Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed

KiHoon Jimmy Hong and Stephen Satchell
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KiHoon Jimmy Hong: College of Business Administration, Hongik University, Seoul
Stephen Satchell: Trinity College, University of Cambridge

Bankers, Markets & Investors, 2016, issue 144, 20-30

Abstract: We propose an estimation technique that directly utilizes irregularly spaced observations to investigate the statistical properties of irregularly observed monetary values of a fund under management. The contribution of our paper is that we provide a statistically enhanced and more detailed method that improves the existing likelihood based techniques developed in other fields in estimating the parameters of irregularly spaced observations.

Keywords: Fund Value under Management; Heteroskedasticity; Irregularly Spaced Time Series; Ornstein Uhlenbeck; Return Distribution (search for similar items in EconPapers)
JEL-codes: C58 G23 G51 (search for similar items in EconPapers)
Date: 2016
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