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Persistent link: https://www.econbiz.de/10008520700
As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, it faced many critics. In this paper, we consider three of the main critiques, namely the...
Persistent link: https://www.econbiz.de/10011109600
A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the … include cases on nonnormality in skewness and kurtosis, nonconstant variance, moneyness, contract duration, and interest rate …
Persistent link: https://www.econbiz.de/10011262870
This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...
Persistent link: https://www.econbiz.de/10004961504
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005611898
same asset. Hull [1993] and Nattenburg [1994] have attributed the volatility smile to the non normal Skewness and Kurtosis … Corrado & Sue [1996] incorporating non-normal skewness and kurtosis) to price call options on S&P CNX Nifty. The results … strongly suggest that the incorporation of skewness and kurtosis into the option pricing formula yields values much closer to …
Persistent link: https://www.econbiz.de/10005790034
null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …
Persistent link: https://www.econbiz.de/10005827087
Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions …
Persistent link: https://www.econbiz.de/10008518040
also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French … of determination. The kurtosis-FFPM turned out to be the best model. …
Persistent link: https://www.econbiz.de/10009651399
The data on JIFs provided by Thomson Scientific can only be considered as a sample since they do not cover the entire universe of those documents that cite an intellectual output (paper, article, etc) or are cited by others. Then, questions arise if the empirical distribution (best fit to the...
Persistent link: https://www.econbiz.de/10008619187