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Persistent link: https://www.econbiz.de/10005663661
The asymptotic distribution of the least-squares estimators in the random walk model was first found by White [17] and is described in terms of functional of Brownian motion with no closed form expression known. Evans and Savin [5,6] and others have examined numerically both the asymptotic and...
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In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories...
Persistent link: https://www.econbiz.de/10009399041
The purpose of this paper is to investigate the dynamics and statistics of style rotation based on the Barberis-Shleifer model of style switching. Investors in stocks regard the forecasting of style-relative performance, especially style rotation, as highly desirable but difficult to achieve in...
Persistent link: https://www.econbiz.de/10009416820
A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...
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Dealing with noninvertible, infinite-order moving average (MA) models, we study the asymptotic properties of an estimator of the noninvertible coefficient. The estimator is constructed acting as if the data were generated from a Gaussian MA process. Allowing for two cases on the initial values...
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