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The imprecise Beta model (IBM) of Bernard (1996) and Walley (1996) is the most popular model for learning about a binomial random variable under prior ignorance. Piatti et al. (2005) show that there is a fundamental issue with the interpretation of results produced by the IBM in applications....
Persistent link: https://www.econbiz.de/10005858357
Closed-form, trivially evaluated approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to...
Persistent link: https://www.econbiz.de/10005858504
The recently proposed class of MixN-GARCH models, which couple a mixed normal distributional structure with linked GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as admirable out-of-sample forecasting performance, for financial...
Persistent link: https://www.econbiz.de/10005858753
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...
Persistent link: https://www.econbiz.de/10005858776
A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...
Persistent link: https://www.econbiz.de/10005858866