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Persistent link: https://www.econbiz.de/10005381705
studentized range allows an assessment of kurtosis with Type I and II error rates similar to those obtained from the moment …
Persistent link: https://www.econbiz.de/10005458142
and proposes methods for option price estimation based on implied volatility, skewness and kurtosis. ‘Free-lunch’ is …
Persistent link: https://www.econbiz.de/10011132275
Bounds for the skewness kurtosis space corresponding to the skewed generalized T, skewed generalized error, skewed T …
Persistent link: https://www.econbiz.de/10011139801
The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and...
Persistent link: https://www.econbiz.de/10011142098
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
incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis—as high as 30 … compared with 3 for a Gaussian distribution. The high kurtosis implies that, in a given year, most individuals experience very …
Persistent link: https://www.econbiz.de/10011160729
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
The analysis of the empirical distribution of univariate data often includes the computation of location, scale, skewness, and tail-heaviness measures, which are estimates of specific parameters of the underlying population distribution. Several measures are available, but they differ by...
Persistent link: https://www.econbiz.de/10011265691
assumption, it is important to simulate data from a nonnormal distribution with varying degrees of skewness and kurtosis … values for the skewness and kurtosis. Vale and Maurelli (1983, Psychometrika 48: 465–471) extended Fleishman’s method to …
Persistent link: https://www.econbiz.de/10011265703