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Asset pricing with heterogeneous agents and non-normal return distributions

Beddock, Arthur - 2021

Persistent link: https://www.econbiz.de/10012617351

A note on skewness seeking: an experimental analysis

Brünner, Tobias; Levínský, René; Qiu, Jianying - 2007

In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered … ¯nd that the skewness of a distribution has a signi¯cant impact on the decisions. Yet, while skewness has an impact, its … direction di®ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to …

Persistent link: https://www.econbiz.de/10010275666

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

Distributional tests in multivariate dynamic models with normal and student t innovations

Mencía González, Javier; Sentana, Enrique - 2010

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10012530297

Leverage and deepening business cycle skewness

Jensen, Henrik; Petrella, Ivan; Ravn, Søren Hove; … - 2017

Documentamos que la economía de Estados Unidos se ha caracterizado por una asimetría del ciclo económico cada vez más negativa durante las últimas tres décadas. Este hallazgo puede explicarse por el aumento del apalancamiento financiero de hogares y empresas. Para mostrar esto, diseñamos...

Persistent link: https://www.econbiz.de/10012530573

Does the added worker effect matter?

Guner, Nezih; Kulikova, Yuliya; Valladares-Esteban, Arnau - 2021

’s. Without the AWE, married women’s employment would be as volatile as men and display negative skewness (declining quickly in …

Persistent link: https://www.econbiz.de/10012548668

Skewed SVARs: tracking the structural sources of macroeconomic tail risks

Montes-Galdón, Carlos; Ortega, Eva

structural shocks (SVAR) that are identified using sign restrictions and whose distribution is subject to time-varying skewness … variation in the skewness of demand, supply and monetary policy shocks between 1999 and 2019. This variation lies behind a …

Persistent link: https://www.econbiz.de/10013164784

Omega Portfolio Construction with Johnson Distributions

Passow, Alexander - Swiss Finance Institute - 2004

The Omega performance measure is equiped with the original family of Johnson distributions. Explicit representations for Omega or Sharpe with all four Johnson cumulated densities were derived to construct portfolios with respect to 4 mutually independent moments. Additionally, decompositions of...

Persistent link: https://www.econbiz.de/10005771767

Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness

Hashmi, Aamir R.; Tay, Anthony S. - Department of Economics, National University of Singapore - 2001

conditional heteroskedasticity, the models allow shocks to have time-varying conditional skewness. The global factor appears less … important for market volatility in models that permit time-varying conditional skewness. The influence of regional and global … substantial portion of negative skewness in the markets' returns distribution. …

Persistent link: https://www.econbiz.de/10005518284

ADJUSTING CORRELATION MATRICES

León, Ángel; Ferrando, Josep Enric Peris; Subiza, Begoña - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

Persistent link: https://www.econbiz.de/10005731376