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Model selection test for the heavy-tailed distributions under censored samples with application in financial data
Panahi, Hanieh - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-14
Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...
Persistent link: https://www.econbiz.de/10011606719
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Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling …. Finally, we show how sampling and distribution of returns are strictly connected. This is of great importance as, for example …
Persistent link: https://www.econbiz.de/10012596311
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Essays in public economic theory
Sahm, Marco (contributor) - 2006
Persistent link: https://www.econbiz.de/10003476588
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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Sampling returns for realized variance calculations : tick time or transaction time?
Griffin, Jim E.; Oomen, Roel C. A. - In: Econometric reviews 27 (2008) 1/3, pp. 230-253
Persistent link: https://www.econbiz.de/10003761225
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824