Search Results - subject:"Conditioning variables"

Hollstein, Fabian; Prokopczuk, Marcel - In: Management science : journal of the Institute for … 69 (2023) 6, pp. 3675-3696

Persistent link: https://www.econbiz.de/10014305756

Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - 2015

management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number … of the conditioning variables can be either fixed or diverging to infinity at certain polynomial rate in comparison with … conditioning variables. Under some mild regularity conditions, we have established the large sample properties for the developed …

Persistent link: https://www.econbiz.de/10011445715

Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - Department of Economics and Related Studies, University … - 2015

management. In this paper, we study the dynamic portfolio choice with multiple conditioning variables, where the number of the … conditioning variables can be either fixed or diverging to infinity at certain polynomial rate of the sample size. We propose a … conditioning variables. Under some regularity conditions, we establish the large sample properties for the developed portfolio …

Persistent link: https://www.econbiz.de/10011166134

Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

Persistent link: https://www.econbiz.de/10010515948

Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

Persistent link: https://www.econbiz.de/10010481119

An asset pricing approach to testing general term structure models

Christensen, Bent Jesper; Wel, Michel van der - In: Journal of financial economics 134 (2019) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10012166772

Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 194 (2016) 2, pp. 309-318

Persistent link: https://www.econbiz.de/10011705164

Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods

Mittelhammer, Ronald C.; Judge, George G.; Schoenberg, Ron - 2003

This paper presents empirical evidence concerning the finite sample performance of conventional and generalized empirical likelihood-type estimators that utilize instruments in the context of linear structural models characterized by endogenous explanatory variables. There are suggestions in the...

Persistent link: https://www.econbiz.de/10009442778

Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods

Mittelhammer, Ron C; Judge, George G.; Schoenberg, Ron - Department of Agricultural and Resource Economics, … - 2003

Persistent link: https://www.econbiz.de/10010537380

An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses

Christensen, Bent Jesper; Wel, Michel van der - School of Economics and Management, University of Aarhus

We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premia and for the absence of arbitrage opportunities based on the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the equity case, a zero intercept condition is...

Persistent link: https://www.econbiz.de/10008836605