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Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval

Li, Song; Silvapulle, Mervyn J.; Silvapulle, Param; … - Department of Econometrics and Business Statistics, … - 2012

This paper investigates nonparametric estimation of density on [0,1]. The kernel estimator of density on [0,1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation study,...

Persistent link: https://www.econbiz.de/10009650286

Loving the Long Shot: Risk Taking with Skewed Lotteries

grossman, philip j.; Eckel, Catherine C. - Department of Econometrics and Business Statistics, … - 2012

We develop a new protocol, adapted from the Eckel and Grossman (2002, 2008) risk measure, to elicit skewness … increasing degrees of positive skewness. We find that our subjects are skewness-seekers. More importantly, positive skewness in …

Persistent link: https://www.econbiz.de/10010615292

Implicit Bayesian Inference Using Option Prices

Martin, Gael M.; Forbes, Catherine S.; Martin, Vance L. - Department of Econometrics and Business Statistics, … - 2003

is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness …

Persistent link: https://www.econbiz.de/10005427614

Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms

Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2003

models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and … volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

Persistent link: https://www.econbiz.de/10005149038

Parametric Pricing of Higher Order Moments in S&P500 Options.

Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as …

Persistent link: https://www.econbiz.de/10005087577