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Modelling skewness and elongation in financial returns : the case of exchanged-traded funds
Jaggia, Sanjiv; Kelly, Alison - In: Applied financial economics 19 (2009) 16/18, pp. 1305-1316
Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...
Persistent link: https://www.econbiz.de/10003886164
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Modeling aggregate productivity growth : a note on returns to scale
Kelly, Alison - In: Focus on economic growth and productivity, (pp. 27-35). 2005
Persistent link: https://www.econbiz.de/10003213116
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A note on modeling aggregate productivity growth : the importance of imperfect markets
Kelly, Alison - In: Journal of macroeconomics 23 (2001) 1, pp. 131-140
Persistent link: https://www.econbiz.de/10001553559
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Identifiability of the misspecified split hazard models
Jaggia, Sanjiv - In: Applied economics 43 (2011) 22/24, pp. 3441-3447
Persistent link: https://www.econbiz.de/10009357355
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Alternative forms of the score test for heterogeneity in a censored exponential model
Jaggia, Sanjiv - In: The review of economics and statistics 79 (1997) 2, pp. 340-343
Persistent link: https://www.econbiz.de/10001222398
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Specification tests based on the heterogeneous generalized gamma model of duration : with an application to Kennan's strike data
Jaggia, Sanjiv - In: Journal of applied econometrics 6 (1991) 2, pp. 169-180
Persistent link: https://www.econbiz.de/10001107420
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Tests of moment restrictions in parametric duration models
Jaggia, Sanjiv - In: Economics letters 37 (1991) 1, pp. 35-38
Persistent link: https://www.econbiz.de/10001110915
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The choice of a mixing distribution in duration models
Jaggia, Sanjiv - In: Economics letters 37 (1991) 4, pp. 405-409
Persistent link: https://www.econbiz.de/10001120372
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Student performance in an introductory business statistics course : does delivery mode matter?
Haughton, Jonathan; Kelly, Alison - In: Journal of education for business 90 (2015) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011302240
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Sectoral productivity growth and price-marginal cost margins in the intermediate goods market
Kelly, Alison - In: The review of income and wealth : journal of the … 43 (1997) 2, pp. 227-238
Persistent link: https://www.econbiz.de/10001223051