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

Author

Listed:
  • KiHoon Jimmy Hong

    (College of Business Administration, Hongik University, Seoul)

  • Stephen Satchell

    (Trinity College, University of Cambridge)

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.

Suggested Citation

  • KiHoon Jimmy Hong & Stephen Satchell, 2016. "Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 20-30, September.
    • Handle: RePEc:rbq:journl:i:144:p:20-30
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    More about this item

    Keywords

    Fund Value under Management; Heteroskedasticity; Irregularly Spaced Time Series; Ornstein Uhlenbeck; Return Distribution;
    All these keywords.

    JEL classification:

    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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