In this paper, the financial engineering minimum risk-based portfolio hedging model is first analyzed. It is then followed by the investigation on various major estimation methods for the minimum risk hedge ratio. The results revealed in the current study show that the HR obtained by the ordinary least squares (OLS) model is maximal and the out-of-sample hedging performance is the best; however...

Local linear prediction is one of several methods that have been applied to prediction of real time series including financial time series. The difference from global linear prediction is that, for every single point prediction, a different linear autoregressive (AR) model is estimated based only on a number of selected past scalar data segments. Geometrically, these data segments correspond to...

In regression analysis for deriving scaling laws in the context of fusion studies, usually standard regression methods have been applied, of which ordinary least squares (OLS) is the most popular. However, concerns have been raised with respect to several assumptions underlying OLS in its application to fusion data. More sophisticated statistical techniques are available, but they are not widel...

energy carriers including electricity play a critical role in human societies development, and as the time passes, their importance in the human socio-economic life rises. therefore, knowing electricity demand and the factors affecting on it could have an effective role in economic decision-making. while dividing electricity demand into different consuming sectors, this study uses economic vari...

This paper analyzes an approach to correcting spurious regressions involving unit-root nonstationary variables by generalized least squares (GLS) using asymptotic theory. This analysis leads to a new robust estimator and a new test for dynamic regressions. The robust estimator is consistent for structural parameters not just when the regression error is stationary but also when it is unit-root ...

The isotopic composition of surface water vapor flux (δE) is a quantity frequently used to investigate the local and regional cycle. This study reports results comparative evaluation δE determined with Keeling plot flux-gradient methods using high-frequency data collected at cropland site lake site. Three regression models, ordinary least squares (OLS), York's solution (YS), geometric mean regr...

Motivated by the problem of selecting representative portfolios for backtesting counterparty credit risks, we propose a matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of random variables. An iterative procedure based on the ordinary least-squares estimation (OLS) is proposed to compute MQE. MQE can be easily modified by add...