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Macroeconomic development and stock market performance : a non-parametric approach
Adu, George; Marbuah, George; Mensah, Justice Tei; … - 2013
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic …
Persistent link: https://www.econbiz.de/10011526923
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Mid-Price Prediction in a Limit Order Book
Palguna, Deepan - 2015
We propose several nonparametric predictors of the mid-price in a limit order book, based on different features …
Persistent link: https://www.econbiz.de/10013031095
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A nonparametric approach to evaluating inflation-targeting regimes
Razzak, Weshah A.; Nasser, Rabie - 2008
We use a variety of nonparametric test statistics to evaluate the inflation- targeting regimes of Australia, Canada … them parametric and nonparametric econometric methods, for robustness and completeness. Our evaluation strategy is based on … nonparametric univariate and multivariate statistical methods to test whether the first and second moments of a variety of real …
Persistent link: https://www.econbiz.de/10011523636
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antonio; Paula, Áureo de - 2015 - This version: September, 2015
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological …
Persistent link: https://www.econbiz.de/10011317976
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antoine; Paula, Áureo de - 2013
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological …
Persistent link: https://www.econbiz.de/10010189045
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A Security Market Plane Approach to Stock Selection
Ferguson, Robert - 2018
Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...
Persistent link: https://www.econbiz.de/10012928355
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Application of the Beneish Model on the Warsaw Stock Exchange
Sylwestrzak, Marek - In: Journal of banking and financial economics 18 (2022) 2, pp. 5-16
This paper investigates irregularities in financial statements by applying the Beneish and Roxas models to Polish firms listed on the Warsaw Stock Exchange from 2015 to 2020. The total sample included 110 observations. The sample comprised companies that had received an adverse or disclaimer...
Persistent link: https://www.econbiz.de/10014285852
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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The Structural Modelling of Operational Risk Via Bayesian Inference : Combining Loss Data with Expert Opinions
Shevchenko, Pavel V. - 2014
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of...
Persistent link: https://www.econbiz.de/10013043658
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GMM weighting matrices incross-sectional asset pricing tests
Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020 - This version: November 4, 2020
Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...
Persistent link: https://www.econbiz.de/10012322408