Narrow search
Showing 1 - 10 of 200
Cover Image
Kurtosis transformation and kurtosis ordering
Klein, Ingo; Fischer, Matthias - 2003
Leptokurtic distributions can be generated by applying certainnon-linear transformations to a standard normal random variable. Withinthis work we derive general conditions for these transformations which guaranteethat the generated distributions are ordered with respect to the partialordering of...
Persistent link: https://www.econbiz.de/10005857558
Cover Image
The Folded EGB2 distribution and its application to financial return data
Fischer, Matthias - 2000
modeling skewness absolutly greater than 2 and kurtosis higher than 9. To remove this shortcoming, an additional parameter is …
Persistent link: https://www.econbiz.de/10005857647
Cover Image
Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …
Persistent link: https://www.econbiz.de/10010288480
Cover Image
Heterogenität von Hedgefondsindizes
Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - 2006
Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world...
Persistent link: https://www.econbiz.de/10010298915
Cover Image
Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
Cover Image
Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
Persistent link: https://www.econbiz.de/10010299994
Cover Image
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
Cover Image
The method of moments for multivariate random sums
Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024
measures of multivariate kurtosis and highlight some limitations of both projection pursuit and invariant coordinate selection. …
Persistent link: https://www.econbiz.de/10014581240
Cover Image
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
Cover Image
Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances
Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 1-16
variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …
Persistent link: https://www.econbiz.de/10012229194