Similar Search Results

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10010317385

Resistant outlier rules and the non-Gaussian case

Carling, Kenneth - 1998

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

Persistent link: https://www.econbiz.de/10010321056

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

Moment Component Analysis: An Illustration with International Stock Markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - National Centre of Competence in Research - Financial … - 2010

ComponentAnalysis to higher moments such as skewness and kurtosis. This method allows usto identify factors that drive the co …-skewness and co-kurtosis across assets. Thesefactors have interesting interpretations, for instance as hedges against increases … a total of 763 observations. We assertthat both the co-skewness and co-kurtosis structures can be summarized with a …

Persistent link: https://www.econbiz.de/10009486996

Earnings Dynamics in Germany

Pessoa, Ana Sofia - 2021

This paper documents earnings dynamics over the life-cycle and income level using a large administrative database from German tax records. I find that labor earnings display important deviations from the typical assumptions of linearity and normality. For the bottom earners, large income changes...

Persistent link: https://www.econbiz.de/10012599204

Parametric properties of semi-nonparametric distributions, with applications top option valuation

León, Ángel; Mencía, Javier; Sentana, Enrique - Banco de España <Madrid>

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). Weshow that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financialderivatives valuation. We...

Persistent link: https://www.econbiz.de/10005860922

Fourth Order Pseudo Maximum Likelihood Methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - Finrisk - 2008

The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...

Persistent link: https://www.econbiz.de/10005868843

The persistence in hedge fund performance : extended analysis

Capocci, Daniel - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 233-255

Persistent link: https://www.econbiz.de/10003901056

Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

Option pricing based on a log-skew-normal mixture

Jiménez, José Alfredo; Arunachalam, V.; Serna, G. M. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-22

Persistent link: https://www.econbiz.de/10011418885