Zobrazeno 1 - 10
of 38
pro vyhledávání: '"David E. Runkle"'
Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use o
Publikováno v:
The Journal of Portfolio Management. 26:61-77
The authors demonstrate that the usual application of the return–based style analysis relies on commercially available indexes that exhibit extreme multicollinearity. The subsequent results are volatile and have little meaning. As a result, the aut
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::22ae47d4c60cd4cb48c469ceae3e3476
https://doi.org/10.3905/jpm.2000.319722
https://doi.org/10.3905/jpm.2000.319722
Publikováno v:
Scopus-Elsevier
Recent experiments on mixed-strategy play in experimental games reject the hypothesis that subjects play a mixed strategy even when that strategy is the unique Nash equilibrium prediction. However, in a three-person matching-pennies game played with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1420182ec60d9408ee5ebc9ba9fb9be
https://doi.org/10.1007/s001990050020
https://doi.org/10.1007/s001990050020
Autor:
David E. Runkle, Michael Keane
Publikováno v:
Journal of Political Economy. 106(4):768-805
This paper develops generalized method‐of‐moments tests for the rationality of earnings per share forecasts made by individual stock analysts. We fail to reject the hypothesis of rationality as long as we take into account two complications: (1)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dbfa088ece8a8f91b423a1211d12e8aa
Autor:
David E. Runkle
Publikováno v:
Journal of Futures Markets. 12:635-643
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df6f622b4fd5fc93d35e48b9ea1928da
https://doi.org/10.1002/fut.3990120604
https://doi.org/10.1002/fut.3990120604
Autor:
Michael Keane, David E. Runkle
Publikováno v:
Journal of Business & Economic Statistics. 10:1-9
In recent years, researchers in many disciplines, including economics, accounting, finance, and marketing, have increasingly relied on panel data to model the behavior of individuals and firms. They have done so because panel data allow them to contr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f74d18cff1e4b0bee91288e135fa2db
https://doi.org/10.1080/07350015.1992.10509877
https://doi.org/10.1080/07350015.1992.10509877
Autor:
Michael P. Keane, David E. Runkle
Publikováno v:
Journal of Business & Economic Statistics. 10:26-29
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6bb628d45b619d0f4e2e791f77ea6ca
https://doi.org/10.1080/07350015.1992.10509882
https://doi.org/10.1080/07350015.1992.10509882
Autor:
David E. Runkle
Publikováno v:
American Journal of Agricultural Economics. 73:594-600
This paper tests whether quarterly data on hog farmers' sow-farrowing intentions released in Hogs and Pigs are rational forecasts of actual farrowings. The empirical results show that neither one- nor two-quarter-ahead intentions are rational forecas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::40d36ac1af9186a9b887b8ef1fdc7b7e
https://doi.org/10.2307/1242812
https://doi.org/10.2307/1242812
Autor:
David E. Runkle, Peter C. Young
Publikováno v:
IFAC Proceedings Volumes. 23:509-524
This paper presents a unified approach to nonlinear and nonstationary time-series analysis for a fairly wide class of linear time variable parameter (TVP) or nonlinear systems. The method theory exploits recursive filtering and fixed interval smoothi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b5341e11c72e677cd7b765907340a1a6
https://doi.org/10.1016/s1474-6670(17)52772-x
https://doi.org/10.1016/s1474-6670(17)52772-x
Autor:
David E. Runkle, Arijit Mukherji
This study tests experimentally whether the ability of subjects to play a noncooperative game’s mixed-strategy equilibrium (to make their play unpredictable) is affected by how much information subjects have about the structure of the game. Subject
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::40cd93ded433cafb2b24ff85bfb591b7
http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=807
http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=807