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Estimation of holding periods applied to the case of short and leveraged ETFs

Schubert, Leo; Schubert, David - In: Atlantic review of economics : AROE 1 (2017)

The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the...

Persistent link: https://www.econbiz.de/10011890392

Estimation of holding periods applied to the case of short and leveraged ETFs

Schubert, Leo; Schubert, David - In: Atlantic Review of Economics 1 (2017)

The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the...

Persistent link: https://www.econbiz.de/10011966824

Bayesian meta-prior learning using empirical Bayes

Nabi, Sareh; Nassif, Houssam; Hong, Joseph; Mamani, Hamed; … - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1737-1755

Persistent link: https://www.econbiz.de/10013260044

Meta dynamic pricing : transfer learning across experiments

Bastani, Hamsa; Simchi-Levi, David; Zhu, Ruihao - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1865-1881

Persistent link: https://www.econbiz.de/10013260202

Estimating and predicting the general random effects model

Kouassi, Eugène; Kamdem, Alain Constant; Mougoué, Mbodja - In: Journal of forecasting 33 (2014) 4, pp. 270-283

Persistent link: https://www.econbiz.de/10010425747

Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

Maximum simulated likelihood estimation of the panel sample selection model

Lai, Hung-Pin; Tsay, Wen-jen - In: Econometric reviews 37 (2018) 6/10, pp. 744-759

Persistent link: https://www.econbiz.de/10012040407

Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter

Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130

Persistent link: https://www.econbiz.de/10012181397

A sample size requirement for SUR estimation

Griffiths, William E.; Duangkamon Chotikapanich - 1999

Persistent link: https://www.econbiz.de/10001425108

Sample size requirements for estimation in SUR models

Griffiths, William E.; Skeels, Christopher L.; … - 2001

Persistent link: https://www.econbiz.de/10001593268

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