“…It is well known in the econometric literature that high order autoregressive models may be approximated by parsimonious ARMA models. For example see Racicot and Théoret (2001). 10 The index n represents the number of steps.…”
Section: Volatility Forecasts: a Comparisonmentioning
“…It is well known in the econometric literature that high order autoregressive models may be approximated by parsimonious ARMA models. For example see Racicot and Théoret (2001). 10 The index n represents the number of steps.…”
Section: Volatility Forecasts: a Comparisonmentioning
We revisit the factors incorporated in asset pricing models following the recent developments in financial markets, i.e. the rise of shadow banking and the change in the transmission channel of monetary policy. We propose two versions of the Fung and Hsieh (2004) hedge fund return model, especially an augmented market model which accounts for the new dynamics of financial markets and the procyclicality of hedge fund returns. We run these models with an innovative Hausman procedure tackling the measurement errors embedded in the models factor loadings. Our empirical method also allows confronting the drawbacks of the instruments used to estimate hedge fund asset pricing models.
“…The Maximum Probability Method (MPM) normally estimates this type of model. It consists of finding the parameters that maximize the probability (probability density) of generating the observed sample(Racicot & Théoret, 2001).However, since convergence is sometimes difficult, Heckman's estimator, obtained in two stages, is sometimes preferred. A probit model then first estimates the selection's equation; then, a regression by the Ordinary Least Sauares (OLS) gives the coefficients of the second equation.…”
The setting of the willingness to pay for the reservation and protection of the environment is one of the answers that economics science is giving to the environmental problems that society is increasingly confronted with. This study uses the Contingent Valuation Method (CVM) to assess the willingness to pay (WTP) in the municipality of Gombe for the improvement of household waste management. A survey based on 300 households showed that the income, the type of housing, the participation in a collection unit and knowledge of the impact of household waste on the environment positively affect the willingness to pay (WTP); while age, marital status and education negatively affect the willingness to pay (WTP). 71.4% of households agree to share the cost with the city to set up a program to improve waste management. The average WTP is CDF 1500 or $ 0.75.
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