The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed …

standard CAPM approach for each industry separately, and examines the effectiveness of alternative beta estimators. The finding … portfolios are based on sorting four variables; beta, size, value and momentum factors. This paper shows that none of the return … reality of the CAPM, as well as offering guidance concerning the suitable practical application of the CAPM when estimating …

standard CAPM approach for each industry separately, and examines the effectiveness of alternative beta estimators. The finding … portfolios are based on sorting four variables; beta, size, value and momentum factors. This paper shows that none of the return … reality of the CAPM, as well as offering guidance concerning the suitable practical application of the CAPM when estimating …

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the … venture funds, we find a high market beta. For buyout funds, we find a low beta. Though we have a small sample, our results …