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Ågren, Martin - 2006

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

Persistent link: https://www.econbiz.de/10010321576

The impact of financial shocks on the forecast distribution of output and inflation

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a...

Persistent link: https://www.econbiz.de/10014551675

Downward nominal rigidities and bond premia

Gourio, François; Ngo, Phuong - 2024

We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...

Persistent link: https://www.econbiz.de/10014581904

Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection

Amilon, Henrik - 2001

In the early 50's, Markowitz introduced the modern portfolio selection theory which, to this very day, constitutes the basis of many investment decisions. Given different correlated assets, how does an investor create a portfolio maximizing the expected utility? Markowitz's contribution was to...

Persistent link: https://www.econbiz.de/10013208416

Testing for skewness in AR conditional volatility models for financial return series

Mantalos, Panagiotis; Karagrigoriou, Alex - 2012

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …

Persistent link: https://www.econbiz.de/10012654374

Identification using higher-order moments restrictions

Andrade, Philippe; Ferroni, Filippo; Melosi, Leonardo - 2023

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

Persistent link: https://www.econbiz.de/10014480420

Resistant outlier rules and the non-Gaussian case

Carling, Kenneth - 1998

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

Persistent link: https://www.econbiz.de/10010321056

A long memory model with mixed normal GARCH for US inflation data

Cheung, Yin-wong; Chung, Sang-Kuck - 2009

yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

Persistent link: https://www.econbiz.de/10010287778

A long memory model with mixed normal GARCH for US inflation data

Cheung, Yin-Wong; Chung, Sang-Kuck - 2009

yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

Persistent link: https://www.econbiz.de/10010288125