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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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Pricing Options on Commodity Futures: The Role of Weather and Storage
Bozic, Marin; Fortenbery, T. Randall - 2011
the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation … is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for … skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that …
Persistent link: https://www.econbiz.de/10009444328
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Distributional tests in multivariate dynamic models with normal and student t innovations
Mencía González, Javier; Sentana, Enrique - 2010
corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …
Persistent link: https://www.econbiz.de/10012530297
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Leverage and deepening business cycle skewness
Jensen, Henrik; Petrella, Ivan; Ravn, Søren Hove; … - 2017
Documentamos que la economía de Estados Unidos se ha caracterizado por una asimetría del ciclo económico cada vez más negativa durante las últimas tres décadas. Este hallazgo puede explicarse por el aumento del apalancamiento financiero de hogares y empresas. Para mostrar esto, diseñamos...
Persistent link: https://www.econbiz.de/10012530573
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Does the added worker effect matter?
Guner, Nezih; Kulikova, Yuliya; Valladares-Esteban, Arnau - 2021
’s. Without the AWE, married women’s employment would be as volatile as men and display negative skewness (declining quickly in …
Persistent link: https://www.econbiz.de/10012548668
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Skewed SVARs: tracking the structural sources of macroeconomic tail risks
Montes-Galdón, Carlos; Ortega, Eva
structural shocks (SVAR) that are identified using sign restrictions and whose distribution is subject to time-varying skewness … variation in the skewness of demand, supply and monetary policy shocks between 1999 and 2019. This variation lies behind a …
Persistent link: https://www.econbiz.de/10013164784
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Using boosting for automated planning and trading systems
Creaer, German - 2007
The problem: Much of finance theory is based on the efficient market hypothesis. According to this hypothesis, the prices of financial assets, such as stocks, incorporate all information that may affect their future performance. However, the translation of publicly available information into...
Persistent link: https://www.econbiz.de/10009472475
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The performance of market advisory services in feedlot margins over 1995-2004
Brandenberger, Tracy L. - 2011
The purpose of this thesis is to evaluate the pricing performance of market advisory services’ live cattle hedging recommendations over 1995-2004. Also, feeder cattle, corn, and soybean meal recommendations were evaluated as input hedges and combined with the live cattle marketing...
Persistent link: https://www.econbiz.de/10009477906
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Private sector lessons for public sector reform in Indonesia [Working paper]
McLeod, Ross - 2005
Development economists often analyse the performance of particular sectors of the economy, yet they have largely ignored that of one of the most important sectors, namely, the public sector, the performance of which is demonstrably poor. They are also continually giving recommendations to the...
Persistent link: https://www.econbiz.de/10009451770
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The Determinants of Audit Client Satisfaction among Clients of Big 6 Firms
Vehn, Bruce K.; Carcello, Joseph V.; Hermanson, Dana R.; … - 1997
A study's purpose was to investigate the relationship among client satisfaction, attributes of audit quality, auditor change, and controller work experience. To address this purpose, controllers of Fortune 1000 companies were asked to evaluate their existing auditor on each of 12 dimensions of...
Persistent link: https://www.econbiz.de/10009459084