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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic modelling 33 (2013), pp. 126-136

Persistent link: https://www.econbiz.de/10010192022

Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests

Sriananthakumar, Sivagowry - In: Economic modelling 49 (2015), pp. 387-394

Persistent link: https://www.econbiz.de/10011439597

A comparison of the accuracy of asymptotic approximations in the dynamic regression model using Kullback-Leibler information

Atukorala, Ranjani; Sriananthakumar, Sivagowry - In: Economic modelling 45 (2015), pp. 169-174

Persistent link: https://www.econbiz.de/10011334130

Point optimal testing : a survey of the post 1987 Literature

King, Maxwell L.; Sriananthakumar, Sivagowry - 2015

Persistent link: https://www.econbiz.de/10011781155

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012484861