Concepedia

Estimation Window

Estimation Window is a time period used in event study analysis that belongs to the class of methodological components, specifically defined as the interval preceding the event window during which normal security returns are observed and modeled to establish a baseline for detecting abnormal performance attributable to the event.

56

Publications

7.3K

Citations

117

Authors

90

Institutions

Publications per year

2017–2026

20

Parents

Publications

56

Optimal Versus Naive Diversification: How Inefficient is the 1/<i>N</i>Portfolio Strategy?

Victor DeMiguel, Lorenzo Garlappi, Raman Uppal · Review of Financial Studies · 2007 · 3.2K citations

, , +17

Selection of estimation window in the presence of breaks

M. Hashem Pesaran, Allan Timmermann · Journal of Econometrics · 2006 · 469 citations

, , +11

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

Barbara Rossi, Atsushi Inoue · Journal of Business and Economic Statistics · 2012 · 409 citations · Full text

, , +14

THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE

Kian‐Ping Lim, Robert Brooks · Journal of Economic Surveys · 2010 · 408 citations

, , +17

A moving horizon‐based approach for least‐squares estimation

Douglas G. Robertson, Jay H. Lee, James B. Rawlings · AIChE Journal · 1996 · 351 citations

, , +15

1–5 of 56

Authors

117

  1. MH
    M. Hashem Pesaran

    University of Southern California, United States

    6 publications · 729 citations

    6

    h-index

  2. VD
    Victor DeMiguel

    London Business School, United Kingdom

    3 publications · 3.3K citations

    3

    h-index

  3. LG
    Lorenzo Garlappi

    University of British Columbia, Canada

    3 publications · 3.3K citations

    3

    h-index

  4. RU
    Raman Uppal

    Ecole des Hautes Etudes Commerciales du Nord, France

    3 publications · 3.3K citations

    3

    h-index

  5. BR
    Barbara Rossi

    Barcelona School of Economics, Spain

    3 publications · 460 citations

    3

    h-index

1–5 of 117

Institutions

90

  1. University of Southern California

    Los Angeles, United States

    4 h-index

    4 publications

    131 citations

  2. University of Cambridge

    Cambridge, United Kingdom

    4 h-index

    4 publications

    665 citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    4 h-index

    4 publications

    95 citations

  4. Universitat Pompeu Fabra

    Barcelona, Spain

    4 h-index

    4 publications

    545 citations

  5. Barcelona School of Economics

    Barcelona, Spain

    3 h-index

    3 publications

    460 citations

  6. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    3 h-index

    3 publications

    204 citations

  7. De Nederlandsche Bank

    Amsterdam, The Netherlands

    3 h-index

    3 publications

    204 citations

  8. London Business School

    London, United Kingdom

    3 h-index

    4 publications

    6.5K citations

1–8 of 90

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 233 citations

    7

    h-index

  2. RePEc: Research Papers in Economics

    Repository · 2 publications · 42 citations

    2

    h-index

  3. Journal of Econometrics

    2 publications · 507 citations

    2

    h-index

  4. Applied Economics

    2 publications · 289 citations

    2

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 2 publications · 538 citations

    2

    h-index

1–5