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Nonparametric assessment of hedge fund performance
(2018-04-23)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...
Estratégias de momentum no mercado cambial
(2016-02-15)
Utilizo dados semanais para investigar a lucratividade de estratégias de momentum no mercado de câmbio baseadas em dois diferentes métodos de extração da tendência, possivelmente não linear. Comparo a performance com as ...
Parametric and non-parametric statistical methods for predicting plotwise variables based on Landsat ETM+: a comparison in an Araucaria araucana forest in ChileMétodos estadísticos paramétricos y no paramétricos para predecir variables de rodal basados en Landsat ETM+: una comparación en un bosque de Araucaria araucana en Chile
(Universidad Austral de Chile, Facultad de Ciencias Forestales y Recursos Naturales., 2017)
Semi-parametric Bayesian Inference for Multi-Season Baseball Data
(INT SOC BAYESIAN ANALYSIS, 2008)
We analyze complete sequences of successes (hits, walks, and sacrifices) for a group of players from the American and National Leagues, collected over 4 seasons. The goal is to describe how players' performance vary from ...
Relationships between methods of variety adaptability and stability in sugarcane
(Genetics and Molecular Research, 2017)