Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
KiHoon Jimmy Hong and
Additional contact information
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
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 (search for similar items in EconPapers)
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.revue-banque.fr/article/investigating-f ... tribution-when-value (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rbq:journl:i:144:p:20-30
Ordering information: This journal article can be ordered from
12 rue du Quatre-Septembre, 75002 PARIS France
Access Statistics for this article
More articles in Bankers, Markets & Investors from ESKA Publishing
Series data maintained by Marise Urbano ().