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Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world...
Persistent link: https://www.econbiz.de/10005027000
This article studies the residual behaviour of various stationary processes in the presence of change patterns. Three types of change patterns are considered, Additive Outliers, Innovative Outliers and Level Shift. The knowledge of the residual behaviour is important for monitoring production...
Persistent link: https://www.econbiz.de/10005492150
distribution in the case of non-iid random variables to deal with autocorrelation and/or conditional heteroskedasticity stylized …
Persistent link: https://www.econbiz.de/10005495243
features and statistical properties, including convergence of the limiting distribution and autocorrelation structure. We …
Persistent link: https://www.econbiz.de/10005495755
This paper considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is easily generalized to...
Persistent link: https://www.econbiz.de/10005423854
normal errors is clarified, and a byproduct is a specification of the autocorrelation matrix with a structure consistent with …
Persistent link: https://www.econbiz.de/10005427610
Persistent link: https://www.econbiz.de/10005376282
The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we...
Persistent link: https://www.econbiz.de/10005382153
We develop Bayesian procedures to make inference about parameters of a statistical design with autocorrelated error terms. Modelling treatment effects can be complex in the presence of other factors such as time; for example in longitudinal data. In this paper, Markov chain Monte Carlo methods...
Persistent link: https://www.econbiz.de/10005458431
first-order autocorrelation in mispricing changes similar in magnitude to that actually observed. For low-frequency data, we …
Persistent link: https://www.econbiz.de/10005459051