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Assessing misspecified asset pricing models with empirical likelihood estimators

Almeida, Caio; Garcia, René - In: Journal of econometrics 170 (2012) 2, pp. 519-537

Persistent link: https://www.econbiz.de/10009686763

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718

Persistent link: https://www.econbiz.de/10012040404

Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

Mesters, Geert - 2012

panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure … in both dimensions. We evaluate the method in a Monte Carlo study for dynamic panel data models with observations from … economic growth figures of countries listed in the Penn World Tables. It is shown that our dynamic panel data model can provide …

Persistent link: https://www.econbiz.de/10013111113

Unknown latent structure and inefficiency in panel stochastic frontier models

Kutlu, Levent; Tran, Kien C.; Tsionas, Efthymios G. - In: Journal of productivity analysis : an official journal … 54 (2020) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10012299565

Empirical characteristic functions estimation and its applications

Yu, Jun - In: Econometric reviews 23 (2004) 2, pp. 93-123

Persistent link: https://www.econbiz.de/10002131153

On the problematic of reserving and stochastic loss models

Parlogea Bucurescu, Cristina - 2010

Persistent link: https://www.econbiz.de/10008771894

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas (contributor); Tente, Sebastian (contributor) - 2008

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...

Persistent link: https://www.econbiz.de/10003794513

Stochastic Frontier Analysis by Means of Maximum Likelihood and the Method of Moments

Behr, Andreas - 2016

Persistent link: https://www.econbiz.de/10012989267

Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

Persistent link: https://www.econbiz.de/10011398992