multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of … potential benefit of gradually increasing the model-flexibility. The Gaussian estimation methods for dynamic continuous time …

using monthly rather than daily returns to estimate the Capital Asset Pricing Model (CAPM). I show that when using … intercept and slope coefficients. I present a simulation study and empirical examples of the CAPM and Fama French three factor …

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

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 …