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  1. The Determinants of Inflation
    Autor*in: Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; Turkington, David
    Erschienen: 2022
    Verlag:  SSRN, [S.l.]

    The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most effective tools to manage inflation, and it offers guidance to investors whose strategies might benefit from knowledge of the prevailing determinants of inflation. Their analysis reveals that as of February 2022, the most important determinant of the recent spike in inflation was spending by the federal government

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Schriftenreihe: MIT Sloan Research Paper ; No. 6730, 2022
    Schlagworte: Baum-Welch Algorithm; Euclidean Distance; Hidden Markov Model; Mahalanobis Distance; Markov process; Regime Characteristic; z-score
    Umfang: 1 Online-Ressource (23 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 13, 2022 erstellt
  2. Portfolio Construction When Regimes are Ambiguous
    Autor*in: Kritzman, Mark; Kulasekaran, Cel; Turkington, David
    Erschienen: [2023]
    Verlag:  SSRN, [S.l.]

    Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate a subsample of returns in which a regime indicator, such as the rate of economic growth, is above or below a chosen threshold and estimate expected returns, standard deviations, and correlations by equally weighting the observations within the subsample. This approach assumes that every observation within the regime subsample is equally important to forming the estimates whether an observation coincides with a growth rate that is far from the threshold or one that is only marginally distant from the threshold. Moreover, with this approach it is problematic to describe a regime by more than a single indicator because there is no non-arbitrary way to combine the indicators and because the addition of indicators increases the likelihood of producing an empty or overly sparse subsample. The authors apply a new concept called relevance to estimate regime-specific expected returns, standard deviations, and correlations. Their relevance-based approach explicitly accounts for the importance of an observation to forming an estimate, and it seamlessly enables the inclusion of multiple regime indicators in a principled way

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: MIT Sloan Research Paper ; No. 6845-23
    Schlagworte: Binary; Central Limit Theorem; Euclidean Distance; Fit; Gaussian Decay; Information Theory; Informativeness; Kernal Regression; Mahalanobis Distance; Mean-variance Optimization; Non-binary; Partial Sample Regression; Regime Sensitive Portfolio; Relevance; Scenario Analysis; Similarity; Z-score
    Umfang: 1 Online-Ressource (20 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 13, 2023 erstellt
  3. Orthogonalization of categorical data
    how to fix a measurement problem in statistical distance metrics
    Autor*in: Knippenberg, Ross
    Erschienen: 2013
    Verlag:  Center for Economic Analysis, Dep. of Economics, Univ. of Colorado at Boulder, Boulder, Colo.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Discussion papers in economics / Center for Economic Analysis Department of Economics, University of Colorado at Boulder ; 13-09
    Schlagworte: Index Number Theory; International Trade; Orthogonalization; Principle Coordinates; Law of Cosines; Distance Metrics; Minkowski Metric; Euclidean Distance; Hirschman-Herfindahl Index; Business Analytics
    Umfang: Online-Ressource (43 S.), graph. Darst.