Search Results - subject:"Characteristic function"

Time truncated acceptance sampling plans for generalized exponential distribution

Aslam, Muhammad; Kundu, Debasis; Ahmad, Munir - In: Journal of Applied Statistics 37 (2010) 4, pp. 555-566

life of the experimental unit when the shape parameter is two. The operating characteristic function values of the sampling …

Persistent link: https://www.econbiz.de/10008503028

Computation of limiting distributions in stationarity testing with a generic trend

Presno, María; Landajo, Manuel - In: Metrika 71 (2010) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10008591065

Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Lord, Roger - In: Applied Mathematical Finance 17 (2010) 4, pp. 373-376

Guo and Hung (2007) recently studied the complex logarithm present in the characteristic function of Heston …'s stochastic volatility model. They proposed an algorithm for the evaluation of the characteristic function that is claimed to …

Persistent link: https://www.econbiz.de/10008675001

Tests for the error distribution in nonparametric possibly heteroscedastic regression models

Hušková, Marie; Meintanis, Simos - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 1, pp. 92-112

Persistent link: https://www.econbiz.de/10008515578

A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes

Lewis, Alan L. - Finance Press - 2001

characteristic function …

Persistent link: https://www.econbiz.de/10005696664

Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function

Hong, Yongmiao - In: Annals of Economics and Finance 2 (2001) 1, pp. 123-164

empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch …-correlation. By differentiating the empirical characteristic function at the origin, the present approach yields a modified version of … differentiating the empirical characteristic function properly. A simulation study compares the new test with those of Haugh (1976 …

Persistent link: https://www.econbiz.de/10009145677

Risk and Return Measures for a Non-Gaussian World

Powers, Michael R.; Powers, Thomas Y. - In: Journal of Financial Transformation 25 (2009), pp. 51-54

We propose new measures of both risk and anticipated return that incorporate the effects of skewness and heavy tails from a financial return’s probability distribution. Our cosine-based analysis, which involves maximizing the marginal Shannon information associated with the Fourier transform...

Persistent link: https://www.econbiz.de/10004981465

A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility

Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2009

extending the Geske-Johnson compound option scheme. The characteristic function of the underlying state vector is inverted to …

Persistent link: https://www.econbiz.de/10004987252

A homogeneity test for bivariate random variables

Fernández, V. Alba; Rosillo, D. Barrera; Pérez, M. … - In: Computational Statistics 24 (2009) 3, pp. 513-531

Persistent link: https://www.econbiz.de/10005029241

On the distribution of the sum of independent uniform random variables

Sadooghi-Alvandi, S.; Nematollahi, A.; Habibi, R. - In: Statistical Papers 50 (2009) 1, pp. 171-175

Persistent link: https://www.econbiz.de/10005167194