Showing 1 - 10 of 656
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005611898
We conduct an extensive empirical analysis of VIX derivative valuation models over the 2004-2007 bull market and the subsequent financial crisis. We show that existing models yield large distortions during the crisis because of their restrictive volatility mean reverting assumptions. We propose...
Persistent link: https://www.econbiz.de/10008513288
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-varianceskewness frontier in closed form, and show that it...
Persistent link: https://www.econbiz.de/10008518029
We derive specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. In both cases, we decompose the corresponding Lagrange Multiplier-type tests into skewness and kurtosis components,...
Persistent link: https://www.econbiz.de/10008518040
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). Weshow that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financialderivatives valuation. We...
Persistent link: https://www.econbiz.de/10005860922
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...
Persistent link: https://www.econbiz.de/10004969776
We compare Semi-Nonparametric expansions of the Gamma distribution with alternative Laguerre expansions, showing that they substantially widen the range of feasible moments of positive random variables. Then, we combine those expansions with a component version of the Multiplicative Error Model...
Persistent link: https://www.econbiz.de/10011186623
We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...
Persistent link: https://www.econbiz.de/10011039249
We derive Lagrange multiplier and likelihood ratio specification tests for the null hypotheses of multivariate normal and Student-t innovations using the generalized hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange multiplier-type tests into skewness...
Persistent link: https://www.econbiz.de/10011009983
Persistent link: https://www.econbiz.de/10004982615