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On the efficacy of optimized exit rule for mean reversion trading

Lee, Donovan; Leung, Tim - In: International journal of financial engineering 7 (2020) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10012603008

Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - In: Journal of time series econometrics 11 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012022815

The identification of outliers in exponential samples

Schultze, Verena; Pawlitschko, Jörg - 1998

In this paper the task of identifying outliers in exponential samples is treated conceptionally in the sense of Davies and Gather (1989, 1993) by means of a so called outlier region. In case of an exponential distribution, an empirical approximation of such a region also called an outlier...

Persistent link: https://www.econbiz.de/10010467718