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Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Kruiniger, Hugo - 2003

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

Persistent link: https://www.econbiz.de/10014114275

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk parity, smart beta, algorithmic trading, and hedging. It is usually represented via multi-factor model. The form’s fewer parameters and structure—comovement through...

Persistent link: https://www.econbiz.de/10013251623

Metropolis-Hastings prefetching algorithms

Strid, Ingvar (contributor) - 2008 - Rev. December 2, 2009

Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use...

Persistent link: https://www.econbiz.de/10003779724

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Persistent link: https://www.econbiz.de/10014132203

Continuous multi-task Bayesian optimisation with correlation

Pearce, Michael; Branke, Juergen - In: European journal of operational research : EJOR 270 (2018) 3, pp. 1074-1085

Persistent link: https://www.econbiz.de/10011882698

Concurrent business and distribution strategy planning using Bayesian networks

Petříka, Theodor; Plajner, Martin - 2023

Business and distribution strategy planning are usually carried out in a sequence. A company first devises a business plan and then a distribution strategy able to accommodate it. The separation in planning can lead to a sub-optimal decision. We propose a method of how to concurrently plan both...

Persistent link: https://www.econbiz.de/10013532224

Estimating stochastic ray production frontiers

Tsionas, Efthymios G.; Izzeldin, Marwan; Henningsen, Arne; … - 2019

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

Persistent link: https://www.econbiz.de/10012132673

Optimal deterministic auctions with correlated priors

Papadimitriou, Christos H.; Pierrakos, George - In: Games and economic behavior 92 (2015), pp. 430-454

Persistent link: https://www.econbiz.de/10011387516

Sparse Parametric Portfolio Selection

Croessmann, Roman - 2018

This article shows how sparse solutions can be generated in parametric portfolio selection methods. Sparse mean-variance optimization procedures can be applied after the translation of parametric weight estimates into implied mean return estimates. The results of our empirical analysis suggest...

Persistent link: https://www.econbiz.de/10012915299