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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 - HAL - 2011
We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...
Persistent link: https://www.econbiz.de/10010820447
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - HAL - 2011
We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...
Persistent link: https://www.econbiz.de/10010820956
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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
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Natural Gas markets:How Sensitive to Crude Oil Price Changes?
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2009
This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...
Persistent link: https://www.econbiz.de/10004961504
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Testing for skewness in AR conditional volatility models for financial return series
Mantalos, Panagiotis; Karagrigoriou, Alex - 2012
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …
Persistent link: https://www.econbiz.de/10012654374
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TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES
Mantalos, Panagiotis; Karagrigoriou, Alex - Handelshögskolan, Örebro Universitet - 2012
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …
Persistent link: https://www.econbiz.de/10010818623
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
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Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances
Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 1-16
variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …
Persistent link: https://www.econbiz.de/10012229194
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Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances
Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN journal of applied statistics 9 (2018) 2, pp. 1-16
variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …
Persistent link: https://www.econbiz.de/10012031052