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Model Misspecification and Underdiversification

open access: yesThe Journal of Finance, 2001
AbstractIn this paper, we study intertemporal portfolio choice when an investor accounts explicitly for model misspecification. We develop a framework that allows for ambiguity about not just the joint distribution of returns for all stocks in the portfolio, but also for different levels of ambiguity for the marginal distribution of returns for any ...
Uppal, Raman, Wang, Tan
core   +4 more sources

The Misspecification of Arma Models

Statistica Neerlandica, 1989
The object of this paper is to assess the effects of fitting a model of the wrong order to a time series which is generated by an autoregressive moving–average process. The method is to examine the spectral density functions which are indicated by the probability limits of the least–squares estimators of the misspecified models.
openaire   +2 more sources

The Effects of Misspecification of a Regression Model

Biometrical Journal, 1987
AbstractThe consequences of the misspecification of a regression model are considered. For small effects of covariates a proportional consistency theorem is derived. The consistent estimation of the covariance matrix of the estimates is discussed.
Nagelkerke, N. J. D.   +2 more
openaire   +1 more source

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