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semi-variance

Overview page. Subjects: Financial Institutions and Services.

A measure of the risk of a portfolio that only considers outcomes below the average. It is a measure of the spead of a distribution on its most risky side. See variance.

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semi-variance

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking. 33 words.

A measure of the risk of a *portfolio that only considers outcomes below the average. It is a measure

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semi-variance

Edited by Jonathan Law.

in A Dictionary of Finance and Banking

January 2014; p ublished online May 2014 .

Reference Entry. Subjects: Financial Institutions and Services. 33 words.

A measure of the risk of a *portfolio that only considers outcomes below the average. It is a measure

Go to Oxford Reference »  home page

semi-variance

Overview page. Subjects: Financial Institutions and Services.

A measure of the risk of a portfolio that only considers outcomes below the average. It is a measure of the spead of a distribution on its most risky side. See variance.

See overview in Oxford Index

semi-variance

Edited by Jonathan Law and John Smullen.

in A Dictionary of Finance and Banking

January 2008; p ublished online January 2008 .

Reference Entry. Subjects: Financial Institutions and Services. 33 words.

A measure of the risk of a portfolio that only considers outcomes below the average. It is a measure of

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scatter

Overview page. Subjects: Psychology.

In descriptive statistics, the degree of dispersion or variability in a set of scores, usually indexed by the variance or standard deviation. See also interquartile range, probable error,...

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dispersion

Overview page. Subjects: Biological Sciences.

In descriptive statistics, the degree of scatter or variability in a group of scores, usually measured by the variance or standard deviation. See also interquartile range, probable error,...

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measure of spread

Overview page. Subjects: Probability and Statistics.

A measure of the extent to which the values of a variable, in either a sample or a population, are spread out. The most commonly used measures of spread are variance, standard deviation,...

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probable error

Overview page. Subjects: Chemistry.

A measure of the degree of dispersion, variability, or scatter in a group of scores, equal to half the interquartile range. It can be calculated by multiplying the standard deviation by...

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range

Overview page. Subjects: Psychology.

In descriptive statistics, a crude measure of the degree of dispersion, variability, or scatter in a group of scores, defined as the difference between the highest and lowest score in the...

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variability

Overview page. Subjects: Social Sciences — Psychology.

In statistics, the degree to which a set of scores is dispersed or scattered. Two sets of scores with identical means (averages) may have widely different variabilities. The usual measures...

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Martingales

James Davidson.

in Stochastic Limit Theory

October 1994; p ublished online November 2003 .

Chapter. Subjects: Econometrics and Mathematical Economics. 10676 words.

This chapter summarizes the essentials of sequential conditioning and martingale theory. After a review of the basic properties of martingales and semi‐martingales, the upcrossing...

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A non-linear truncated SVD variance and resolution analysis of two-dimensional magnetotelluric models

Thomas Kalscheuer and Laust B. Pedersen.

in Geophysical Journal International

May 2007; p ublished online May 2007 .

Journal Article. Subjects: Geophysics. 10432 words.

Summary

A novel approach to assess variance and resolution properties of 2-D models of electrical resistivity derived from magnetotelluric measurements is...

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Empirical Asset Pricing with Nonlinear Risk Premia

Aleksandar Mijatović and Paul Schneider.

in Journal of Financial Econometrics

June 2014; p ublished online June 2013 .

Journal Article. Subjects: Econometrics and Mathematical Economics; Econometric Modelling. 9462 words.

We introduce a new model for the joint dynamics of the S&P 100 index and the VXO implied volatility index. The nonlinear specification of the variance process is designed to simultaneously...

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Partial Identification of the Distribution of Treatment Effects in Switching Regime Models and its Confidence Sets

Yanqin Fan and Jisong Wu.

in The Review of Economic Studies

July 2010; p ublished online July 2010 .

Journal Article. Subjects: Economics. 12033 words.

In this paper, we establish sharp bounds on the joint distribution of potential outcomes and the distribution of treatment effects in parametric switching regime models with normal...

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Combining parametric, semi-parametric, and non-parametric survival models with stacked survival models

Andrew Wey, John Connett and Kyle Rudser.

in Biostatistics

July 2015; p ublished online February 2015 .

Journal Article. Subjects: Probability and Statistics. 6440 words.

For estimating conditional survival functions, non-parametric estimators can be preferred to parametric and semi-parametric estimators due to relaxed assumptions that enable robust...

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Efficient estimation of semiparametric transformation models for counting processes

Donglin Zeng and D. Y. Lin.

in Biometrika

September 2006; p ublished online September 2006 .

Journal Article. Subjects: Probability and Statistics. 0 words.

A class of semiparametric transformation models is proposed to characterise the effects of possibly time-varying covariates on the intensity functions of counting processes. The class...

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Marker-Set Approaches for Assessing Gene × Environment Interactions at Gene Level

Jung-Ying Tzeng and Arnab Maity.

in Statistical Approaches to Gene X Environment Interactions for Complex Phenotypes

July 2016; p ublished online May 2017 .

Chapter. Subjects: Biomathematics and Statistics. 8721 words.

This chapter reviews the statistical methods for studying GxE effect at gene-level. Depending on how the main and interaction effects are modelled, we generally classify the current methods...

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Weather effects on European agricultural output, 1850–1913

Solomos Solomou and Weike Wu.

in European Review of Economic History

December 1999; p ublished online December 1999 .

Journal Article. Subjects: Industrial History; Labour History; Economic History. 0 words.

This article compares the effects of weather shocks on agricultural production in Britain, France and Germany during the late nineteenth century. Using semi-parametric models to estimate...

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Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

John M. Griffin, Patrick J. Kelly and Federico Nardari.

in The Review of Financial Studies

August 2010; p ublished online July 2010 .

Journal Article. Subjects: International Finance; Economics; International Financial Markets. 23967 words.

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market...

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Impacts of Water Deficiency on Life History of <i>Sitobion avenae</i> Clones From Semi-arid and Moist Areas

Peng Dai, Deguang Liu and Xiaoqin Shi.

in Journal of Economic Entomology

October 2015; p ublished online July 2015 .

Journal Article. 5693 words.

The climate warming trend appears to be evident with an increasing frequency of drought events in Shaanxi Province of China, which may have contributed to an increase in outbreaks of the...

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