Search Results - subject:"Characteristic function"

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

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

Cramér–von Mises and characteristic function tests for the two and k-sample problems with dependent data

Quessy, Jean-François; Éthier, François - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 2097-2111

observations are proposed in this work. The test statistics are L2 distances of standard empirical and characteristic function …

Persistent link: https://www.econbiz.de/10011056495

Bivariate gamma-geometric law and its induced Lévy process

Barreto-Souza, Wagner - In: Journal of Multivariate Analysis 109 (2012) C, pp. 130-145

In this article we introduce a three-parameter extension of the bivariate exponential-geometric (BEG) law (Kozubowski and Panorska, 2005) [4]. We refer to this new distribution as the bivariate gamma-geometric (BGG) law. A bivariate random vector (X,N) follows the BGG law if N has geometric...

Persistent link: https://www.econbiz.de/10011042072

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

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

Ghysels, Eric; Florens, Jean-Pierre; Chernov, Mikhail; … - Centre Interuniversitaire de Recherche en Analyse des … - 2003

proposed. The moment conditions are computed via the characteristic function. The two major difficulties with the … proposed to deal with the cases where the characteristic function does not have a closed-form expression. Extensive Monte …

Persistent link: https://www.econbiz.de/10005101005

The [gamma]-core and coalition formation

CHANDER, Parkash - Center for Operations Research and Econometrics (CORE), … - 2003

the [gamma]-characteristic function, and that the grand coalition is the only stable coalition structure. …

Persistent link: https://www.econbiz.de/10005043417

The Edgeworth, Cournot and Walrasian Cores of an Economy

Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2003

Three variations of the core of a market game representing an exchange economy are considered and compared. The possibility for utilizing the Walrasian core to reflect certain monetary phenomena is noted.

Persistent link: https://www.econbiz.de/10005464037