Showing 1 - 10 of 120
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of the available information...
Persistent link: https://www.econbiz.de/10005043690
We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable,...
Persistent link: https://www.econbiz.de/10005043048
This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the...
Persistent link: https://www.econbiz.de/10005008171
investment pricing, the theory is miser of informations about problems involving more than one asset. We show in this paper that …
Persistent link: https://www.econbiz.de/10008550253
This paper considers the problem of the optimal timing of the exchange of the sum of n geometric Brownian motions for the sum of m others. We propose a closed form determinable stopping time based on the heuristic principle of smooth fit. We cannot prove that this stopping time is optimal....
Persistent link: https://www.econbiz.de/10010610471
This paper considers the general problem of optimal timing of the exchange of the sum of n Ito-diffusions for the sum of m others (e.g., the optimal time to exchange a geometric Brownian motion for a geometric mean reverting process). We first contribute to the literature by providing analytical...
Persistent link: https://www.econbiz.de/10010610493
In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components regression model suitable for incomplete panel and including parametrically specified variance functions for both individual-specific and general error disturbances.
Persistent link: https://www.econbiz.de/10005478910
This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...
Persistent link: https://www.econbiz.de/10011094065
We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when...
Persistent link: https://www.econbiz.de/10005042844
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...
Persistent link: https://www.econbiz.de/10005043150