Narrow search
Showing 1 - 10 of 10,740
Cover Image
Bayesian inference for hedge funds with stable distribution of returns
Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; … - 2010
Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10010301731
Cover Image
Flexible modeling of conditional distributions using smooth mixtures of asymmetric student T densities
Li, Feng; Villani, Mattias; Kohn, Robert - 2009
A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...
Persistent link: https://www.econbiz.de/10010320729
Cover Image
Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application
Paserman, Marco Daniele - 2004
This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...
Persistent link: https://www.econbiz.de/10010276176
Cover Image
Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien
Lehrbass, Frank; Wörndl, Fabian; FOM Hochschule für … - 2021
: Die Hedgefonds. Deshalb wird sich diese Forschungsarbeit dieser exklusiven Form von Kapitalanlagemöglichkeiten zuwenden …. Bei einer Investition in Hedgefonds hofft man darauf, dass sie Erträge entsprechend den Erwartungen generieren und dabei … den Markt schlagen. Noch konkreter erwartet man, dass Hedgefonds Alpha generieren und ein kaum spürbares Beta haben …
Persistent link: https://www.econbiz.de/10012819803
Cover Image
What drives the Quotes of Earnings Forecasters?
de Bruijn, Bert; Franses, Philip Hans - 2012
Earnings forecasts can be useful for investment decisions. Research on earnings forecasts has focused on forecast performance in relation to firm characteristics, on categorizing the analysts into groups with similar behaviour and on the effect of an earnings announcement by thefirm on future...
Persistent link: https://www.econbiz.de/10010326351
Cover Image
Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches
Herold, Ulf; Maurer, Raimond - 2002
Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary … reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into … that leads to new procedures that can reduce estimation risk. Resampling efficiency has been contrasted to standard …
Persistent link: https://www.econbiz.de/10010316250
Cover Image
On the determinants of currency crises: The role of model uncertainty
Crespo Cuaresma, Jesus; Slacik, Tomas - 2008
We tackle explicitly the issue of model uncertainty in the framework of binary variable models of currency crises. Using Bayesian model averaging techniques, we assess the robustness of the explanatory variables proposed in the recent literature for both static and dynamic models. Our results...
Persistent link: https://www.econbiz.de/10010293425
Cover Image
Determinants and Costs of Current Account Reversals under Heterogeneity and Serial Correlation
Aßmann, Christian - 2007
Recent empirical evidence suggests that reversing current account balances imply costly adjustment processes leading to reduced economic growth. Using large panel data sets to analyze determinants and costs of reversals asks for controls of heterogeneity among countries. This paper contributes a...
Persistent link: https://www.econbiz.de/10010296281
Cover Image
Unraveling the fortunes of the fortunate: an Iterative Bayesian Model Averaging (IBMA) approach
Eicher, Theo S.; Papageorgiou, Chris; Roehn, Oliver - 2007
inherent in growth regressions. IBMA is essential to our estimation because the simultaneous consideration of model uncertainty …
Persistent link: https://www.econbiz.de/10010264062
Cover Image
Jointness of growth determinants
Doppelhofer, Gernot; Weeks, Melvyn - 2007
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...
Persistent link: https://www.econbiz.de/10010264116