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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10003829113
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Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …
Persistent link: https://www.econbiz.de/10013115577
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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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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Using Portfolio Returns to Estimate the Probability of Large Jumps
Cacho-Diaz, Julio - 2021
Sudden jumps in the stock market have a significant impact on consumers’ wealth. A market crash, in particular, can devastate lives and destabilize the entire economy. Therefore, it would be desirable if consumers, policy makers, and financial intermediaries could better anticipate such...
Persistent link: https://www.econbiz.de/10013239109
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The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711
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Diversifying estimation errors: an efficient averaging rule for portfolio optimization
Füss, Roland; Koeppel, Christian; Miebs, Felix - 2021
-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation …
Persistent link: https://www.econbiz.de/10012426966
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What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models
Glabadanidis, Paskalis - 2017
This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in …
Persistent link: https://www.econbiz.de/10012949435
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Efficient Estimation of Expected Stock Price Returns
Madan, Dilip B. - 2017
density estimation have significantly lower standard errors when compared to estimates derived via the usual method of …
Persistent link: https://www.econbiz.de/10012966101
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An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation
Frahm, Gabriel - 2010 - 1st version: March 4, 2010
situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …
Persistent link: https://www.econbiz.de/10008939385