![Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed [extrait BMI 144] Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed [extrait BMI 144]](https://eska-publishing.com/10949-large_default/investigating-a-fund-return-distribution-when-the-value-of-the-fund-under-management-is-irregularly-observed-extrait-bmi-144-.jpg)
Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed [extrait BMI 144]
En Savoir Plus
Version numérique PDF
We propose an estimation technique that directly utilizes irregularly spaced observations to investigate the statistical properties of irregularly observed monetary values of a fund under management. The contribution of our paper is that we provide a statistically enhanced and more detailed method that improves the existing likelihood based techniques developed in other fields in estimating the parameters of irregularly spaced observations.JEL classification: C51; C58; G23.Keywords: Fund Value under Management; Heteroskedasticity; Irregularly Spaced Time Series; Ornstein Uhlenbeck; Return Distribution.Auteurs :Hong KiHoon Jimmy
Extrait de la revue BMI 144
No customer comments for the moment.