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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
Persistent link: https://www.econbiz.de/10010299994
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....
Persistent link: https://www.econbiz.de/10012530160
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Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances
Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 1-16
mean. To enhance the efficiency of the proposed ratio estimators, a linear combination of the population coefficient of … variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the … suggested estimators are assessed using constant, bias and mean square error. We also provided practical study for illustration …
Persistent link: https://www.econbiz.de/10012229194
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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/10010317385
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Resistant outlier rules and the non-Gaussian case
Carling, Kenneth - 1998
The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...
Persistent link: https://www.econbiz.de/10010321056
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The amendment and empirical test of arbitrage pricing models
Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of Applied Finance & Banking 1 (2011) 1, pp. 163-177
caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model …
Persistent link: https://www.econbiz.de/10010281913
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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more …
Persistent link: https://www.econbiz.de/10010288480
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Higher moments and beta asymmetry : evidence from Australia
Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807
Persistent link: https://www.econbiz.de/10011348087