Results 11 - 20 of 383

Quanto Skew with stochastic volatility

by unknown authors , 2010
"... In an extension to [Jäc09], we further investigate the performance of common quanto approximations in a context of stochastic volatility for both the asset and the FX process. 1 ..."
Abstract - Add to MetaCart
In an extension to [Jäc09], we further investigate the performance of common quanto approximations in a context of stochastic volatility for both the asset and the FX process. 1

Skew-Normality in Stochastic Frontier Analysis

by J. Arm, O Domínguez-molina, Graciela González-farías, J. Armando Domı́nguez-molina, Rogelio Ramos-quiroga
"... Skewness is an intrinsic characteristic in Stochastic Frontier Analysis (SFA), where it is used as a measure of technical inefficiency. We discuss the use of skew normality in SFA. We consider stochastic frontier analysis in the common setting Normal + Truncated Normal with uncorrelated errors, as w ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
Skewness is an intrinsic characteristic in Stochastic Frontier Analysis (SFA), where it is used as a measure of technical inefficiency. We discuss the use of skew normality in SFA. We consider stochastic frontier analysis in the common setting Normal + Truncated Normal with uncorrelated errors

Journal of Financial Economics] (]]]])]]]–]]]

by Gurdip Bakshia, Peter Carrb, Liuren Wud, Nasir Afaf, Doron Avramov, David Backus, David Bates
"... Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies$ ..."
Abstract - Add to MetaCart
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies$

A SKEW STOCHASTIC HEAT EQUATION

by Said Karim, Bounebache, Lorenzo Zambotti
"... ar ..."
Abstract - Add to MetaCart
Abstract not found

Asymptotic skew under stochastic volatility ∗

by Antoine Jacquier , 2007
"... irk be ck W or ki ng P ap er s in E co no m ic ..."
Abstract - Add to MetaCart
irk be ck W or ki ng P ap er s in E co no m ic

Skewness and the Bubble ∗

by Jennifer Conrad, Robert F. Dittmar, Eric Ghysels , 2007
"... Preliminary and incomplete. Please do not quote or cite. We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities ’ risk-neutral returns distribution. We find that individual securities ’ vola ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
) skewed returns associated with subsequent higher (lower) returns, while kurtosis is positively related to returns. We analyze the extent to which these returns relations represent compensation for risk. We use data on index options and the underlying market return to estimate the stochastic discount

A general theory of bibliometric and other cumulative advantage processes

by Derek De Solla Price - Journal of the American Society for Information Science , 1976
"... which models statistically the situation in which success breeds success. I t differs from the Negative Binomial Die tribution in that lack of success, being a non-event, is not punished by increased chance of failure. It is shown that such a stochastic law is governed by the Beta Function, containi ..."
Abstract - Cited by 216 (0 self) - Add to MetaCart
which models statistically the situation in which success breeds success. I t differs from the Negative Binomial Die tribution in that lack of success, being a non-event, is not punished by increased chance of failure. It is shown that such a stochastic law is governed by the Beta Function

The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets

by Christopher S. Jones , 2000
"... This paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. The parameters of the model under both the objective and riskneutral measures are estimated simultane ..."
Abstract - Cited by 159 (3 self) - Add to MetaCart
This paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. The parameters of the model under both the objective and riskneutral measures are estimated

unknown title

by Gurdip Bakshi A, Peter Carr B, Liuren Wu D , 2006
"... www.elsevier.com/locate/jfec Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies $ ..."
Abstract - Add to MetaCart
www.elsevier.com/locate/jfec Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies $

On fundamental skew distributions

by Reinaldo B. Arellano-Valle , Marc G. Genton , 2005
"... A new class of multivariate skew-normal distributions, fundamental skew-normal distributions and their canonical version, is developed. It contains the product of independent univariate skew-normal distributions as a special case. Stochastic representations and other main properties of the associate ..."
Abstract - Cited by 21 (10 self) - Add to MetaCart
A new class of multivariate skew-normal distributions, fundamental skew-normal distributions and their canonical version, is developed. It contains the product of independent univariate skew-normal distributions as a special case. Stochastic representations and other main properties
Results 11 - 20 of 383