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On the J-test for nonnested hypotheses and Bayesian extension

Rao, Surekha; Ghali, Moheb; Krieg, John - Volkswirtschaftliche Fakultät, … - 2008

Abstract Davidson and MacKinnon’s J-test was developed to test non-nested model specification. In empirical applications, however, when the alternate specifications fit the data well the J test may fail to distinguish between the true and false models: the J test will either reject, or fail to...

Persistent link: https://www.econbiz.de/10005619534

Model-based Clustering of non-Gaussian Panel Data

Juarez, Miguel A.; Steel, Mark F. J. - Volkswirtschaftliche Fakultät, … - 2006

and non-Gaussian, allowing for both skewness and fat tails, and the units are clustered according to their dynamic …

Persistent link: https://www.econbiz.de/10005619576

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

distribution of log10(JIF) exhibits conspicuous skewness and non-mesokurticity. In this paper we estimate the parameters of Johnson …

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

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 …

Persistent link: https://www.econbiz.de/10009651399

Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones

Durán-Vázquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2012

addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time …

Persistent link: https://www.econbiz.de/10011107249

Discussion of "Inflation and Relative Price Asymmetry" by Ratfai, A.

Levy, Daniel - Volkswirtschaftliche Fakultät, … - 2007

This is a discussion of Ratfai (2007), presented at the 2007 Macroeconomics Workshop of the Rimini Center for Economic Analysis on "The Macroeconomics of Price Setting," May 10-11, 2007, University of Bologna, Rimini, Italy.

Persistent link: https://www.econbiz.de/10011107663

Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV

Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2013

addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time …

Persistent link: https://www.econbiz.de/10011109096

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