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Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 6 (2018) 2, pp. 1-11

bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution … inequality index. Its primary advantage is that the scale parameter does not need to be estimated to perform parametric bootstrap … suggest that this feature provides an advantage over the parametric bootstrap using the maximum likelihood estimator. We also …

Persistent link: https://www.econbiz.de/10011823357

Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años

Alonso, Julio; Torres, Giselle - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 45-54

There are many studies published in the literature on stylized facts in financial time series. However, for the Colombian case there is only one work that documents the stylized facts of the returns. Alonso and Arcos (2006) documented the presence of four stylized facts in the exchange rate...

Persistent link: https://www.econbiz.de/10011872477

Tail dependence and heavy tailedness in extreme risks

Ji, Liuyan; Ken Seng Tan; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012649222

Modeling and pricing longevity derivatives using Skellam distribution

Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen - In: Insurance / Mathematics & economics 99 (2021), pp. 341-354

Persistent link: https://www.econbiz.de/10012649236

Linear double autoregression

Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10012116135

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123