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Determinants of mutual fund flows to Hong Kong equities
Fong, Tom; Sze, Kin Wan; Ho, Ho Cheung - 2017
Persistent link: https://www.econbiz.de/10012201585
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Testing against constant factor loading matrix with large panel high-frequency data
Kong, Xin-bing; Liu, Cheng - In: Journal of econometrics 204 (2018) 2, pp. 301-319
Persistent link: https://www.econbiz.de/10011974736
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Econometric issues in the estimation of household portfolio models
Miniaci, Raffaele; Weber, Guglielmo - In: Household portfolios : [papers presented at the …, (pp. 143-178). 2002
Persistent link: https://www.econbiz.de/10001721339
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Diversification with Idiosyncratic Credit Spreads : A Pooled Estimation on Heterogeneous Panels
LIn, William T.; Sun, David S. - 2010
pooled estimation we conducted proves to be superior in working with individual corporate bond data panels and helps related …
Persistent link: https://www.econbiz.de/10014198732
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Multivariate Fractional Regression Estimation of Econometric Share Models
Mullahy, John - 2010
proposed by Papke and Wooldridge, 1996, 2008, in univariate cross-sectional and panel contexts. The paper discusses the … econometric strategies for share model estimation. The paper then goes on to discuss the univariate fractional regression … estimation strategies proposed by Papke and Wooldridge and to extend the fractional regression approach to estimation of and …
Persistent link: https://www.econbiz.de/10013138354
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A detailed investigation of the disposition effect and individual trading behavior : a panel survival approach
Nolte, Ingmar - In: The European journal of finance 18 (2012) 9/10, pp. 885-919
Persistent link: https://www.econbiz.de/10009691775
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Labor income risk and the reluctance of households to invest in risky financial assets : a panel data analysis
Becker, Gideon; Dimpfl, Thomas - 2014
theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to …
Persistent link: https://www.econbiz.de/10010350417
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Commonality in liquidity and real estate securities
Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014
We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...
Persistent link: https://www.econbiz.de/10010412872
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Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - 2014
Persistent link: https://www.econbiz.de/10010362860
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The portfolio structure of German households : a multinomial fractional response approach with unobserved heterogeneity
Becker, Gideon - 2014 - This draft: September 1, 2014
called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional …
Persistent link: https://www.econbiz.de/10010426240