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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7
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
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-12
heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte … Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …
Persistent link: https://www.econbiz.de/10011988724
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Inference for subvectors and other functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Quantitative Economics 8 (2017) 1, pp. 1-38
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...
Persistent link: https://www.econbiz.de/10011995481
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Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks 8 (2020) 4, pp. 1-21
measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …
Persistent link: https://www.econbiz.de/10013200656
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Inequality, income dynamics, and worker transitions: The case of Mexico
Puggioni, Daniela; Calderón, Mariana; Cebreros Zurita, … - In: Quantitative Economics 13 (2022) 4, pp. 1669-1705
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
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Normality tests for latent variables
Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative Economics 10 (2019) 3, pp. 981-1017
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
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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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The amendment and empirical test of arbitrage pricing models
Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of Applied Finance & Banking 1 (2011) 1, pp. 163-177
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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A three-state Markov model for predicting movements of asset returns of a Nigerian Bank
Raheem, Maruf A.; Ezepue, Patrick O. - In: CBN Journal of Applied Statistics 07 (2016) 2, pp. 77-99
We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...
Persistent link: https://www.econbiz.de/10011961648
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Estimating demand for differentiated products with zeroes in market share data
Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia - In: Quantitative Economics 14 (2023) 2, pp. 341-418
In this paper, we introduce a new approach to estimating differentiated product demand systems that allows for products with zero sales in the data. Zeroes in demand are a common problem in differentiated product markets, but fall outside the scope of existing demand estimation techniques. We...
Persistent link: https://www.econbiz.de/10014536906