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Estimating the Risk-Return Trade-Off with Overlapping Data Inference
Hedegaard, Esben - 2014
Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...
Persistent link: https://www.econbiz.de/10013051727
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Estimating the Risk-Return Trade-Off with Overlapping Data Inference
Hedegaard, Esben - 2014
Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...
Persistent link: https://www.econbiz.de/10013056866
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Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 31 (2012) 4/6, pp. 532-557
Persistent link: https://www.econbiz.de/10009539710
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Simulated maximum likelihood for continuous-discrete state space models using Langevin importance sampling
Singer, Hermann - 2016
Persistent link: https://www.econbiz.de/10011569084
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Maximum likelihood estimation of continuous-discrete state-space models : Langevin path sampling vs. numerical integration
Singer, Hermann - 2016
Persistent link: https://www.econbiz.de/10011569146
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Estimating the risk-return trade-off with overlapping data inference
Hedegaard, Esben; Hodrick, Robert J. - In: Journal of banking & finance 67 (2016), pp. 135-145
Persistent link: https://www.econbiz.de/10011634670
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The Gibbs sampler with particle efficient importance sampling for state-space models
Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman - In: Econometric reviews 38 (2019) 10, pp. 1152-1175
Persistent link: https://www.econbiz.de/10012181399
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Langevin and Kalman importance sampling for nonlinear continuous-discrete state space models
Singer, Hermann - 2017
Persistent link: https://www.econbiz.de/10011619759
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Estimating the Risk-Return Trade-off with Overlapping Data Inference
Hedegaard, Esben - 2014
Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...
Persistent link: https://www.econbiz.de/10012458695
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Efficiency Results of Mle and GMM Estimation with Sampling Weights
Butler, J.S - 1998
This paper examines the theory of the estimation of econometric models and Hausman tests with sampling weights. The … Manski-Lerman weighted conditional MLE is emphasized because of its popularity in econometric estimation with sampling … weights. It is an inefficient alternative to full information MLE under choice-based sampling, and weighted conditional MLE …
Persistent link: https://www.econbiz.de/10014220750