Search Results - subject:"Negatively Skewed Distribution"

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-18

the Black-Scholes modeling in such instances, which involves negatively skewed distribution, is further illustrated by its … model. Indeed, this distribution is especially useful in situations in which the spot's price follows a negatively skewed … distribution for which Black-Scholes-based (i.e., the log-normal distribution) modeling is largely inapt. We illustrate the …

Persistent link: https://www.econbiz.de/10014332439

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10013273577

Estimation Issues in Single Commodity Gravity Trade Models

Prehn, Soren; Brummer, Bernhard - 2011

Recently gravity trade models are applied to disaggregated trade data. Here manyzeros are characteristic. In the presence of excess zeros usual Poisson Pseudo MaximumLikelihood (PPML) is still consistent, the variance covariance matrix howeveris invalid. Correct economic interpretation however...

Persistent link: https://www.econbiz.de/10009442838

Estimation Issues in Single Commodity Gravity Trade Models

Prehn, Soren; Brummer, Bernhard - European Association of Agricultural Economists - EAAE - 2011

Recently gravity trade models are applied to disaggregated trade data. Here many zeros are characteristic. In the presence of excess zeros usual Poisson Pseudo Maximum Likelihood (PPML) is still consistent, the variance covariance matrix however is invalid. Correct economic interpretation...

Persistent link: https://www.econbiz.de/10009326151