We study approximations of reflected Itô diffusions on convex subsets D of Rd by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable functions. In the case of Lipschitz continuous coefficients we give the rate...

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM...

Industry structure and social capital could affect traders, market performance and distribution of economic resources such as food. This study assesses the effect of industry structure and social capital on traders' profitability and resilience. We use Bayes Model Averaging regression techniques...

This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...

This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide...

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM...