scholarly journals Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach

2020 ◽  
Vol 34 (2) ◽  
pp. 101-113
Author(s):  
Oktay Ozkan
Keyword(s):  
Likelihood Ratio ◽  
Return Predictability ◽  
Time Varying ◽  
Wild Bootstrap ◽  
Ratio Approach

scholarly journals Geochemical wolframite fingerprinting – the likelihood ratio approach for laser ablation ICP-MS data

2018 ◽  
Vol 410 (13) ◽  
pp. 3073-3091 ◽  
Author(s):  
Agnieszka Martyna ◽  
Hans-Eike Gäbler ◽  
Andreas Bahr ◽  
Grzegorz Zadora
Keyword(s):  
Laser Ablation ◽  
Likelihood Ratio ◽  
Icp Ms ◽  
Ratio Approach

Bond Risk Premiums with Machine Learning

2020 ◽  
Author(s):  
Daniele Bianchi ◽  
Matthias Büchner ◽  
Andrea Tamoni
Keyword(s):  
Machine Learning ◽  
Yield Curve ◽  
Return Predictability ◽  
Time Varying ◽  
Short Term ◽  
Risk Premiums ◽  
Machine Learning Methods ◽  
Yield Information ◽  
Bond Return ◽  
Bond Risk

Abstract We show that machine learning methods, in particular, extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock- and labor-market-related variables are more relevant for short-term maturities, whereas output and income variables matter more for longer maturities. Finally, NN forecasts correlate with proxies for time-varying risk aversion and uncertainty, lending support to models featuring both channels.

Implementation and assessment of a likelihood ratio approach for the evaluation of LA-ICP-MS evidence in forensic glass analysis

2017 ◽  
Vol 57 (3) ◽  
pp. 181-192 ◽  
Author(s):  
Andrew van Es ◽  
Wim Wiarda ◽  
Maarten Hordijk ◽  
Ivo Alberink ◽  
Peter Vergeer
Keyword(s):  
Likelihood Ratio ◽  
Icp Ms ◽  
Ratio Approach ◽  
Glass Analysis

Time varying stock return predictability: Evidence from US sectors

2013 ◽  
Vol 10 (1) ◽  
pp. 34-40 ◽  
Author(s):  
Massimo Guidolin ◽  
David G. McMillan ◽  
Mark E. Wohar
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Time Varying ◽  
Stock Return Predictability

scholarly journals The optimum processing of clipped signals: an approach based an a likelihood ratio statistic

1983 ◽  
Vol 24 (3) ◽  
pp. 262-278
Author(s):  
R. G. Keats ◽  
Winifred Frost ◽  
Annette Dobson
Keyword(s):  
Likelihood Ratio ◽  
Computer Simulations ◽  
Taylor Expansion ◽  
Likelihood Ratio Statistic ◽  
Optimum Processing ◽  
Mean And Variance ◽  
Ratio Approach ◽  
The Mean

AbstractThe likelihood ratio approach to the detection of small signals in the presence of noise is investigated in the case where the available data have been clipped. The statistic obtained is the ratio of orthant probabilities and appears intractable; accordingly an approximation to this statistic is developed by truncating an appropriate Taylor expansion. Approximations are obtained for the mean and variance of this modified statistic and compared with those obtained from computer simulations.

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