Search Results - subject:"Finite Mixture Models"

Bank efficiency measures, M&A decision and heterogeneity

Caiazza, Stefano; Pozzolo, Alberto Franco; Trovato, Giovanni - In: Journal of productivity analysis 46 (2016) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10011631627

Identifying and treating unobserved heterogeneity with FIMIX-PLS part II : a case study

Matthews, Lucy M.; Sarstedt, Marko; Hair, Joseph F.; … - In: European business review : EBR ; the official journal … 28 (2016) 2, pp. 208-224

Persistent link: https://www.econbiz.de/10011557506

Option pricing with asymmetric heteroskedastic normal mixture models

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...

Persistent link: https://www.econbiz.de/10008836162

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

Persistent link: https://www.econbiz.de/10008642728

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2010

Persistent link: https://www.econbiz.de/10008462026

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2009

implied volatilities. Keywords: Bayesian inference, option pricing, finite mixture models, out-of-sample prediction, GARCH … mixture models, which are convex combinations of densities, are becoming a stan- dard tool in financial econometrics. They are … risk premium. We show that our model allows for significant negative skewness and time varying higher order moments. Finite …

Persistent link: https://www.econbiz.de/10005440079

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2009

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...

Persistent link: https://www.econbiz.de/10005100954

Bayesian option pricing using mixed normal heteroskedasticity models

ROMBOUTS, Jeroen V.K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2009

pricing, finite mixture models, out-ofsample prediction, GARCH models. JEL Classification: C11, C15, C22, G13 … mixture models, which are convex combinations of densities, are becoming a stan- dard tool in financial econometrics. They are … risk premium. We show that our model allows for significant negative skewness and time varying higher order moments. Finite …

Persistent link: https://www.econbiz.de/10008494365

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen V.K.; Stentoft, Lars - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

Persistent link: https://www.econbiz.de/10008528563

An investigation of the effects of product recalls on brand commitment and purchase intention

Byun, Kyung-Ah; Dass, Mayukh - In: Journal of Consumer Marketing 32 (2015) 1, pp. 1-14

Purpose – The purpose of this study is to examine how product recalls affect brand commitment and post-recall purchase intention. Design/methodology/approach – The role of consumer and product recall characteristics based on attribution theory is tested using data collected through...

Persistent link: https://www.econbiz.de/10014850148