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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....
Persistent link: https://www.econbiz.de/10012530160
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Distributional tests in multivariate dynamic models with normal and student t innovations
Mencía González, Javier; Sentana, Enrique - 2010
corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …
Persistent link: https://www.econbiz.de/10012530297
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Leverage and deepening business cycle skewness
Jensen, Henrik; Petrella, Ivan; Ravn, Søren Hove; … - 2017
Documentamos que la economía de Estados Unidos se ha caracterizado por una asimetría del ciclo económico cada vez más negativa durante las últimas tres décadas. Este hallazgo puede explicarse por el aumento del apalancamiento financiero de hogares y empresas. Para mostrar esto, diseñamos...
Persistent link: https://www.econbiz.de/10012530573
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Does the added worker effect matter?
Guner, Nezih; Kulikova, Yuliya; Valladares-Esteban, Arnau - 2021
’s. Without the AWE, married women’s employment would be as volatile as men and display negative skewness (declining quickly in …
Persistent link: https://www.econbiz.de/10012548668
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Skewed SVARs: tracking the structural sources of macroeconomic tail risks
Montes-Galdón, Carlos; Ortega, Eva
structural shocks (SVAR) that are identified using sign restrictions and whose distribution is subject to time-varying skewness … variation in the skewness of demand, supply and monetary policy shocks between 1999 and 2019. This variation lies behind a …
Persistent link: https://www.econbiz.de/10013164784
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Pricing Options on Commodity Futures: The Role of Weather and Storage
Bozic, Marin; Fortenbery, T. Randall - 2011
the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation … is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for … skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that …
Persistent link: https://www.econbiz.de/10009444328
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Perceived performance risk and its influence on Abandoned Cart Syndrome (ACS) - An exploratory study
Moore, Simon Scott - 2004
Despite predictions of Internet shopping reaching 6.9 trillion dollars by the end of 2004, research is now suggesting many online consumers are still very reluctant to complete the online shopping process. A number of authors have attributed consumers' reluctance to purchase online to apparent...
Persistent link: https://www.econbiz.de/10009438088
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Benchmark Concentration: Capitalization Weights Versus Equal Weights in the FTSE 100 Index
Tabner, Isaac T. - 2009
Identifying a suitable benchmark is essential when testing asset pricing models, measuring the performance of active investors, or providing market proxy portfolios for passive investors. Concern that increased domination of capitalization weighted stock indices by a few large firms will lead to...
Persistent link: https://www.econbiz.de/10009465898
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Using boosting for automated planning and trading systems
Creaer, German - 2007
The problem: Much of finance theory is based on the efficient market hypothesis. According to this hypothesis, the prices of financial assets, such as stocks, incorporate all information that may affect their future performance. However, the translation of publicly available information into...
Persistent link: https://www.econbiz.de/10009472475
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The performance of market advisory services in feedlot margins over 1995-2004
Brandenberger, Tracy L. - 2011
The purpose of this thesis is to evaluate the pricing performance of market advisory services’ live cattle hedging recommendations over 1995-2004. Also, feeder cattle, corn, and soybean meal recommendations were evaluated as input hedges and combined with the live cattle marketing...
Persistent link: https://www.econbiz.de/10009477906