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Persistent link: https://www.econbiz.de/10009324908
We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a …
Persistent link: https://www.econbiz.de/10009393843
Persistent link: https://www.econbiz.de/10010558286
two moments of the distribution are approximately the true moments of the unknown transitional density. For affine drift … and diffusion functions, the moments are shown to be exactly those of the true transitional density and for nonlinear …
Persistent link: https://www.econbiz.de/10008694498
moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10010837796
This note defines the asymmetric count data, first order moving average model and gives some of its basic properties. A brief account of conditional least squares estimation of unknown parameters is also given.
Persistent link: https://www.econbiz.de/10010611656
moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10010731695
Gamma distributions are some of the most popular models for hydrological processes. In this paper, a very flexible family which contains the gamma distribution as a particular case is introduced. Evidence of flexibility is shown by examining the shape of its probability density function (pdf). A...
Persistent link: https://www.econbiz.de/10010749904
The generalized Pareto (GP) distribution is useful in modeling extreme value data, because of its long tail feature. In this paper, a new generalized version of this distribution which is called the beta generalized Pareto (BGP) distribution is introduced. A new distribution is more flexible and...
Persistent link: https://www.econbiz.de/10010870174
and empirical motivation is provided. Various particular cases and expressions for moments are derived. Estimation … procedures by the method of moments and the method of maximum likelihood as well as the associated Fisher information matrix are …
Persistent link: https://www.econbiz.de/10010870676