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Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution

Jakata, Owen; Chikobvu, Delson - In: International journal of applied management science : IJAMS 14 (2022) 4, pp. 299-315

Persistent link: https://www.econbiz.de/10014231227

A model for stock return distribution

Lindén, Mikael - 2000

Persistent link: https://www.econbiz.de/10001535962

Maximum likelihood estimation of latent affine processes

Bates, David S. - 2003

Persistent link: https://www.econbiz.de/10001758410

Maximum likelihood estimation and inference in multivariate conditionally heteroscedastic dynamic regression models with student t innovations

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 532-546

Persistent link: https://www.econbiz.de/10001807009

Maximum Likelihood Estimation of Latent Affine Processes

Bates, David S. - 2021

This article develops a direct filtration-based maximum likelihood methodology for estimating the parameters and realizations of latent affine processes. The equivalent of Bayes' rule is derived for recursively updating the joint characteristic function of latent variables and the data...

Persistent link: https://www.econbiz.de/10013224666

The analysis of the cross-section of security returns

Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - 2010

Persistent link: https://www.econbiz.de/10003900742

Revisiting the question : does corporate headquarters location matter for stock returns?

Moon, Kenneth P.; Lesage, James P. - In: Applied economics letters 18 (2011) 4/6, pp. 505-508

Persistent link: https://www.econbiz.de/10009232940

Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Forecasting asset returns in state space models

Boos, Dominik - 2011

Erwartungen über die zukünftige Entwicklung der Wirtschaft sind von herausragender Bedeutung, um in einem stochastischen Umfeld die richtigen Entscheidungen zu treffen. Daher werden Prognoseverfahren seit langem erforscht. Grösstenteils basieren diese Untersuchungen auf Regressionstechniken...

Persistent link: https://www.econbiz.de/10008938595

Maximum likelihood estimation of latent affine processes

Bates, David S. - In: The review of financial studies 19 (2006) 3, pp. 909-965

Persistent link: https://www.econbiz.de/10003358398