ASU Electronic Theses and Dissertations
- 2 English
Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual observations are restricted to be positive. I find that even the EL estimator computed without the restriction can fail to be asymptotically normal for misspecified models if the sample moments weighted by unrestricted empirical probabilities do not have finite population moments. As a remedy for this problem, I propose a group of alternative estimators which I refer to as modified EL (MEL) estimators. For correctly specified models, these estimators have …
- Xiang, Jin, Ahn, Seung, Wahal, Sunil, et al.
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This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups …
- Qian, Zhiyi, Wahal, Sunil, Bharath, Sreedhar, et al.
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