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Asymptotic bias of OLS in the presence of reverse causality
Basu, Deepankar - 2015
In this paper, I derive an expression for the asymptotic bias in the OLS estimator of the partial effect of a regressor … show that the sign of the asymptotic bias depends only on the signs of the bi-directional causal effects. …
Persistent link: https://www.econbiz.de/10011788885
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Hierarchical Causality in Financial Economics
Wilcox, Diane - 2015
-generated structure, consistent with conditions for no-arbitrage pricing theory; the fourth level describes market factors which originate …
Persistent link: https://www.econbiz.de/10013031138
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Interpreting OLS estimands when treatment effects are heterogeneous : smaller groups get larger weights
Słoczyński, Tymon - In: The review of economics and statistics 104 (2022) 3, pp. 501-509
Persistent link: https://www.econbiz.de/10013281460
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Algebraic Theory of Indentification in Parametric Models
Kociecki, Andrzej - 2016
, which are identified, but can not be uniquely recovered from the reduced form parameters. Although we apply our theory only …
Persistent link: https://www.econbiz.de/10013008561
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Fama-French 1992 Redux with Robust Statistics
Green, Christopher G - 2017
Persistent link: https://www.econbiz.de/10012957028
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Contagion, Spillover and Interdependence
Rigobon, Roberto - 2017
and contagion imply that the reduced form observable variables suffer from two possible sources of bias: endogeneity and …
Persistent link: https://www.econbiz.de/10012963951
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Breakthrough Technology to Resolve Problems in Annuities Hedging
Izmailov, Alexander - 2016
Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...
Persistent link: https://www.econbiz.de/10013000625
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Agent-Based Computational Economics (ACE) and African Modelling : Perspectives and Challenges
Nwaobi, Godwin Chukwudum - 2011
In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...
Persistent link: https://www.econbiz.de/10013117492
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Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up
Dubois, Robert - 2013
Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...
Persistent link: https://www.econbiz.de/10013084090
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Further to Asset Price Trend Theory : Decision Making, Optimization, Fears and Aspirations, and Notions of Market Efficiency
Dubois, Robert - 2014
the constraint that assets be fully and continuously invested is inconsistent with basic decision theory, as it disallows … in finance. We herein explore implications for the traditional ‘52'59 Markowitz approach to portfolio theory when the … incomplete Markowitz model. Relative to “Asset Price Trend Theory: Reframing portfolio theory from the ground up” (Dubois [2013 …
Persistent link: https://www.econbiz.de/10013049923