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provoked to pursue the development of more realistic option pricing models encompassing the level of skewness and kurtosis … smile, skewness and kurtosis. …
Persistent link: https://www.econbiz.de/10010817013
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …
Persistent link: https://www.econbiz.de/10011559141
terms of negative skewness and high kurtosis, with these deviations varying with income and along the worker's life cycle. A …
Persistent link: https://www.econbiz.de/10014536984
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...
Persistent link: https://www.econbiz.de/10012215391
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
caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model …
Persistent link: https://www.econbiz.de/10010281913
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