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Resistant outlier rules and the non-Gaussian case
Carling, Kenneth - 1998
the non-Gaussian case. The improvement occurs in terms of resistance and efficiency, and an outside rate that is less …
Persistent link: https://www.econbiz.de/10011573280
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Resistant outlier rules and the non-Gaussian case
Carling, Kenneth - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 1998
the non-Gaussian case. The improvement occurs in terms of resistance and efficiency, and an outside rate that is less …
Persistent link: https://www.econbiz.de/10005423996
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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208
Persistent link: https://www.econbiz.de/10010235454
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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and Stochastics 18 (2014) 1, pp. 175-208
with nondegenerate local martingale part. The theory relies on inequalities for the kurtosis and skewness of a general …
Persistent link: https://www.econbiz.de/10010847058
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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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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
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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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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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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