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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

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

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

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

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

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

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

Resistant outlier rules and the non-Gaussian case

Carling, Kenneth - 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/10010321056

Higher moments and beta asymmetry : evidence from Australia

Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807

Persistent link: https://www.econbiz.de/10011348087

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Persistent link: https://www.econbiz.de/10009767120

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