Showing 1 - 10 of 16
In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...
Persistent link: https://www.econbiz.de/10005475098
Persistent link: https://www.econbiz.de/10005776187
We study the influence of measurement error specification on estimation results in the context of continuous-time models of the term structure of interest rates. For this purpose, we estimate a two-factor mean-reverting stochastic model of the recent evolution of the Spanish term structure. The...
Persistent link: https://www.econbiz.de/10005625749
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We obtain expressions for the optimal weighting matrices, and discuss as examples an MA(1) estimated as AR(1), an AR(1) estimated as MA(1), and a log-normal...
Persistent link: https://www.econbiz.de/10005625776
This paper discusses the application of the EM algorithm for maximum likelihood estimation of factor models with conditional heteroskedasticity in the common factors.
Persistent link: https://www.econbiz.de/10005625784
We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are...
Persistent link: https://www.econbiz.de/10005827073
This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game....
Persistent link: https://www.econbiz.de/10005827076
We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...
Persistent link: https://www.econbiz.de/10005827090
We derive indirect estimators of multivariate conditionally heteroskedastic factor models in which the volatilities of the latent factors depend on their past values. Specifically, we calibrate the analytical score of a Kalman-filter approximation, taking into account the inequality constraints...
Persistent link: https://www.econbiz.de/10005827094
We derive computationally simple score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models. The implicit orthogonality conditions resemble the orthogonality conditions resemble the orthogonality conditions of models with observed...
Persistent link: https://www.econbiz.de/10008513289