on Levy's “an empirical comparison of the Z-variance and Box-Scheffé tests for homogeneity of variance”,
Charles Martin, in Psychometrika (1976)
Keywords: variance testing, tests of dispersion, analysis of variance,

Variance risk and the idiosyncratic volatility puzzle,
Mahmoud Qadan and Kerem Shuval, in Finance Research Letters (2022)
Keywords: Idiosyncratic volatility; IVOL puzzle; Realized variance; Variance risk premium;

Affine Variance Swap Curve Models,
Damir Filipović, from Swiss Finance Institute (2012)
Keywords: Affine variance swap rate factor models, Variance swaps, VIX

A Class of Variance-Constrained Problems,
Moshe Sniedovich, in Operations Research (1983)
Keywords: 111 variance constrained dynamic programming problems

A bootstrap test for equality of variances,
Dexter O. Cahoy, in Computational Statistics & Data Analysis (2010)
Keywords: Homogeneity of variances ANOVA Dirichlet distribution Bootstrap

Overlapping Variance Estimators for Simulation,
Christos Alexopoulos, Nilay Tanık Argon, David Goldsman, Gamze Tokol and James R. Wilson, in Operations Research (2007)
Keywords: simulation, statistical analysis, steady-state variance estimation

A generalization of variance bounds,
N. Papadatos and V. Papathanasiou, in Statistics & Probability Letters (1996)
Keywords: Variance bounds Density-quantile function Order statistics

Estimating the Variance of Decomposition Effects,
Takuya Hasebe, from City University of New York Graduate Center, Ph.D. Program in Economics (2015)
Keywords: Decomposition Analysis, Asymptotic Variance, m-estimation