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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Ángel; Mencía, Javier; Sentana, Enrique - Banco de España - 2007
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 flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....
Persistent link: https://www.econbiz.de/10005155212
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Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
León, Ángel; Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005
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 Rockinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005114173
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PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION
León, Ángel; Mencía, Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2005
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
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Parity analysis of non-log normality of Black-Scholes and its inter-competence
Singh, Vipul Kumar - In: International Journal of Financial Markets and Derivatives 3 (2014) 4, pp. 358-391
provoked to pursue the development of more realistic option pricing models encompassing the level of skewness and kurtosis … smile, skewness and kurtosis. …
Persistent link: https://www.econbiz.de/10010817013
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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more … problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …
Persistent link: https://www.econbiz.de/10010288480
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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Tukey-type distributions in the context of financial data
Fischer, Matthias J.; Horn, Armin; Klein, Ingo - 2003
take skewness into account by means of certain transformations, several generalizations and extensions (HQ …
Persistent link: https://www.econbiz.de/10010299782
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
Persistent link: https://www.econbiz.de/10010299994
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What do data on millions of US workers reveal about life-cycle earnings risk?
Guvenen, Fatih; Karahan, Fatih; Ozkan, Serdar; Song, Jae - 2015
incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis - as high as 30 … compared with 3 for a Gaussian distribution. The high kurtosis implies that, in a given year, most individuals experience very …
Persistent link: https://www.econbiz.de/10011340999
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Prospect Theory and Higher Moments
Ågren, Martin - 2006
The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …
Persistent link: https://www.econbiz.de/10010321576