Cross section covariance matrix

Sensitivity and uncertainty analysis in error propagation studies are carried out based on nuclear data uncertainty information available in the basic nuclear data libraries such as ENDF, JEFF, JENDL and others.

5p christabelhuynh 29-05-2020 7 0   Download

Both the availability and the quality of covariance data improved over the last years and many recent cross-section evaluations, such as JENDL-4.0, ENDF/B-VII.1, JEFF-3.3, etc. include new covariance data compilations.

8p christabelhuynh 29-05-2020 4 1   Download

At this point, it is worth mentioning that the paper is solely concerned with the structure of risk in the stock market, not with the structure of expected returns. Multi-factor models of the covariance matrix can still be very useful if economic arguments tie them up to the cross-section of expected returns, as in the Arbitrage Pricing Theory of Ross (1976). Any discussion of the relationship between risk factors and expected returns is outside the scope of the paper.

17p quaivattim 04-12-2012 50 5   Download