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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …
Persistent link: https://www.econbiz.de/10010288480
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Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2005
While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...
Persistent link: https://www.econbiz.de/10010298301
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Heterogenität von Hedgefondsindizes
Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - 2006
Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world...
Persistent link: https://www.econbiz.de/10010298915
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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Tukey-type distributions in the context of financial data
Fischer, Matthias J.; Horn, Armin; Klein, Ingo - 2003
Using the Gaussian distribution as statistical model for data sets is widely spread, especially in practice. However, departure from normality seems to be more the rule than the exception. The H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation...
Persistent link: https://www.econbiz.de/10010299782
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Kurtosis modelling by means of the J-transformation
Fischer, Matthias J.; Klein, Ingo - 2003
The H-family of distributions or H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...
Persistent link: https://www.econbiz.de/10010299785
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
Persistent link: https://www.econbiz.de/10010299994
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What do data on millions of US workers reveal about life-cycle earnings risk?
Guvenen, Fatih; Karahan, Fatih; Ozkan, Serdar; Song, Jae - 2015
incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis - as high as 30 … compared with 3 for a Gaussian distribution. The high kurtosis implies that, in a given year, most individuals experience very …
Persistent link: https://www.econbiz.de/10011340999
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Prospect Theory and Higher Moments
Ågren, Martin - 2006
The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … investor's utility is inverse hump-shape related to the kurtosis. Consequences for portfolio choice issues are studied. The …
Persistent link: https://www.econbiz.de/10010321576
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Skewness and kurtosis properties of income distribution models
McDonald, James B.; Sorensen, Jeff; Turley, Patrick A. - 2011
This paper explores the ability of some popular income distributions to model observed skewness and kurtosis. We … present the generalized beta type 1 (GB1) and type 2 (GB2) distributions' skewness-kurtosis spaces and clarify and expand on … previously known results on other distributions' skewness-kurtosis spaces. Data from the Luxembourg Income Study are used to …
Persistent link: https://www.econbiz.de/10010335526