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Untersuchung asymptotischer Eigenschaften von Schätzern diskreter bivariater Copula Modelle mit Kovariablen
Meinel, Nina - 2007
Diskrete Copula Modelle bilden die Abhängigkeiten zwischen multiplen kategorialen Responses sowie die Einflüsse von … Kovariablen auf die jeweiligen Responses ab. In einer Simulationsstudie soll das Verhalten von Schätzern diskreter Copula Modelle … bei unterschiedlichen Strukturen der Kovariablen untersucht werden. Insbesondere wird Schiefe in der Verteilung der …
Persistent link: https://www.econbiz.de/10010299817
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New insight on the CAPM: a copula-based approach Tunisian and international evidence
Mabrouk, Houda Ben; Bouri, Abdelfettah - In: International Journal of Accounting and Finance 4 (2013) 1, pp. 35-62
This paper attempts to model the risk return relationship within the CAPM using the copula theory. Applying the … Gaussian copula and using the inference functions of margins (IFM) method on both Tunisian and international data, the results … departure from the CAPMs assumptions. Without making restrictions on the margins, the results show also that the Gaussian copula …
Persistent link: https://www.econbiz.de/10010670174
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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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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
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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Moment Component Analysis: An Illustration with International Stock Markets
Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - National Centre of Competence in Research - Financial … - 2010
It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...
Persistent link: https://www.econbiz.de/10009486996
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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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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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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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Portfoliokonstruktionsroutinen in der praktischen Anwendung
Auer, Benjamin R. - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 48 (2019) 9, pp. 44-47
Persistent link: https://www.econbiz.de/10012161774