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Non-independent components analysis
Mesters, Geert; Zwiernik, Piotr - 2022
Persistent link: https://www.econbiz.de/10013365729
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Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346
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Just say no to Leveraged ETFs
Bednarek, Ziemowit; Patel, Pratish - In: Journal of investment management : JOIM 20 (2022) 3, pp. 53-69
Persistent link: https://www.econbiz.de/10013465398
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On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns
Racicot, François-Éric; Théoret, Raymond - In: International Advances in Economic Research 15 (2009) 1, pp. 30-43
Persistent link: https://www.econbiz.de/10005705529
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A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited
Coen, Alain; Racicot, Francois-Éric - Départment des sciences administratives, Université … - 2006
an estimator based on cumulants of order three and four initially developed by Dagenais and Dagenais (1997) and lated …
Persistent link: https://www.econbiz.de/10005773131
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Disasters implied by equity index options
Backus, David; Chernov, Mikhail; Martin, Ian - C.E.P.R. Discussion Papers - 2009
events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants …: skewness, kurtosis, and so on. We show that high-order cumulants are quantitatively important in both representative …
Persistent link: https://www.econbiz.de/10004976797
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Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging
Yamada, Yuji; Primbs, James - In: Asia-Pacific Financial Markets 11 (2004) 3, pp. 335-365
Persistent link: https://www.econbiz.de/10005075680
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On bilinear forms in normal variables
Mathai, A. - In: Annals of the Institute of Statistical Mathematics 44 (1992) 4, pp. 769-779
Persistent link: https://www.econbiz.de/10005184630
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A Remark on a Fourier Bounding Method of Proof for Convergence of Sums of Periodograms
Benn, A.; Kulperger, R. - In: Annals of the Institute of Statistical Mathematics 50 (1998) 1, pp. 187-202
Persistent link: https://www.econbiz.de/10005616077