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q-fin.PM2020
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investor…
math.ST2020
Saddlepoint approximations for spatial panel data models
Chaonan Jiang, Davide La Vecchia, Elvezio Ronchetti +1
We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator in a spatial panel data model, with fixed effects, time-varying covariates, and spat…