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Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …

Persistent link: https://www.econbiz.de/10010490408

Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions

Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21

measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …

Persistent link: https://www.econbiz.de/10012390846

Chapter 10. Forecasting with Option-Implied Information

Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 581-656). 2013

forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any …

Persistent link: https://www.econbiz.de/10014025539

The Skewness-Kurtosis plane for non-Gaussian systems : the case of hedge fund returns

Karagiorgis, Ariston; Drakos, Kōnstantinos - In: Journal of international financial markets, … 80 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013533169

Consumption partial insurance in the presence of tail income risk

Ghosh, Anisha; Theloudis, Alexandros - 2023

Persistent link: https://www.econbiz.de/10014339954

Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data

Kim, Sol; Lee, Geul - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 403-432

Persistent link: https://www.econbiz.de/10009388576

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

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

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389