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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

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 … volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

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

Loving the Long Shot: Risk Taking with Skewed Lotteries

grossman, philip j.; Eckel, Catherine C. - Department of Econometrics and Business Statistics, … - 2012

We develop a new protocol, adapted from the Eckel and Grossman (2002, 2008) risk measure, to elicit skewness … increasing degrees of positive skewness. We find that our subjects are skewness-seekers. More importantly, positive skewness in …

Persistent link: https://www.econbiz.de/10010615292

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

Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation

Bergmeir, Christoph; Hyndman, Rob J; Benitez, Jose M - Department of Econometrics and Business Statistics, … - 2014

exponential smoothing models is estimated. The resulting point forecasts are averaged using the mean. We evaluate this new method …

Persistent link: https://www.econbiz.de/10010958949

Real Interest Rate Linkages in the Pacific Basin Region

Ji, Philip Inyeob; Kim, Jae H. - Department of Econometrics and Business Statistics, … - 2005

This paper examines the linkage of real interest rates of a group of Pacific-Basin countries with a focus on East Asia. We consider monthly real interest rates of the US, Japan, Korea, Singapore, and Thailand from 1980 and 2004. The impulse response analysis and half-life estimation are...

Persistent link: https://www.econbiz.de/10005149037

Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach

Kim, Jae; Silvapulle, Param; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2006

of mean reversion of the deviation from an international parity condition. Several studies have proposed bias … faster rates of mean-reversion than those reported in previous studies. …

Persistent link: https://www.econbiz.de/10005149077

Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals

Kim, Jae H.; Song, Haiyang; Wong, Kevin; … - Department of Econometrics and Business Statistics, … - 2008

Australia. The mean coverage rate and length of alternative prediction intervals are evaluated in an empirical setting. It is …

Persistent link: https://www.econbiz.de/10005581119

A New Procedure For Multiple Testing Of Econometric Models

King, Maxwell L.; Zhang, Xibin; Akram, Muhammad - Department of Econometrics and Business Statistics, … - 2011

through a combination of bootstrapping to obtain a multivariate kernel density estimator of the joint density of the test …

Persistent link: https://www.econbiz.de/10009131120