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Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed [extrait BMI 144]

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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
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