Search Results - subject:"model mis-specification"

Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model

Giles, David E. - Department of Economics, University of Victoria - 2010

determine the consequences of model mis-specification in terms of over-fitting or under-fitting the model. Our results can also …

Persistent link: https://www.econbiz.de/10008765118

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2008

models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in …

Persistent link: https://www.econbiz.de/10005102178

Additional evidence on the Relationship between an internal audit function and external audit fees in Australia

Singh, Harjinder; Woodliff, David; Sultana, Nigar; … - In: International journal of auditing : IJA 18 (2014) 1, pp. 27-39

Persistent link: https://www.econbiz.de/10010338689

A critical examination of service loyalty measures

El-Manstrly, Dahlia; Harrison, Tina - In: Journal of marketing management : MM 29 (2013) 15/16, pp. 1834-1861

Persistent link: https://www.econbiz.de/10010235007

Parametric bootstrap under model mis-specification

Lu, H.Y. Kevin; Young, G. Alastair - In: Computational Statistics & Data Analysis 56 (2012) 8, pp. 2410-2420

ratio statistic. The context of model mis-specification is considered and inference based on a robust form of the signed …

Persistent link: https://www.econbiz.de/10010574473

Asset allocation: How much does model choice matter?

Branger, Nicole; Hansis, Alexandra - In: Journal of Banking & Finance 36 (2012) 7, pp. 1865-1882

options. We also show that model mis-specification results in significant utility losses. Omitting jumps in volatility can be …

Persistent link: https://www.econbiz.de/10010574861

Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors

Branger, Nicole; Schlag, Christian - 2004

closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to …

Persistent link: https://www.econbiz.de/10010316083

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes

Hendry, David; Chevillon, Guillaume - Department of Economics, Oxford University - 2004

We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified,...

Persistent link: https://www.econbiz.de/10005090632

Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors

Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2004

form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the …

Persistent link: https://www.econbiz.de/10005057037

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes

Chevillon, Guillaume; Hendry, David F. - Economics Group, Nuffield College, University of Oxford - 2004

Persistent link: https://www.econbiz.de/10005730257