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The Empirical Performance of Option Based Densities of Foreign Exchange

Keller, Joachim G.; Craig, Ben R. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10010295724

Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals

Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, … - 2005

Under the symmetric α-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the...

Persistent link: https://www.econbiz.de/10010295766

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

Persistent link: https://www.econbiz.de/10010295847

Some Convergence Problems On Heavy Tail Estimation Using Upper Order Statistics For Generalized Pareto and Lognormal Distributions

Hernandez-Molinar, Raul; Lefante, John - 2003

In some applications, the population characteristics of main interest can be found in the tails of the distribution function. The study of risk of extreme events will lead to the use of probability distributions and the scenarios that correspond to the tail of these distributions. Considering...

Persistent link: https://www.econbiz.de/10010296466

Estimating a bivariate density when there are extra data on one or both components

Hall, Peter; Neumeyer, Natalie - 2005

Assume we have a dataset, Z say, from the joint distribution of random variables X and Y , and two further, independent datasets, X and Y, from the marginal distributions of X and Y , respectively. We wish to combine X, Y and Z, so as to construct an estimator of the joint density. This problem...

Persistent link: https://www.econbiz.de/10010296689

Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance

Frahm, Gabriel; Jaekel, Uwe - 2007

In recent publications standard methods of random matrix theory were applied to principal components analysis of high …-dimensional financial data. We discuss the fundamental results and potential shortcomings of random matrix theory in the light of the … a general model for the investigation of standard methods of random matrix theory. It is shown that the Marčenko …

Persistent link: https://www.econbiz.de/10010298431

Bayesian inference for hedge funds with stable distribution of returns

Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; … - 2010

Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...

Persistent link: https://www.econbiz.de/10010301731

A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model

Abadir, Karim M.; Lucas, Andre - 2000

We study the optimal choice of quasi-likelihoods for nearly integrated,possibly non-normal, autoregressive models. It turns out that the two mostnatural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...

Persistent link: https://www.econbiz.de/10010324379

On Conditional Density Estimation

de Gooijer, Jan G.; Zerom, Dawit - 2002

With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...

Persistent link: https://www.econbiz.de/10010324908

Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic

Bekker, Paul A.; Kleibergen, Frank - 2001

The paper considers the K-statistic, Kleibergen’s (2000) adaptation ofthe Anderson-Rubin (AR) statistic in instrumental variables regression.Compared to the AR-statistic this K-statistic shows improvedasymptotic efficiency in terms of degrees of freedom in overidentifiedmodels and yet it...

Persistent link: https://www.econbiz.de/10010325038

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