This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of...

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...

The estimation of coefficients in a simple regression model with autocorrelated errors is considered. The underlying distributions are assumed to follow Student's $t$, gamma, and generalized logistic families. We apply both modified maximum likelihood estimation (MMLE) and nonlinear estimation...