Search Results - subject:"Error distribution"

Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions

McCulloch, J. Huston; Percy, E. Richard - In: Journal of Econometrics 172 (2013) 2, pp. 275-282

A simplified version of the Neyman (1937) “Smooth” goodness-of-fit test is extended to account for the presence of estimated model parameters, thereby removing overfitting bias. Using a Lagrange Multiplier approach rather than the Likelihood Ratio statistic proposed by Neyman greatly...

Persistent link: https://www.econbiz.de/10011052314

Empirical likelihood estimators for the error distribution in nonparametric regression models

Kiwitt, Sebastian; Nagel, Eva-Renate; Neumeyer, Natalie - 2005

The aim of this paper is to show that existing estimators for the error distribution in nonparametric regression models …

Persistent link: https://www.econbiz.de/10010296709

Empirical likelihood estimators for the error distribution in nonparametric regression models

Kiwitt, Sebastian; Nagel, Eva-Renate; Neumeyer, Natalie - Institut für Wirtschafts- und Sozialstatistik, … - 2005

The aim of this paper is to show that existing estimators for the error distribution in nonparametric regression models …

Persistent link: https://www.econbiz.de/10009216968

Rates of convergence of extreme for general error distribution under power normalization

Chen, Shouquan; Wang, Chao; Zhang, Geng - In: Statistics & Probability Letters 82 (2012) 2, pp. 385-395

By using the theory of p-max stable laws, we study the rates of convergence of extremes for general error distribution …

Persistent link: https://www.econbiz.de/10010571821

Extreme Distribution of a Generalized Stochastic Volatility Model,

Diop, Aliou; Guegan, Dominique - HAL - 2003

generalized error distribution extreme. We provide a Monte Carlo experiment to illustrate th choice of the assumptions. We deal …

Persistent link: https://www.econbiz.de/10008792442

OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL

PAN, MIN; TANG, SHENGQIAO - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 81-93

general error distribution stochastic volatility model, involving both the features of the stock return volatility and the … abnormal fluctuations of the stock price at the expiration date. We estimate the parameters in the general error distribution … model under general error distribution stochastic volatility model. The results show that the general error distribution …

Persistent link: https://www.econbiz.de/10008852560

Bayesian analysis of stochastic volatility models with mixture-of-normal distributions

Asai, Manabu - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2579-2596

-tailed distributions such as the Student-t distribution and generalized error distribution (GED). A Bayesian method via Markov-chain Monte …

Persistent link: https://www.econbiz.de/10010870275

Impact study of volatility modelling of Bangladesh stock index using non-normal density

Rahman, Md. Mostafizur; Zhu, Jian-Ping; Rahman, M. Sayedur - In: Journal of Applied Statistics 35 (2008) 11, pp. 1277-1292

This article examines a wide variety of popular volatility models for stock index return, including the random walk (RW), autoregressive, generalized autoregressive conditional heteroscedasticity (GARCH), and asymmetric GARCH models with normal and non-normal (Student's t and generalized error)...

Persistent link: https://www.econbiz.de/10005495292

An empirical evaluation of fat-tailed distributions in modeling financial time series

So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 96-108

distribution and the generalized error distribution (GED). A Bayesian approach using a reversible-jump Markov chain Monte Carlo … returns, we find that the fitted t error distribution outperforms the GED. In terms of volatility forecasting, models with t …

Persistent link: https://www.econbiz.de/10010749259

Second-order nonlinear least squares estimation

Wang, Liqun; Leblanc, Alexandre - In: Annals of the Institute of Statistical Mathematics 60 (2008) 4, pp. 883-900

Persistent link: https://www.econbiz.de/10005184669