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Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - In: Annals of financial economics 8 (2013) 2, pp. 1-18

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The exact distribution of the Hansen-Jagannathan bound

Kan, Raymond; Robotti, Cesare - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 1915-1943

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Essays in econometrics with focus on smooth minimum distance inference

Becker, Daniel - 2021

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Robust estimation of loss models for lognormal insurance payment severity data

Poudyal, Chudamani - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 475-507

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Likelihood functions for state space models with diffuse initial conditions

Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008

State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...

Persistent link: https://www.econbiz.de/10011374403