Search results for "variance"

showing 10 items of 2030 documents

Wavelet analysis of variance risk premium spillovers

2013

In this paper we construct a variance risk premium spillover index among France, Germany, UK, Switzerland and the US. The variance risk premium is measured by the difference between the difference between the (square) of implied volatility and expected realized variance of the stock market for next month. We also construct a spillover index for the constituents of the variance risk premium. The series under investigation exhibit long memory properties. The construction of a total spillover indicator suggested by Diebold-Yilmaz (2009) would then rely on modeling a fractionally integrated Vector Autoregressive Model, which might be subject to errors in specifying the correct lag length and th…

Settore SECS-P/05 - Econometriavariance risk premium implied variance realized variance long memory MODWT spillover index
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A Proposal to estimate the roaming–dog Total in an urban area through a PPSWOR spatial sampling with sample size greater than two

2018

Settore SECS-S/05 - Statistica SocialeDogs roaming in urban areas constitute an issue for public order hygiene and health. Proper planning of actions for health and security control and allocation of financial funds require the knowledge of the roaming–dog–population size in a given urban area. Unfortunately a reliable statistical procedure aimed to measure such population is not available yet in literature. This paper presents a simple reproducible survey sampling procedure to estimate the number of roaming dogs in an urban area through the description of a real study carried out on a restricted area of the city of Palermo in southern Italy. A sample of areas is drawn by means of a drawn–by–drawn spatial sampling with probabilities proportional to size and without replacement (PPSWOR). As inclusion probabilities are not available in closed form they are estimated by Monte Carlo approach which is of simple implementation and permits design–based variance estimation even when first–order inclusion probabilities are unknown.
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Distance Measures for Portfolio Selection

2017

The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is ab…

Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e FinanziarieMathematical optimizationSettore INF/01 - InformaticaComputer sciencePareto principleEfficient frontierMetaheuristicVariance (accounting)Financial modelPortfolio selectionDistance measuresMultiple criteriaDecision aidSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Order (exchange)PortfolioExpected returnMarkowitzSettore MAT/09 - Ricerca OperativaSelection (genetic algorithm)Distance measureIndex tracking
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Discrete Time Portfolio Selection with Lévy Processes

2007

This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.

Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarieterm structureexpected utilitySubordinated Lévy models; term structure; expected utility; portfolio strategiesportfolio strategiesMultivariate normal distributionSubordinated Lévy modelsVariance-gamma distributionInverse Gaussian distributionsymbols.namesakeSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Discrete time and continuous timesymbolsEconometricsPortfolioSubordinated Lévy models term structure expected utility portfolio strategiesPost-modern portfolio theoryPortfolio optimizationModern portfolio theoryMathematics
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A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes

2007

In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.

Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Portfolio theory Lévy processes Variance-Gamma distribution Normal Inverse Gaussian distribution
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Prefazione

2016

La prefazione si prefigge di evidenziare i processi socioculturali che sottendono la socializzazione di genere e sessuale tra preadolescenti e adolescenti.

Settore SPS/12 - Sociologia Giuridica Della Devianza E Mutamento Socialetransfobiagender varianceomofobia
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Adult Shell-size Regulation in Conispirally-coiled Shells: Evidence for a Widespread Negative Covariance between Whorls Growth-rate and the Final Num…

2021

As shown, in particular, by the late S.J. Gould, the involvement of a regulation process, aiming at limiting the range of intraspecific variations in adult shell size, in those land snail species with determinate growth, can be indirectly, but conveniently, diagnosed by highlighting a negative covariance between the whorls growth-rate and the whorls number reached at adulthood. However, up to now, such kind of regulation had only been demonstrated in very few cases among land snails and shelled Gastropods in general. Accordingly, quite more extensive checking is required, across both the taxonomic spectrum and the geometrical range of shell profiles. The present report is a very preliminary…

Shell (structure)ZoologyGrowth rateCovarianceBiologyGeneral Agricultural and Biological SciencesGeneral Biochemistry Genetics and Molecular BiologyAnnual Research & Review in Biology
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Short-Term Electricity Futures Prices: Evidence on the Time-Varying Risk Premium

2008

This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange, Nord Pool. It is found that, on average, there are significant positive risk premiums in short-term electricity futures prices. The significance and size of the premiums, however, varies seasonally over the year; whereas it is greatest during winter, it is zero in summer. It is also found that time-varying risk premiums are significantly related to unexpectedly low reservoir levels. Furthermore, before the unprecedented supply-shock that hit the Nord Pool market around the end of…

Shock (economics)Spot contractGeographyEconomybusiness.industrySkewnessRisk premiumVariance (land use)Monetary economicsElectricitybusinessFutures contractTerm (time)SSRN Electronic Journal
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Energy Efficiency Optimization for Multi-cell Massive MIMO : Centralized and Distributed Power Allocation Algorithms

2021

This paper investigates the energy efficiency (EE) optimization in downlink multi-cell massive multiple-input multiple-output (MIMO). In our research, the statistical channel state information (CSI) is exploited to reduce the signaling overhead. To maximize the minimum EE among the neighbouring cells, we design the transmit covariance matrices for each base station (BS). Specifically, optimization schemes for this max-min EE problem are developed, in the centralized and distributed ways, respectively. To obtain the transmit covariance matrices, we first find out the closed-form optimal transmit eigenmatrices for the BS in each cell, and convert the original transmit covariance matrices desi…

Signal Processing (eess.SP)FOS: Computer and information sciencesmallintaminenComputational complexity theoryComputer scienceenergiatehokkuusComputer Science - Information TheoryMIMO02 engineering and technologyPrecoding0203 mechanical engineeringoptimointistatistical CSIalgoritmit0202 electrical engineering electronic engineering information engineeringFOS: Electrical engineering electronic engineering information engineeringOverhead (computing)Electrical and Electronic EngineeringElectrical Engineering and Systems Science - Signal Processingenergy efficiencymax-min fairnessInformation Theory (cs.IT)020206 networking & telecommunications020302 automobile design & engineeringmulti-cell MIMOCovarianceDistributed algorithmChannel state informationConvex optimizationdistributed processingAlgorithm
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Nonparametric statistics for DOA estimation in the presence of multipath

2002

This paper is concerned with array signal processing in nonGaussian noise and in the presence of multipath. Robust and fully nonparametric high resolution algorithms for direction of arrival (DOA) estimation are presented. The algorithms are based on multivariate spatial sign and rank concepts. Spatial smoothing of the multivariate rank and sign based covariance matrices is employed as a preprocessing step in order to deal with coherent sources. The performance of the algorithms is studied using simulations. The results show that almost optimal performance is obtained in wide variety of different noise conditions.

Signal processingRank (linear algebra)business.industryNoise (signal processing)Nonparametric statisticsDirection of arrivalPattern recognitionArtificial intelligenceCovariancebusinessSmoothingMultipath propagationMathematicsProceedings of the 2000 IEEE Sensor Array and Multichannel Signal Processing Workshop. SAM 2000 (Cat. No.00EX410)
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