The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Abstract The present work aims to propose an approximation of the sample median distribution with a normal parent distribution. Although the mean is usually used as the central tendency measure for normal samples, the median has also been used in engineering, process control in particular. The...

Fiedler et al. (2009), reviewed evidence for the utilization of a contingency inference strategy termed pseudocontingencies (PCs). In PCs, the more frequent levels (and, by implication, the less frequent levels) are assumed to be associated. PCs have been obtained using a wide range of task...

Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...

The empirical saddlepoint likelihood (ESPL) estimator is introduced. The ESPL provides improvement over one-step GMM estimators by including additional terms to automatically reduce higher order bias. The first order sampling properties are shown to be equivalent to efficient two-step GMM. New...