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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

Practical considerations when estimating in the presence of autocorrelation

Jaggia, Sanjiv; Kelly, Alison - In: Case studies in business, industry and government … 2 (2008/2009) 1, pp. 21-27

Persistent link: https://www.econbiz.de/10003966946

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

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

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

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

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

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

A valuation framework for rent-to-own housing contracts

Jaggia, Sanjiv; Roche, Hervé; Thosar, Satish - In: Appraisal journal 82 (2014) 3, pp. 231-243

Persistent link: https://www.econbiz.de/10010418978

A partial defense of the giant squid

Jaggia, Sanjiv; Thosar, Satish - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 8-11

Persistent link: https://www.econbiz.de/10008936542

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