- Out-of-Stock
Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed [extrait BMI 144]
- Write a review
€50.00
Tax included
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
BMI144-1129612
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis
- Equity Option Listing and Underlying Market Quality: Evidence from a Price Duration Model
- Does the Catering Theory of Dividend Apply to the French Listed Firms?
Availability: Out of stock
- Risk-Based and Factor Investing
- Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis
- Analyst Earnings Forecasts, Individual Investors’ Expectations and Trading Volume
- Changing Dynamic Relationships between Stock and Bond Markets in Crises
- Do Regulatory and Supervisory Reforms Affect European Bank Stability
Availability: Out of stock
Sommaire
Articles
- Purchasing an Annuity: Now or Later? The Role of Interest Rates
- Does Corporate Social Performance Really Improve Corporate Financial Performance?
- Does the Market Value the Social Dimension? International Evidence
- When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance
Availability: Out of stock
Sommaire
Articles
- How Risky are Low-Risk Hedge Funds?
- Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach
- Multi-Asset Seasonality and Trend-Following Strategies
- New Insight on the Performance of Equity Long/short Investment Styles
- Editorial
