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In this paper we present some nonparametric bootstrap methods to construct distribution-free confidence intervals for inequality indices belonging to the Gini family. These methods have a coverage accuracy better than that obtained with the asymptotic distribution of their natural estimators,...
Persistent link: https://www.econbiz.de/10005674186
Often, in finite samples, the true level of the confidence intervals for natural estimators of inequality indices belonging to the Gini family differs greatly from their nominal level, which is based on the asymptotic confidence limits. This paper shows how the Gram-Charlier series can be used...
Persistent link: https://www.econbiz.de/10005701596
Persistent link: https://www.econbiz.de/10005345242
Many problems in Finance, such as risk management, optimal asset allocation, and derivative pricing, require an understanding of the volatility and correlations of assets returns. In these cases, it may be necessary to represent empirical data with a parametric distribution. In the literature,...
Persistent link: https://www.econbiz.de/10005345347
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
Persistent link: https://www.econbiz.de/10004966156
Persistent link: https://www.econbiz.de/10005111863
In modern risk management the notion of correlation is central. Essentially, correlation is used to measure dependence between risks assuming multivariate normally distributed returns, but the inclusion of non-derivative products invalidates many of the distributional assumptions underlying the...
Persistent link: https://www.econbiz.de/10005706389
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
Persistent link: https://www.econbiz.de/10005459057
This study examines the Koehler and Symanovski copula function with specific marginals, such as the skew Student-t, the skew generalized secant hyperbolic, and the skew generalized exponential power distributions, in modelling financial returns and measuring dependent risks. The copula function...
Persistent link: https://www.econbiz.de/10005701642
Persistent link: https://www.econbiz.de/10005329921