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TWO METHODS TO GENERATE CENTERED DISTRIBUTIONS CONTROLLING SKEWNESS AND KURTOSIS COEFFICIENTS
Treyens, Pierre-Eric - HAL - 2007
Whatever the econometric model which we study; any simulation requires a perfectly definite DGP. Thus, even if all software can generate standard normal distributions, we need methods not programmed to control higher moments. For all these methods, we need to estimate the parameters connected to...
Persistent link: https://www.econbiz.de/10008794842
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - HAL - 2011
We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...
Persistent link: https://www.econbiz.de/10010820447
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - HAL - 2011
We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...
Persistent link: https://www.econbiz.de/10010820956
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Asymptotic refinements of bootstrap tests in a linear regression model ; A CHM bootstrap using the first four moments of the residuals
Treyens, Pierre-Eric - HAL - 2008
the models y =μ+u and y=ax+u where the disturbances have nonnull kurtosis coefficient and a skewness coefficient equal to … using Edgeworth expansions, we compute the exact errors in the rejection probability (ERPs) for all one-restriction tests …
Persistent link: https://www.econbiz.de/10008793622
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A PARAMETRIC BOOTSTRAP USING THE FIRST FOURMOMENTS OF THE RESIDUALS
Treyens, Pierre-Eric - HAL - 2007
this paper that this assertion is false if skewness and/or kurtosis coefficients of the distribution of the disturbances … an intercept where the disturbances where the disturbances have nonnull kurtosis coefficient and a skewness coefficient …, within the framework of the bootstrap, we thought that the error in rejection probability (ERP) had the same rate of …
Persistent link: https://www.econbiz.de/10008793826
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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
Fliess, Michel; Join, Cédric - HAL - 2008
equations on sliding short time windows. Several convincing computer simulations, including the prediction of the position and … algebra are the main mathematical tools. …
Persistent link: https://www.econbiz.de/10008791958
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Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework
Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008
the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston … perturbation of the Riccati equations furnishes the expected approximations. The convergence and the robustness of the procedure …
Persistent link: https://www.econbiz.de/10008793719
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A new algorithm for the loss distribution function with applications to Operational Risk Management
Guegan, Dominique; Hassani, Bertrand - HAL - 2009
Operational risks inside banks and insurance companies is currently an important task. The computation of a risk measure associated to these risks lies on the knowledge of the so-called Loss Distribution Function. Traditionally this distribution function is computed via the Panjer algorithm...
Persistent link: https://www.econbiz.de/10010738597
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A modified Panjer algorithm for operational risk capital calculations
Guegan, Dominique; Hassani, Bertrand - HAL - 2009
Operational risk management inside banks and insurance companies is an important task. The computation of a risk measure associated to these kinds of risks lies in the knowledge of the so-called loss distribution function (LDF). Traditionally, this LDF is computed via Monte Carlo simulations or...
Persistent link: https://www.econbiz.de/10010738680
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Window double barrier options
Guillaume, Tristan - HAL - 2003
This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit...
Persistent link: https://www.econbiz.de/10010820456