The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to...

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

The stylized fact of time-varying volatility in financial series is commonly accepted amongst scholars as well as practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross-entropic conditional density (MCECD) model, is a generalization of...

Motivated by the problem of setting prediction intervals in time series analysis, we suggest two new methods for conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent work on locally parametric techniques in density...

Purpose: This paper aims to provide new evidence regarding the firm performance implications of using temporal orientation (time pacing) and information technology (IT) to align an organization with its task environment. Design/methodology/approach: Using questionnaire data provided by top...