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A simple and readily computable algorithm is developed for approximating the low moments of order deviates from any continuous distribution. The results are compared with those obtained from exact closed form moments, obtained from quadrature as well as other non-Monte Carlo integral computations
Persistent link: https://www.econbiz.de/10012779480
We show how the rootogram - a graphical tool associated with the work of J. W. Tukey and originally used for assessing goodness of fit of univariate distributions - can help to diagnose and treat issues such as overdispersion and/or excess zeros in regression models for count data. Two empirical...
Persistent link: https://www.econbiz.de/10010385052
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
Recently, a large body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard Bayesian methods applied to hedge fund evaluation. Little...
Persistent link: https://www.econbiz.de/10013124433
The Black-Litterman methodology of portfolio optimization, developed at the turn of the 1990s, combines statistical information on asset returns with investor's views within the Markowitz mean-variance framework. The main assumption underlying the Black-Litterman model is that asset returns and...
Persistent link: https://www.econbiz.de/10012936408
Persistent link: https://www.econbiz.de/10012991281
This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...
Persistent link: https://www.econbiz.de/10010504035
This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel - typically a posterior density kernel - using an adaptive mixture of...
Persistent link: https://www.econbiz.de/10012971949
Lognormal random variables appear naturally in many engineering disciplines, including wireless communications, reliability theory, and finance. So, too, does the sum of (correlated) lognormal random variables. Unfortunately, no closed form probability distribution exists for such a sum, and it...
Persistent link: https://www.econbiz.de/10013016685