Narrow search
Showing 1 - 10 of 268
Cover Image
A note on stochastic volatility, GARCH models, and hyperbolic distributions
Jaschke, Stefan R. - 1997
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459
Cover Image
How precise are price distributions predicted by implied binomial trees?
Härdle, Wolfgang; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009620778
Cover Image
ExploRing persistence in financial time series
Lee, David - 2000
Persistent link: https://www.econbiz.de/10009611548
Cover Image
The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
Jaschke, Stefan R. - 2001
Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...
Persistent link: https://www.econbiz.de/10009614287
Cover Image
Some convergence problems on heavy tail estimation using upper order statistics for generalized Pareto and lognormal distributions
Hernandez-Molinar, Raul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919530
Cover Image
Convex measures of risk and trading constraints
Föllmer, Hans; Schied, Alexander - 2001
We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...
Persistent link: https://www.econbiz.de/10009615426
Cover Image
Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - 1999
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …
Persistent link: https://www.econbiz.de/10009581108
Cover Image
Distribution-invariant dynamic risk measures
Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917139
Cover Image
Measurement error, biases, and the validation of complex models
Carroll, Raymond J.; Galindo, Christian D. - 1997
There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would … exposure with error. 2. The effects of measurement error vary from study-to-study. It is dangerous to take measurement error … corrections derived from one study and apply them to data from entirely different studies or populations. 3. Measurement error can …
Persistent link: https://www.econbiz.de/10009631751
Cover Image
Multiscale testing of qualitative hypotheses
Dümbgen, Lutz; Spokojnyj, Vladimir G. - 1999
Suppose that one observes a process Y on the unit interval, where dY(t) = n 1/ 2f(t)dt + dW(t) with an unknown function parameter f, given scale parameter n N 1 ("sample size") and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such...
Persistent link: https://www.econbiz.de/10009582407