Narrow search
Showing 1 - 10 of 8,031
Cover Image
A New Approach to Estimating Earnings Forecasting Models : Robust Regression MM-estimation
Qu, Li - 2020
This study focuses on the impact of model estimation methods on earnings forecast accuracy. Compared with an ordinary … least squares (OLS) regression combined with winsorization, robust regression MM-estimation improves the earnings forecast … robust regression MM-estimation. This study contributes to earnings forecasting, valuation, and influential observation …
Persistent link: https://www.econbiz.de/10012850667
Cover Image
Adaptive Interest Rate Modelling
Guo, Mengmeng - 2017
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...
Persistent link: https://www.econbiz.de/10012966334
Cover Image
Estimating Market Leverage : Maximum Likelihood and Kalman Filter
Corvino, Raffaele - 2015
stochastic properties of the unobservable variable, by using maximum likelihood estimation and the Kalman filter approach. The … different possible estimation methods, and then perform an empirical analysis on real data of 25 European companies CDS premia …
Persistent link: https://www.econbiz.de/10013020052
Cover Image
Adaptive interest rate modelling
Guo, Mengmeng; Härdle, Wolfgang - 2010
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...
Persistent link: https://www.econbiz.de/10003973636
Cover Image
Aggregation, capital heterogeneity, and the investment CAPM
Gonçalves, Andrei S.; Xue, Chen; Zhang, Lu - 2019
A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns....
Persistent link: https://www.econbiz.de/10011968853
Cover Image
Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model
Yang, Minxian - 2011
measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …
Persistent link: https://www.econbiz.de/10013133961
Cover Image
Estimating credit constraints by switching regressions
Avery, Robert B. - In: Structural analysis of discrete data with econometric …, (pp. 435-472). 1981
Persistent link: https://www.econbiz.de/10001842403
Cover Image
A note on a semiparametric approach to estimating financing constraints in firms
Bhaumik, Sumon Kumar; Kumbhakar, Subal; Sun, Kai - In: The European journal of finance 21 (2015) 10/12, pp. 992-1004
Persistent link: https://www.econbiz.de/10011301941
Cover Image
A Statistical Estimation of Commercial Bank Profitability
Haslem, John A. - 2015
used in the profit planning function. However, frequent revision of the equations may be necessary because, as is known …
Persistent link: https://www.econbiz.de/10013036407
Cover Image
Generating Abnormal Returns Using Crowdsourced Earnings Forecasts from Estimize
Drogen, Leigh - 2013
In our paper, "Generating Abnormal Returns Using Crowdsourced Earnings Forecasts From Estimize" we examine consensus EPS and Revenue forecasts derived from the crowdsourced community Estimize, and find that they are more accurate than traditional Wall Street equity analysts' consensus forecasts....
Persistent link: https://www.econbiz.de/10013074769