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Owen, Ann L.; Videras, Julio - Volkswirtschaftliche Fakultät, … - 2012

We use latent class analysis to categorize development experiences. This technique allows us to consider a broad range of country characteristics including per capita income growth, health, inequality, environmental performance, and life satisfaction. We show that each of these indicators is...

Persistent link: https://www.econbiz.de/10011112000

Accounting for latent classes in movie box office modeling

Antipov, Evgeny; Pokryshevskaya, Elena - Volkswirtschaftliche Fakultät, … - 2010

This paper addresses the issue of unobserved heterogeneity in film characteristics influence on box-office. We argue that the analysis of pooled samples, most common among researchers, does not shed light on underlying segmentations and leads to significantly different estimates obtained by...

Persistent link: https://www.econbiz.de/10008777400

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

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

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

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

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

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

Moments of the generalized hyperbolic distribution

Scott, David J; Würtz, Diethelm; Dong, Christine; … - Volkswirtschaftliche Fakultät, … - 2009

In this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic...

Persistent link: https://www.econbiz.de/10008559054

Temporal changes in the parameters of statistical distribution of journal impact factor

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2010

Statistical distribution of Journal Impact Factor (JIF) is characteristically asymmetric and non-mesokurtic. Even the distribution of log10(JIF) exhibits conspicuous skewness and non-mesokurticity. In this paper we estimate the parameters of Johnson SU distribution fitting to the log10(JIF) data...

Persistent link: https://www.econbiz.de/10008562615