haku: @indexterm Estimation / yhteensä: 433
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| Tekijä: | Swinkels, L. Sluis, P.J. van der |
| Otsikko: | Return-based style analysis with time-varying exposures |
| Lehti: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 529-552 |
| Asiasana: | stocks risk sharing investments funds estimation models |
| Kieli: | eng |
| Tiivistelmä: | This paper's focus is on the estimation of mutual fund (here as: m-fds.) styles (as: st./sts.) by return-based style analysis. The Kalman filter (as: K-f.) is used to model time-varying exposures of m-fds. explicitly, leading to a testable model etc. Several stylized examples (as: s-expls.) indicate that more reliable st. estimates can be obtained by modelling the st. exposure as a random walk, and estimating the coefficients with the K-f. The differences with traditional techniques are substantial in these s-expls. The results from the empirical analyses indicate that the structural model estimated by the K-f. improves st. predictions and influences results on performance measurement. |
SCIMA