Showing 1 - 10 of 280
This paper deals with the intra-day behavior of asset prices shortly before and after large price changes.
Persistent link: https://www.econbiz.de/10005843144
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.
Persistent link: https://www.econbiz.de/10005843149
The H−family of distributions or H−distributions, introduced byTukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...
Persistent link: https://www.econbiz.de/10005857563
The imprecise Beta model (IBM) of Bernard (1996) and Walley (1996) is the most popular model for learning about a … moderate probabilities of observation errors. We show that the results produced by the modified model are arbitrarily close to …
Persistent link: https://www.econbiz.de/10005858357
Closed-form, trivially evaluated approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to...
Persistent link: https://www.econbiz.de/10005858504
for the MixN-GARCH model class. In particular, by relating current weights to past returns via sigmoid response functions …
Persistent link: https://www.econbiz.de/10005858753
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...
Persistent link: https://www.econbiz.de/10005858776
We analyze financial constraints for R&D, where we account for heterogeneityamong investments which has been neglected in previous literature. According toeconomic theory, investments should be distinguished by their degree ofuncertainty, e.g. routine R&D versus cutting-edge R&D. Financial...
Persistent link: https://www.econbiz.de/10005858827
A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...
Persistent link: https://www.econbiz.de/10005858866
We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...
Persistent link: https://www.econbiz.de/10005858871