Similar Search Results

Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really Attractive Investments?

Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2005

correlation with stocks and bond markets. Whenevaluating using the Markowitz portfolio selection theory, hedge funds appear … tooffer a remarkable opportunity. Yet use of the Markowitz theory neglects three importantqualities of hedge funds: the … existence of significant autocorrelation, bias,and fat tails. Each of these three issues has been studied individually, but no …

Persistent link: https://www.econbiz.de/10005861558

RENDITE UND KAPITALKOSTEN

Laitenberger, Jörg - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2004

Zur Bewertung von Investitionsprojekten mit mehrperiodigen Zahlungenk¨onnen die erwarteten Zahlungen mit geeigneten Kapitalkostendiskontiert werden. Die Kapitalkosten werden in der Regel als die erwarteteeinperiodige Rendite der Investition bestimmt, wobei häufigauf Kapitalmarktmodelle wie das...

Persistent link: https://www.econbiz.de/10005867639

Fixed Bandwidth Asymptotics in Single EquationModels of Cointegration with an Application to MoneyDemand

Bunzel, Helle - Iowa State University of Science and Technology <Ames, … - 2003

. The novelty is in improving over the well-knownheteroscedasticity and autocorrelation consistent (HAC) robust standard … errors usingfixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment.It is shown that the …

Persistent link: https://www.econbiz.de/10009418928

Managerial Incentives and Firm Valuation - Evidence from Switzerland

Schmid, Markus M.; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

This paper presents an integrated analysis of the relationships between managerial share ownership (or alternatively the percentage of equity-based compensation), four additional corporate governance mechanisms, and firm value by explicitly incorporating the simultaneity of the process...

Persistent link: https://www.econbiz.de/10005862888

TWO STAGE QUANTILE REGRESSION WHEN THEFIRST STAGE IS BASED ON QUANTILEREGRESSION

Kim, Tae-Hwan; Muller, Christophe - University <Nottingham> / Department of Economics - 2003

We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...

Persistent link: https://www.econbiz.de/10005868899

Novel Approaches to Coherency Conditions in LDV Models

Hajivassiliou, Vassilis - London School of Economics and Political Science - 2008

The paper discusses the major identification issue of coherency conditions in LDVmodels with endogeneity and flexible …

Persistent link: https://www.econbiz.de/10008911509

Feasible Momentum Strategies - Evidence from the Swiss Stock Market

Rey, David M.; Schmid, Markus M. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2005

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

Persistent link: https://www.econbiz.de/10005862981

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional … systemsby means of a two-step strategy. The finite sample properties of the GMM estimatorof the combination weights are …

Persistent link: https://www.econbiz.de/10005865451

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

individual efficiency scores. The basic idea lies in the introductionof an additive error term consisting of a noise and an …

Persistent link: https://www.econbiz.de/10005866198

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

Walder, Roger - 2002

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Persistent link: https://www.econbiz.de/10005843342