Search Results - subject:"Student's t Distribution"

Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously

Trojan, Sebastian - School of Economics and Political Science, Universität … - 2013

in the observation error is modeled by the generalized hyperbolic skew Student-t distribution, whose heavy and light tail …

Persistent link: https://www.econbiz.de/10010905982

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

On the characteristic function for asymmetric Student t distributions

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics Letters 121 (2013) 2, pp. 271-274

, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions …

Persistent link: https://www.econbiz.de/10010709097

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Is the Pareto-Lévy law a good representation of income distribution?

Dagsvik, John K.; Jia, Zhiyang; Vatne, Bjørn Helge; … - In: Empirical economics : a journal of the Institute for … 44 (2013) 2, pp. 719-737

Persistent link: https://www.econbiz.de/10009724094

Forecasting financial returns under non-elliptical distributions with applications to portfolio allocation and risk management

Polak, Pawel - 2013

Persistent link: https://www.econbiz.de/10011497848

Does intervalling effect affect ETFs?

Milonas, Nikolaos T.; Rompotis, Gerasimos G. - In: Managerial finance 39 (2013) 9, pp. 863-882

Persistent link: https://www.econbiz.de/10009780537

On the Distributional Characterization of Log-returns of a World Stock Index

Fergusson, Kevin; Platen, Eckhard - Finance Discipline Group, Business School - 2005

distributions the maximum likelihood estimates appear to cluster in the neighborhood of those of the Student t distribution. This is …

Persistent link: https://www.econbiz.de/10004984584

Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2005

We evaluate how departure from normality may affect the conditional allocation of wealth. The expected utility function is approximated by a forth-order Taylor expansion that allows for non-normal returns. Market returns are characterized by a joint model that captures the time dependency and...

Persistent link: https://www.econbiz.de/10005612065

Student-t censored regression model: properties and inference

Arellano-Valle, Reinaldo; Castro, Luis; … - In: Statistical Methods and Applications 21 (2012) 4, pp. 453-473

extension of the classical normal censored model is developed by considering independent disturbances with identical Student-t … distribution. In the context of maximum likelihood estimation, an expression for the expected information matrix is provided, and …

Persistent link: https://www.econbiz.de/10010998678