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Essays on Econometric Evaluation of Education Outcomes in Developing Countries
Metzler, Johannes - Volkswirtschaftliche Fakultät, … - 2009
Persistent link: https://www.econbiz.de/10008520700
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Tracking problems, hedge fund replication and alternative beta
Roncalli, Thierry; Weisang, Guillaume - Volkswirtschaftliche Fakultät, … - 2008
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
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A Nonparametric Option Pricing Model Using Higher Moments
Cayton, Peter Julian - Volkswirtschaftliche Fakultät, … - 2015
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
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Natural Gas markets:How Sensitive to Crude Oil Price Changes?
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2009
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
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PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION
León, Ángel; Mencía, Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2005
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
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Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
Saurabha, Rritu; Tiwari, Manvendra - Volkswirtschaftliche Fakultät, … - 2007
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
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ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS
Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …
Persistent link: https://www.econbiz.de/10005827087
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DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS
Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008
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
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Pemilihan Model Asset Pricing
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2010
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
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Empirical probability distribution of journal impact factor and over-the-samples stability in its estimated parameters
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2010
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