Showing 1 - 10 of 426
Persistent link: https://www.econbiz.de/10012617351
In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be …. We find that the skewness of a distribution has a significant impact on the decisions. Yet, while skewness has an impact …, its direction differs substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10 …
Persistent link: https://www.econbiz.de/10010294775
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
There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies … density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the … generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one …
Persistent link: https://www.econbiz.de/10010299790
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
incorporates a well-defined parameter of skewness. It is well-defined in the sense that the parameter of skewness is compatible … a measure of skewness in the sense of Oja (1981). In the special case considered by Fechner (1897) this measure and the … skewness parameter coincide. …
Persistent link: https://www.econbiz.de/10010305903
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
low (high) output prices. To minimize regret, the firm is induced to raise (lower) its output optimal level. The skewness …
Persistent link: https://www.econbiz.de/10011610383
This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...
Persistent link: https://www.econbiz.de/10011984997
This study assessed the generalizability of Bowman's paradox across 12,235 firms from 28 countries. Cross-sectional and longitudinal relationships between risk and return provided broad support for the presence of Bowman's paradox in diverse country settings (Asia, Europe, and South Africa),...
Persistent link: https://www.econbiz.de/10011946753