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The appeal of information transactions
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2012
An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information...
Persistent link: https://www.econbiz.de/10010420275
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An economic index of riskiness
Aumann, Robert J.; Serrano, Roberto - 2006
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom which, roughly speaking, asserts...
Persistent link: https://www.econbiz.de/10010318897
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Entropy and the value of information for investors
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2010
Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure...
Persistent link: https://www.econbiz.de/10010284049
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Model Risk for European Stock Index Options
Gençay, Ramo; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
constant volatility. In this paper, we examine the best performing parametric models against nonparametric alternatives. In … particular, we study the stochastic volatility (SV) and stochastic volatility randomjump (SVJ) models as parametric benchmarks … optionpricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing …
Persistent link: https://www.econbiz.de/10005857988
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Testing for Linear Cointegration Against Smooth-Transition Cointegration
Li, Dao; He, Changli - 2013
This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby...
Persistent link: https://www.econbiz.de/10012654376
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Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models
Li, Dao; He, Changli - 2013
This paper studies a special class of vector smooth-transition autoregressive (VS- TAR) models containing common nonlinear features (CNFs). To test the existence of CNFs in a VSTAR model, a triangular representation for such a system containing CNFs is proposed. A procedure of testing CNFs in a...
Persistent link: https://www.econbiz.de/10012654377
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Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Bodnar, Taras; Mazur, Stepan; Parolya, Nestor - 2017
In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...
Persistent link: https://www.econbiz.de/10012654423
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On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
Bodnar, Taras; Mazur, Stepan; Muhinyuza, Stanislas; … - 2017
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, in using which the characteristic function of the product and its asymptotic distribution under the double...
Persistent link: https://www.econbiz.de/10012654425
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Estimation of the linear fractional stable motion
Mazur, Stepan; Otryakhin, Dmitry; Podolskij, Mark - 2018
-similarity parameter $H \in (0,1)$ and the stability index $\alpha \in (0,2)$ of the driving stable motion. The parametric estimation of …
Persistent link: https://www.econbiz.de/10012654431
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Linear Fractional Stable Motion with the RLFSM R Package
Mazur, Stepan; Otryakhin, Dmitry - 2019
Linear fractional stable motion is a type of a stochastic integral driven by symmetric alpha-stable L´evy motion. The integral could be considered as a non-Gaussian analogue of the fractional Brownian motion. The present paper discusses R package rlfsm created for numerical procedures with the...
Persistent link: https://www.econbiz.de/10012654451