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Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016

This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

Persistent link: https://www.econbiz.de/10011456708

A Panel Threshold Model of Tourism Specialization and Economic Development

Chang, Chia-Lin - 2014

. The results from panel threshold regression show that there exists a positive and significant relationship between …

Persistent link: https://www.econbiz.de/10013070653

IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development

Chang, Chia-Lin - 2010

economic development in 159 countries over the period 1989-2008. The results from panel threshold regressions show a positive …

Persistent link: https://www.econbiz.de/10013145295

Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data

Kuo, Hsiao-I - 2009

This paper investigates the impacts of Avian Flu on global and Asian tourism using panel data procedures. Both static … and dynamic fixed effects panel data models are adopted to estimate the impacts of this infectious disease. The empirical … results from static and dynamic fixed effects panel data models are consistent and indicate that the numbers of affected …

Persistent link: https://www.econbiz.de/10012718479

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304

A General Asymptotic Theory for Time Series Models

Ling, Shiqing - 2009

This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class...

Persistent link: https://www.econbiz.de/10013155180