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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the … coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …
Persistent link: https://www.econbiz.de/10010490408
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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
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Optimal trimming proportion in regression analysis for non-normal distributions
Mitra, Amitava; Kalgotra, Pankush - In: Journal of business analytics 5 (2022) 2, pp. 152-163
Persistent link: https://www.econbiz.de/10013453964
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Nexus between pension fund size, design and investment strategy : a review of occupational retirement benefits schemes in Kenya
Ngugi, Wilson; Njuguna, Amos - In: International journal of financial research 9 (2018) 3, pp. 108-116
Persistent link: https://www.econbiz.de/10012236968
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the … coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …
Persistent link: https://www.econbiz.de/10011559141
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Analytic moments for GJR-GARCH (1, 1) processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International journal of forecasting 37 (2021) 1, pp. 105-124
Persistent link: https://www.econbiz.de/10012692629
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Perturbation of Numerical Confidential Data via Skew-t Distributions
Lee, Seokho; Genton, Marc G.; Arellano-Valle, Reinaldo B. - In: Management Science 56 (2010) 2, pp. 318-333
that can model skewness and heavy tails in the data. Because databases having a normal distribution are seldom encountered … perturbation method. We investigate the performance of the STDP method by means of a Monte Carlo simulation study and compare it …
Persistent link: https://www.econbiz.de/10009214597
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Analytic Moments for GARCH Processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010
Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … assessment and portfolio optimization, are typically generated via simulation. This paper extends previous research on analytic … generic innovation distribution; we derive analytic expressions for the first four conditional moments of the forward return …
Persistent link: https://www.econbiz.de/10010838036
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Higher moments and beta asymmetry : evidence from Australia
Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807
Persistent link: https://www.econbiz.de/10011348087