Browsing Produção Intelectual em Bases Externas by Subject "Análise de variância"

Now showing items 1-10 of 10

    • Best linear unbiased predictor in the mixed model with incomplete data 

      Barroso, L. P.; Bussab, Wilton de Oliveira; Knott, Margaret
      1998
      The problem of predicting individual measurement is considered. This paper develops the Best Linear Unbiased Predictor (BLUP) of the fixed and random effects and the missing observations, under a mixed linear model. The ...

    • Da relevância da analise técnica de ações 

      Figueiredo, Orlando
      1974-02-01

    • Decision theory applied to a linear panel data model 

      Chamberlain, Gary; Moreira, Marcelo J.
      2009-01
      This paper applies some general concepts in decision theory to a linear panel data model. A simple version of the model is an autoregression with a separate intercept for each unit in the cross section, with errors that ...

    • International market links and volatility transmission 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
      2012-09
      This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we ...

    • Modeling and forecasting of realized volatility: evidence from Brazil 

      Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls
      2011-12-02
      Using intraday data for the most actively traded stocks of BOVESPA, this work has considered tworecently developed models in the literature of the estimation and forecasting of realized volatility; TheHeterogeneous ...

    • Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process 

      Guigues, Vincent Gérard Yannick
      2012
      We introduce a nonparametric breakpoint detection method for the means and covariances of a multivariate discrete time stochastic process. Breakpoints are defined as left or right endpoints of maximal intervals of local ...

    • On portfolio optimization: imposing the right constraints 

      Behr, Patrick Gottfried; Guettler, Andre; Miebs, Felix
      2013-04
      We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. ...

    • Signal detection in high dimension: the multispiked case 

      Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
      2014-02
      This paper applies Le Cam's asymptotic theory of statistical experiments to the signal detection problem in high dimension. We consider the problem of testing the null hypothesis of sphericity of a high-dimensional covariance ...

    • Tests based on t-statistics for IV regression with weak instruments 

      Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas Pimentel
      2014-10
      This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional ...

    • Using industry momentum to improve portfolio performance 

      Behr, Patrick; Guettler, Andre; Truebenbach, Fabian
      2012-05
      Minimum-variance portfolios, which ignore the mean and focus on the (co)variances of asset returns, outperform mean-variance approaches in out-of-sample tests. Despite these promising results, minimum-variance policies ...