Similar Search Results

Computational Statistics and Data Visualization

Unwin, Antony; Chen, Chun-houh; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This book is the third volume of the Handbook of Computational Statisticsand covers the field of Data Visualization. In line with the companion volumes,it contains a collection of chapters by experts in the field to present readerswith an up-to-date and comprehensive overview of the state of the...

Persistent link: https://www.econbiz.de/10005861043

Die genetische Entschlüsselung der politischen Ordnung : Jon Elster über Selbstbindung und die Verfassungsprozesse in Osteuropa

Offe, Claus - Universität <Halle, Saale> / Lehrstuhl für … - 2007

Verfassungen beschränken den Spielraum zukünftigen Handelns. Durch Selbstbindung schützen sich Akteure, so scheint es, vor sich selbst, d. h. vor den selbstverursachten Handlungsfolgen, die sie sonst zu bedauern hätten und vor denen sie diese Selbstbindung verschont. So gesehen steigern...

Persistent link: https://www.econbiz.de/10005860100

Tukey-type distributions in the context of financial data

Fischer, Matthias J.; Horn, Armin; Klein, Ingo - 2003

take skewness into account by means of certain transformations, several generalizations and extensions (HQ …

Persistent link: https://www.econbiz.de/10010299782

Skewness by splitting the scale parameter

Klein, Ingo; Fischer, Matthias J. - 2003

There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies … density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the … generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one …

Persistent link: https://www.econbiz.de/10010299790

Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns

Fischer, Matthias J. - 2002

A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002 …) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties …

Persistent link: https://www.econbiz.de/10010299799

Classes of skew generalized hyperbolic secant distributions

Fischer, Matthias J.; Vaughan, David - 2002

A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … which has a lot of nice properties but is not able to allow for skewness. For that reason, we additionally introduce a … skewness parameter by means of splitting the scale parameter and show that most of the nice properties are preserved. Finally …

Persistent link: https://www.econbiz.de/10010299824

Statistics of Risk Aversion

Giacomini, Enzo; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

Option prices are a valuable source of information concerning risk assessments from investors about future financial payoffs. The information is summarized in the state price densities (SPD), the continuous counterpart (normalized by a constant) from Arrow-Debreu security prices. Under no...

Persistent link: https://www.econbiz.de/10005861030

Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10005861046

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang; Trück, Stefan; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

Persistent link: https://www.econbiz.de/10005861246

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

latter then be replaced by the continuous fit. The results can be interpreted as pricing perpetual American lookback options …

Persistent link: https://www.econbiz.de/10005861277