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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10010317385
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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
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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
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Skewness and kurtosis ratio tests: With applications to multiperiod tail risk analysis
Wong, Woon K. - 2016
This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The …
Persistent link: https://www.econbiz.de/10011787151
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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
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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
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A relaxed lattice option pricing model: implied skewness and kurtosis
Ji, Dasheng; Wade Brorsen, B. - In: Agricultural Finance Review 69 (2009) 3, pp. 268-283
model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design … kurtosis are implied by minimizing the squared deviations of actual option premia from predicted premia. Findings – Positive … skewness is the major source of nonnormality, but both skewness and kurtosis are important as the trinomial model that …
Persistent link: https://www.econbiz.de/10014667081
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Resistant outlier rules and the non-Gaussian case
Carling, Kenneth - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 1998
The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...
Persistent link: https://www.econbiz.de/10005423996
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Fourth order pseudo maximum likelihood methods
Rockinger, Michael; Holly, Alberto; Montfort, Alain - Institut d'Économie et de Management de la Santé … - 2008
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10004967290
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Option Price Estimations and Speculative Trading In Knowledge Society
TURCOANE, Ovidiu - In: Informatica Economica 16 (2012) 4, pp. 131-141
and proposes methods for option price estimation based on implied volatility, skewness and kurtosis. ‘Free-lunch’ is …
Persistent link: https://www.econbiz.de/10011132275