Showing 1 - 10 of 22
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
Persistent link: https://www.econbiz.de/10014620916
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
Persistent link: https://www.econbiz.de/10005459057
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
Persistent link: https://www.econbiz.de/10004966156
In modern risk management the notion of correlation is central. Essentially, correlation is used to measure dependence between risks assuming multivariate normally distributed returns, but the inclusion of non-derivative products invalidates many of the distributional assumptions underlying the...
Persistent link: https://www.econbiz.de/10005706389
Often, in finite samples, the true level of the confidence intervals for natural estimators of inequality indices belonging to the Gini family differs greatly from their nominal level, which is based on the asymptotic confidence limits. This paper shows how the Gram-Charlier series can be used...
Persistent link: https://www.econbiz.de/10005701596
Many problems in Finance, such as risk management, optimal asset allocation, and derivative pricing, require an understanding of the volatility and correlations of assets returns. In these cases, it may be necessary to represent empirical data with a parametric distribution. In the literature,...
Persistent link: https://www.econbiz.de/10005345347
Persistent link: https://www.econbiz.de/10005111863
In this paper we present some nonparametric bootstrap methods to construct distribution-free confidence intervals for inequality indices belonging to the Gini family. These methods have a coverage accuracy better than that obtained with the asymptotic distribution of their natural estimators,...
Persistent link: https://www.econbiz.de/10005674186
Persistent link: https://www.econbiz.de/10007023043
Persistent link: https://www.econbiz.de/10009949811