Equity index variance: Evidence from flexible parametric jump–diffusion models
نویسندگان
چکیده
منابع مشابه
Flexible parametric measurement error models.
Inferences in measurement error models can be sensitive to modeling assumptions. Specifically, if the model is incorrect, the estimates can be inconsistent. To reduce sensitivity to modeling assumptions and yet still retain the efficiency of parametric inference, we propose using flexible parametric models that can accommodate departures from standard parametric models. We use mixtures of norma...
متن کاملVariance function partially linear single-index models
We consider heteroscedastic regression models where the mean function is a partially linear single-index model and the variance function depends on a generalized partially linear single-index model.We do not insist that the variance function depends only on the mean function, as happens in the classical generalized partially linear single-index model.We develop efficient and practical estimatio...
متن کاملFurther Development of Flexible Parametric Models for Survival Analysis
Royston and Parmar (2002) developed a class of flexible parametric survival models that were programmed in Stata with the command stpm (Royston 2001). In this paper we introduce a new command, stpm2, that extends the methodology. New features of stpm2 include (i) improvement in the way timedependent covariates are modeled, with these effects far less likely to be over parameterized, (ii) the ab...
متن کاملFitting Flexible Parametric Regression Models with GLDreg in R
This article outlines the functionality of the GLDreg package in R which fits parametric regression models using generalized lambda distributions via maximum likelihood estimation and L moment matching. The main advantage of GLDreg is the provision of robust regression lines and smooth regression quantiles beyond the capabilities of existing known methods. The GLDreg package in R is designed to...
متن کاملIncident Duration Modeling Using Flexible Parametric Hazard-Based Models
Assessing and prioritizing the duration time and effects of traffic incidents on major roads present significant challenges for road network managers. This study examines the effect of numerous factors associated with various types of incidents on their duration and proposes an incident duration prediction model. Several parametric accelerated failure time hazard-based models were examined, inc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2017
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2017.06.010