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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...
Persistent link: https://www.econbiz.de/10011862130
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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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Accelerating GARCH and Score-Driven Models : Optimality, Estimation and Forecasting
Blasques, Francisco - 2017
We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time-varying with an...
Persistent link: https://www.econbiz.de/10012951597
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HighFrequencyCovariance : A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Baumann, Stuart; Klymak, Margaryta - 2021
High frequency data typically exhibit asynchronous trading and microstructure noise, which can bias the covariances estimated by standard estimators. While a number of specialised estimators have been developed, they have had limited availability in open source software. HighFrequencyCovariance...
Persistent link: https://www.econbiz.de/10013237488
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Accelerating GARCH and score-driven models : optimality, estimation and forecasting
Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017
We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time- varying with an...
Persistent link: https://www.econbiz.de/10011688512
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Between Data Cleaning and Inference : Pre-Averaging and Robust Estimators of the Efficient Price
Mykland, Per A. - 2016
broader theory which also applies to cases where M-estimation is used to pin down the efficient price in local neighbourhoods …. M-estimation serves the same function as averaging, but we shall see that it is safer. Good choices of M … problem.In this paper, we develop a general theory for pre-averaging and M-estimation based inference. We show that, up to a …
Persistent link: https://www.econbiz.de/10012996161
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Incorporating Higher Moments into Value at Risk Estimation
Polanski, Arnold; Stoja, Evarist - 2020
higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We …
Persistent link: https://www.econbiz.de/10014213990
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Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods
Blake, David P. - 2016
Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against … find that fund size has a negative effect on the average fund manager's benchmark-adjusted performance. Further, when we …
Persistent link: https://www.econbiz.de/10012996413
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On the Estimation of Demand-Based Asset Pricing Models
van der Beck, Philippe - 2022
as an instrument to address the endogeneity of trades and prices. Using the estimation in changes along with the flow …-based instrument I find that elasticities are 4 times larger than what previous estimates suggest. Estimation over different trading …
Persistent link: https://www.econbiz.de/10013406193
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On the estimation of the global minimum variance portfolio
Kempf, Alexander; Memmel, Christoph - 2005
distributions allows us to calculate the extent of the estimation risk an investor faces and to answer important questions in asset … management. -- Global Minimum Variance Portfolio ; Weight Estimation ; Estimation Risk …
Persistent link: https://www.econbiz.de/10009524818