This paper develops an analytical approximation for the distribution function of a terminal value of a periodic series of buy-and-hold investments placed over a fixed time horizon for the case when log-returns of assets follow a p-th order vector auto-regressive process. The derivation is based on a first order Taylor conditioned approximation with a suitably chosen conditioning variable. The results indicate a remarkably good fit between the approximating procedure and simulations based on realistic parameters.
COBISS.SI-ID: 19878630
The book provides recent insights on some key issues in econometric theory and applications. It first focuses on three recent advances in econometric theory: non-parametric estimation, instrument generating functions, and seasonal volatility models. Additionally, three recent econometric applications are presented: continuous time duration analysis, panel data analysis dealing with endogeneity and selectivity biases, and seemingly unrelated regression analysis.
COBISS.SI-ID: 20216550
The main purpose of this monography is to reduce the deficit in quantitative evidence regarding the introduction of environmental technologies, and to increase the possibility for generalization and thus policy application of conclusions. To achieve that purpose, a conceptual model is developed, and then tested on a large database of firms from various sectors with the use of structural equation modeling. The results show that policy measures, past environmental investments, the importance of environmental technologies for customers and the firm performance have a positive effect on environmental investments.
COBISS.SI-ID: 256046336