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Efficient discretization of stochastic integrals

Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208

Persistent link: https://www.econbiz.de/10010235454

Regression model for proportions with probability masses at zero and one

Calabrese, Raffaella - 2012

Persistent link: https://www.econbiz.de/10009515736

An observatory note on tests for normality assumptions

Siddiqi, Ahmed F. - In: Journal of modelling in management 9 (2014) 3, pp. 290-305

Persistent link: https://www.econbiz.de/10010463704

Tests for normality in linear panel data models

Alejo, Javier; Galvao, Antonio Fialho <Jr.>; … - 2015

skewness and excess kurtosis allowing researchers to identify departures away from gaussianity in both error components of a …

Persistent link: https://www.econbiz.de/10010465418

A flexible parametric approach for estimating switching regime models and treatment effect parameters

Chen, Heng; Fan, Yanqin; Wu, Jisong - In: Journal of econometrics 181 (2014) 2, pp. 77-91

Persistent link: https://www.econbiz.de/10010473347

Optimal rank tests for symmetry against edgeworth-type alternatives

Cassart, Delphine; Hallin, Marc; Paindaveine, Davy - 2014

Persistent link: https://www.econbiz.de/10010483703

Exact confidence sets and goodness-of-fit methods for stable distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 181 (2014) 1, pp. 3-14

Persistent link: https://www.econbiz.de/10010473451

Observation-driven models for right skewed nonstationary panel data : an application to GDP study

Mahmood, Munir; Mallick, Taslim; Bari, Wasimul; Hasan, … - In: The empirical economics letters : a monthly … 14 (2015) 2, pp. 173-182

Persistent link: https://www.econbiz.de/10011311256

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …

Persistent link: https://www.econbiz.de/10011398115

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

Persistent link: https://www.econbiz.de/10011410634