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Predictability of equity models
Chicaroli, Rodrigo; Pereira, Pedro L. Valls - In: Journal of forecasting 34 (2015) 6, pp. 427-440
Persistent link: https://www.econbiz.de/10011342711
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Indicators DZ and RDZ: essence, methods of calculation, signals and rules of trading
Kozmenko, Serhiy; Plastun, Oleksiy - Volkswirtschaftliche Fakultät, … - 2011
Speculators exert more and more influence on prices on world exchange markets. Often the result of this is a formation of so-called “bubbles” with subsequent shocks to national and global economy. The purpose of speculators is earnings in a relatively short period of time using the...
Persistent link: https://www.econbiz.de/10011258575
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Avances recientes en métodos bootstrap para procesos ARCH. Una aplicación en el mercado español de valores
ÁLVAREZ, JESÚS ÁNGEL MIGUEL; RUBIO, PILAR OLAVE - In: Estudios de Economía Aplicada 20 (2002) Agosto, pp. 487-498
En este trabajo se presenta la metodología bootstrap como una alternativa para construir intervalos de predicción en … proporciona una revisión de los métodos bootstrap cuando las series analizadas son heterocedásticas, haciendo especial énfasis en … donde se aplica la metodología bootstrap para la construcción de intervalos de predicción. This paper presents the bootstrap …
Persistent link: https://www.econbiz.de/10005736954
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Heterogeneous Basket Options Pricing Using Analytical Approximations
Dionne, Georges - 2016
This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...
Persistent link: https://www.econbiz.de/10012707192
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Basket Options on Heterogeneous Underlying Assets
Dionne, Georges; Gauthier, Geneviève; Ouertani, Nadia - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
Basket options are among the most popular products of the new generation of exotic options. This attraction is explained by the fact that they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks. They are flexible enough to include all the risks...
Persistent link: https://www.econbiz.de/10005015299
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Heterogeneous Basket Options Pricing Using Analytical Approximations
Dionne, Georges; Gauthier, Geneviève; Ouertani, Nadia; … - Centre Interuniversitaire sur le Risque, les Politiques … - 2006
This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...
Persistent link: https://www.econbiz.de/10005696255
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Short and long run causality measures: theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … describe asymptotically valid nonparametric confidence intervals, using a bootstrap technique. Finally, the proposed measures …
Persistent link: https://www.econbiz.de/10005111024
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Monte Carlo experiments on bootstrap DEA
Tziogkidis, Panagiotis - 2012
Since the introduction of bootstrap DEA there is a growing literature on applications which use this method, mainly for … hypothesis testing. It is therefore important to establish the consistency and evaluate the performance of bootstrap DEA. The few … coverage probabilities are not a good tool of assessment. In our study we evaluate the performance of bootstrap DEA using the …
Persistent link: https://www.econbiz.de/10009583702
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Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model
Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411
In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....
Persistent link: https://www.econbiz.de/10011297624
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On the validity of tests for asymmetry in residual-based threshold cointegration models
Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13
-run asymmetry are generally oversized if the threshold parameter is estimated by conditional least squares and show that bootstrap …
Persistent link: https://www.econbiz.de/10012025641