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Fourth order pseudo maximum likelihood methods
Rockinger, Michael; Holly, Alberto; Montfort, Alain - Institut d'Économie et de Management de la Santé … - 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 first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10004967290
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Fourth Order Pseudo Maximum Likelihood Methods
HOLLY, Alberto; MONFORT, Alain; ROCKINGER, Michael
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 first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10008479279
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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 … starker Leptokurtosis der Fehlerterme. Die Schiefe der Fehlerverteilung hingegen, die für viele andere statistische …
Persistent link: https://www.econbiz.de/10010288480
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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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Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns
Fischer, Matthias - 2002
A generalization of the hyperbolic secant distribution which allows bothfor skewness and for leptokurtosis was given by Morris (1982). Recently,Vaughan (2002) proposed another flexible generalization of the hyperbolic secantdistribution which has a lot of nice properties but is not able to...
Persistent link: https://www.econbiz.de/10005857572
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gh-transformierte symmetrische Verteilungen
Klein, Ingo - 2000
Tukey (1960) derived via the technique of transformation of variables starting from the normal distribution a family of skewed and leptokurtic distributions. Skewness and leptokurtosis are determined by two parameters g and h. Therefore, the family was called family gh-distributions. We modify...
Persistent link: https://www.econbiz.de/10005857589
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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
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Heterogenität von Hedgefondsindizes
Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - Frankfurt School of Finance and Management - 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/10005027000
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Modellierung schiefer und gewölbter Verteilungen mit der g-und-h-Familie
Auer, Benjamin R.; Strobel, Marcus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 44 (2015) 7, pp. 401-405
Persistent link: https://www.econbiz.de/10011342719
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
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 first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10003970462