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Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks 8 (2020) 4, pp. 1-21
measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …
Persistent link: https://www.econbiz.de/10013200656
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Fourth Order Pseudo Maximum Likelihood Methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - Finrisk - 2008
The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...
Persistent link: https://www.econbiz.de/10005868843
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Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21
measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …
Persistent link: https://www.econbiz.de/10012390846
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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
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Skewness and kurtosis properties of income distribution models
McDonald, James B.; Sorensen, Jeff; Turley, Patrick A. - 2011
This paper explores the ability of some popular income distributions to model observed skewness and kurtosis. We … present the generalized beta type 1 (GB1) and type 2 (GB2) distributions' skewness-kurtosis spaces and clarify and expand on … previously known results on other distributions' skewness-kurtosis spaces. Data from the Luxembourg Income Study are used to …
Persistent link: https://www.econbiz.de/10010335526
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003