Narrow search
Showing 1 - 10 of 42,089
Cover Image
Biases in CAPM Beta Estimation
Chen, Linda H. - 2018
In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...
Persistent link: https://www.econbiz.de/10012935615
Cover Image
Practical significance, meta-analysis and the credibility of economics
Stanley, Tom D.; Doucouliagos, Chris - 2019
, increasing statistical power, reducing bias and enhancing credibility, meta-analysis is widely regarded as 'best evidence …
Persistent link: https://www.econbiz.de/10012034162
Cover Image
A Penalty Function Approach to Bias Reduction in Non-Linear Panel Models with Fixed Effects
Bester, Alan; Hansen, Christian - 2005
nonlinearity of the problem. We present a penalty for the objective function that reduces the bias in the resulting point estimates … practice. The form of the penalty also provides interesting intuition into how the bias reduction is working. We present … simulation results that suggest that the penalized optimization approach may substantially reduce the bias in nonlinear fixed …
Persistent link: https://www.econbiz.de/10014027743
Cover Image
Simulating Fundamental Analysis of a Firm Using a VECX Model
de Medeiros, Otavio Ribeiro - 2011
The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...
Persistent link: https://www.econbiz.de/10013129177
Cover Image
Building Blocks of Linear Time Series Modeling
Louangrath, Paul - 2013
Three models are presented: AR (autoregressive), MA (moving average) and ARMA (autoregressive moving average) are common models used in time series forecasting. These three models are the various definition of each element of the General Linear Model: Y = a + b + c. For the study of linear...
Persistent link: https://www.econbiz.de/10013076067
Cover Image
Understanding Limit Theorems for Semimartingales : A Short Survey
Podolskij, Mark - 2009
This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...
Persistent link: https://www.econbiz.de/10013155852
Cover Image
Estimating the DJI Series by Multifractional Brownian Motion
Park, Jungjun - 2020
This paper estimates the stock market and its price dynamics in terms of the multifractional Brownian motion. In our analysis, we use the financial dataset of the Dow Jones Industrial Average (DJI) time series from March 2009 to June 2015. First, we briefly introduce the definitions and...
Persistent link: https://www.econbiz.de/10012840307
Cover Image
Detecting Relevant Interactions in High Dimensional Data Analysis
So, Mike K. P. - 2014
In high dimensional data, relevant interactions can be difficult to identify due to the extremely large number of possible interactions among variables. Conventional methods use a screening stage to vastly reduce the dimension of the variable space before examining the interaction effect....
Persistent link: https://www.econbiz.de/10013045217
Cover Image
Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach
Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021
We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...
Persistent link: https://www.econbiz.de/10013233982
Cover Image
Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
Qu, Zhongjun; Tkachenko, Denis - In: Quantitative economics : QE ; journal of the … 3 (2012) 1, pp. 95-132
This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second...
Persistent link: https://www.econbiz.de/10011756473