Search Results - subject:"Characteristic Function"

Moments of multivariate regime switching with application to risk-return trade-off

Taamouti, Abderrahim - In: Journal of Empirical Finance 19 (2012) 2, pp. 292-308

We use a Fourier transform to derive multivariate conditional and unconditional moments of multi-horizon returns under a regime-switching model. These moments are applied to examine the relevance of risk horizon and regimes for buy-and-hold investors. We analyze the impact of time-varying...

Persistent link: https://www.econbiz.de/10011042128

Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications

Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2012

conditional characteristic function of a stockâ€™s log-price and squared volatility under the model dynamics. The use of the …

Persistent link: https://www.econbiz.de/10011143820

A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - In: Journal of Economic Dynamics and Control 36 (2012) 5, pp. 708-715

an exact solution of their pricing equation. More generally, we show that the characteristic function of their pricing …

Persistent link: https://www.econbiz.de/10010577448

Monitoring changes in the error distribution of autoregressive models based on Fourier methods

Hlávka, Zdeněk; Hušková, Marie; Kirch, Claudia; … - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 4, pp. 605-634

, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is …

Persistent link: https://www.econbiz.de/10010994328

NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

BERNARD, CAROLE; CUI, ZHENYU; MCLEISH, DON - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250047-1

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic … function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model …

Persistent link: https://www.econbiz.de/10010595419

On the approximate frequentist validity of the posterior quantiles of a parametric function: results based on empirical and related likelihoods

Chang, In; Mukerjee, Rahul - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 1, pp. 156-169

Persistent link: https://www.econbiz.de/10010539296

Specification tests for the error distribution in GARCH models

Klar, B.; Lindner, F.; Meintanis, S.G. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3587-3598

conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or …

Persistent link: https://www.econbiz.de/10010617638

A spectral estimation of tempered stable stochastic volatility models and option pricing

Li, Junye; Favero, Carlo; Ortu, Fulvio - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3645-3658

A characteristic function-based method is proposed to estimate the time-changed Lévy models, which take into account …

Persistent link: https://www.econbiz.de/10010617665

Characteristic function-based hypothesis tests under weak dependence

Leucht, Anne - In: Journal of Multivariate Analysis 108 (2012) C, pp. 67-89

empirical characteristic function. We consider a symmetry test and a goodness-of-fit test for the marginal distribution of a …

Persistent link: https://www.econbiz.de/10010572309

Maximum likelihood estimation of stochastic frontier models by the Fourier transform

Tsionas, Efthymios G. - In: Journal of Econometrics 170 (2012) 1, pp. 234-248

based on the inversion of the characteristic function (which turns out to be manageable) using the Fourier transform …

Persistent link: https://www.econbiz.de/10010664702