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Parametric Pricing of Higher Order Moments in S&P500 Options.

Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as …

Persistent link: https://www.econbiz.de/10005087577

Semiparametric estimation of the dependence parameter of the error terms in multivariate regression

Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007

A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error term in the multivariate linear regression model. The nonparametric part of the method treats the marginal distributions of the error term as unknown, and estimates them by...

Persistent link: https://www.econbiz.de/10005125276

A Computational Implementation of GMM

Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...

Persistent link: https://www.econbiz.de/10011093867

Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2004

This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...

Persistent link: https://www.econbiz.de/10005149031

Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Ye, Azhong; Hyndman, Rob J; Li, Zinai - Department of Econometrics and Business Statistics, … - 2006

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth...

Persistent link: https://www.econbiz.de/10005149087

Testing Conditional Asset Pricing Models: An Emerging Market Perspective

Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - Department of Econometrics and Business Statistics, … - 2008

the return distribution. This is characterized by excess kurtosis. It is found that the unconditional Fama-French model …

Persistent link: https://www.econbiz.de/10005581109

Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data

Weterings, Timothy A.; Harris, Mark N.; Hollingsworth, Bruce - Department of Econometrics and Business Statistics, … - 2012

This research proposes that, in cases where threshold covariates are either unavailable or difficult to observe, practitioners should treat these characteristics as latent, and use simulated maximum likelihood techniques to control for them. Two econometric frameworks for doing so in a more...

Persistent link: https://www.econbiz.de/10010860407

Implicit Bayesian Inference Using Option Prices

Martin, Gael M.; Forbes, Catherine S.; Martin, Vance L. - Department of Econometrics and Business Statistics, … - 2003

is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness …

Persistent link: https://www.econbiz.de/10005427614

Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms

Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2003

models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and … excess kurtosis in the underlying returns process. An important property of the more general pricing models is that the … volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

Persistent link: https://www.econbiz.de/10005149038

Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves

Hall, Peter G.; Hyndman, Rob J.; Fan, Yanan - Department of Econometrics and Business Statistics, … - 2003

We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that...

Persistent link: https://www.econbiz.de/10005427623