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Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the … hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation ….r.t. reviewed parametric statistical families used for direct estimation. Additionally, we shall introduce the Fast Fourier …

Persistent link: https://www.econbiz.de/10008663375

GTL regression : a linear model with skewed and thick-tailed disturbances

Vijverberg, Wim P. M.; Hasebe, Takuya - 2015

If the disturbances of a linear regression model are skewed and/or thick-tailed, a maximum likelihood estimator is efficient relative to the customary Ordinary Least Squares (OLS) estimator. In this paper, we specify a highly flexible Generalized Tukey Lambda (GTL) distribution to model skewed...

Persistent link: https://www.econbiz.de/10010489608

A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors

Ricci, Lorenzo - 2017

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions

Persistent link: https://www.econbiz.de/10012955749

Density Based Regression for Inhomogeneous Data : Application to Lottery Experiments

Kontek, Krzysztof - 2010

This paper presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and … kurtosis or by an unequal amount of data over the estimation domain. The concept is based first on the estimation of the … the advantages of the proposed methodology, which eliminates most of the estimation problems arising from data …

Persistent link: https://www.econbiz.de/10013144565

A Simple Approximation to the Convolution of Gamma Distributions

Stewart, Trevor; Strijbosch, L.W.G; Moors, Hans; … - 2007

The exact expressions for the convolutions of gamma distributions with different scale parameters is quite complicated. The approximation by means of another gamma distribution is shown to be remarkably accurate for wide ranges of the parameter values, especially if more than two random...

Persistent link: https://www.econbiz.de/10014058534

Filtered likelihood for point processes

Giesecke, Kay; Schwenkler, Gustavo - In: Journal of econometrics 204 (2018) 1, pp. 33-53

Persistent link: https://www.econbiz.de/10011974711

Estimation of P (X ≤ Y) for discrete distributions with non-identical support

Choudhury, Mriganka Mouli; Bhattacharya, Rahul; Maiti, … - In: Statistics in transition : an international journal of … 23 (2022) 3, pp. 43-64

The Uniformly Minimum Variance Unbiased (UMVU) and the Maximum Likelihood (ML) estimations of R = P(X ≤ Y) and the associated variance are considered for independent discrete random variables X and Y. Assuming a discrete uniform distribution for X and the distribution of Y as a member of the...

Persistent link: https://www.econbiz.de/10013428843

Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities

Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 4, pp. 1681-1710

Persistent link: https://www.econbiz.de/10013382399

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Persistent link: https://www.econbiz.de/10003952795

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10003952817