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11.
This article considers a linear regression model with some missing observations on the response variable and presents two
estimators of regression coefficients employing the approach of minimum risk estimation. Small disturbance asymptotic properties
of these estimators along with the traditional unbiased estimator are analyzed and conditions, that are easy to check in practice,
for the superiority of one estimator over the other are derived.
Received May 2001 相似文献
12.
In this paper, we demonstrate that many stochastic volatility models have the undesirable property that moments of order higher
than 1 can become infinite in finite time. As arbitrage-free price computation for a number of important fixed income products
involves forming expectations of functions with super-linear growth, such lack of moment stability is of significant practical
importance. For instance, we demonstrate that reasonably parametrized models can produce infinite prices for Eurodollar futures
and for swaps with floating legs paying either Libor-in-arrears or a constant maturity swap rate. We systematically examine
the moment explosion property across a spectrum of stochastic volatility models. We show that lognormal and displaced-diffusion
type models are easily prone to moment explosions, whereas CEV-type models (including the so-called SABR model) are not. Related
properties such as the failure of the martingale property are also considered.
Electronic Supplementary Material Supplementary material is available for this article at and is accessible for authorized users. 相似文献
Electronic Supplementary Material Supplementary material is available for this article at and is accessible for authorized users. 相似文献
13.
Akihiko Takahashi 《Asia-Pacific Financial Markets》1999,6(2):115-151
We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applicable to a wide range of valuation problems including contingent claims associated with stocks, foreign exchange rates, the term structure of interest rates, and even their combinations. We illustrate our method by discussing the Black-Scholes economy when the underlying asset prices follow the continuous diffusion processes, which are not necessarily time-homogeneous. The standard Black-Scholes model on stocks and the Cox-Ingersoll-Ross model on the spot interest rate are simple examples. Then we shall give a series of examples on the valuation formulae including plain vanilla options, average options, and other contingent claims. We shall also give some numerical evidence of the accuracy of the approximations we have obtained for practical purposes. Our approach can be rigorously justified by an infinite dimensional mathematics, the Malliavin-Watanabe-Yoshida theory recently developed in stochastic analysis. 相似文献
14.
In this note it is described how two distributions arising in a bio-medical investigation are compared by means of a confidence interval for the difference of appropriate quantiles. It is briefly indicated how an approximation for such a confidence interval is derived. 相似文献
15.
This contribution focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account and they are equipped with a wide type of dependence structure. We derive precise asymptotic formulas for the ruin probabilities when the insurance risk has a dominatedly varying tail. In the special case of regular variation, the corresponding formula is proved to be uniform for the time horizon. 相似文献
16.
Esterina Masiello 《Scandinavian actuarial journal》2014,2014(4):283-308
The ruin probability of an insurance company is a central topic in risk theory. We consider the classical Poisson risk model when the claim size distribution and the Poisson arrival rate are unknown. Given a sample of inter-arrival times and corresponding claims, we propose a semiparametric estimator of the ruin probability. We establish properties of strong consistency and asymptotic normality of the estimator and study bootstrap confidence bands. Further, we present a simulation example in order to investigate the finite sample properties of the proposed estimator. 相似文献
17.
Unit root tests are constructed for dynamic panels whose component series are momentum threshold autoregressive processes.
Gaussian null asymptotics are established for the proposed tests. A Monte–Carlo experiment is conducted to compare finite
sample properties of the proposed tests. The tests are illustrated by a real data set. 相似文献
18.
Irne Gijbels Rezaul Karim Anneleen Verhasselt 《Revue internationale de statistique》2019,87(3):471-504
In this paper, we provide a detailed study of a general family of asymmetric densities. In the general framework, we establish expressions for important characteristics of the distributions and discuss estimation of the parameters via method‐of‐moments as well as maximum likelihood estimation. Asymptotic normality results for the estimators are provided. The results under the general framework are then applied to some specific examples of asymmetric densities. The use of the asymmetric densities is illustrated in a real‐data analysis. 相似文献
19.
Stanislav Anatolyev 《Journal of economic surveys》2019,33(2):689-726
This paper surveys the state of the art in the econometrics of regression models with many instruments or many regressors based on alternative – namely, dimension – asymptotics. We list critical results of dimension asymptotics that lead to better approximations of properties of familiar and alternative estimators and tests when the instruments and/or regressors are numerous. Then, we consider the problem of estimation and inference in the basic linear instrumental variables regression setup with many strong instruments. We describe the failures of conventional estimation and inference, as well as alternative tools that restore consistency and validity. We then add various other features to the basic model such as heteroskedasticity, instrument weakness, etc., in each case providing a review of the existing tools for proper estimation and inference. Subsequently, we consider a related but different problem of estimation and testing in a linear mean regression with many regressors. We also describe various extensions and connections to other settings, such as panel data models, spatial models, time series models, and so on. Finally, we provide practical guidance regarding which tools are most suitable to use in various situations when many instruments and/or regressors turn out to be an issue. 相似文献
20.
An investor with constant absolute risk aversion trades a risky asset with general Itô‐dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading‐order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless optimizer. By applying these results in the presence of a random endowment, we obtain asymptotic formulas for utility indifference prices and hedging strategies in the presence of small transaction costs. 相似文献