Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10000955509
Persistent link: https://www.econbiz.de/10001486774
Persistent link: https://www.econbiz.de/10000924230
Persistent link: https://www.econbiz.de/10000970451
Persistent link: https://www.econbiz.de/10000948472
Persistent link: https://www.econbiz.de/10000994721
Persistent link: https://www.econbiz.de/10012510901
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
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