搜索结果: 1-9 共查到“理论经济学 M - ESTIMATORS”相关记录9条 . 查询时间(0.062 秒)
Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
covariance matrix nine estimators portfolio optimization
2010/4/28
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the per...
Most Efficient Homogeneous Volatility Estimators
Variance and volatility estimators efficiency homogeneous functions Variance and volatility estimators efficiency homogeneous functions
2010/11/2
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information containe...
Scaling conditional tail probability and quantile estimators
distria relatively high frequency quantile estimates
2011/3/31
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distria.
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
2010/9/7
EGARCH models for conditionally heteroscedastic time series have attracted a steadily increasing degree of attention in financial econometrics and related fields. These models are able to represent so...
Evaluating the Precision of Estimators of Quantile-Based Risk Measures
Value at Risk Expected Shortfall Spectral Risk Measures Moments Precision
2011/3/31
This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the prec...
An analysis of Hansen–Scheinkman moment estimators for discretely and randomly sampled diffusions
Diffusions Discrete sampling Random sampling Moment conditions Efficiency
2014/3/13
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future:generating moment implications for continuous-time Markov processes. Econometrica 63...
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED LEVY PROCESSES
Jumps efficiency inference discrete sampling
2014/3/13
This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy pro...
ESTIMATORS OF DIFFUSIONS WITH RANDOMLY SPACED DISCRETE OBSERVATIONS: A GENERAL THEORY
Diffusions likelihood discrete and random sampling
2014/3/13
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time se...