Article
Business, Finance
Ines Jimenez, Andres Mora-Valencia, Javier Perote
Summary: This paper introduces the effect of crossed products of Hermite polynomials on Gram-Charlier densities and proposes an improved density function to accurately capture the distribution tails. It evaluates risk quantification for S&P500 losses using backtesting procedures for Value-at-Risk and Median Shortfall.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Piero Quatto, Gianmarco Vacca, Maria Grazia Zoia
Summary: The paper introduces a new copula for modeling higher-order dependencies between pairs of portfolio assets, utilizing orthogonal polynomials to model symmetric co-kurtoses. The method is shown to be suitable for modeling financial data and computing risk measures, with empirical evidence supporting its potential range of applicability in comparison to widely used alternatives in the copula literature.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2021)
Article
Statistics & Probability
Sreenivasa Rao Jammalamadaka, Emanuele Taufer, Gyorgy H. Terdik
Summary: Explicit formulas for the asymptotic covariances of cumulant vectors of the third and the fourth order are provided for any given multivariate distribution, along with general expressions for cumulants of elliptically symmetric multivariate distributions, allowing extension of existing results and obtaining practical expressions.
SCANDINAVIAN JOURNAL OF STATISTICS
(2021)
Article
Chemistry, Multidisciplinary
Sorina Iftimie, Ana-Maria Raduta, Daniela Dragoman
Summary: This study demonstrates that aberrations of metalenses should be described in terms of wave optics and not ray tracing, using intensity-based moments and associated parameters. The research shows differences in aberrations of metalenses under axial and non-axial illuminations, helping to identify parameters most prone to induce changes in beam shapes.
Article
Business, Finance
Pakorn Aschakulporn, Jin E. Zhang
Summary: This paper examines the errors of the Bakshi et al. risk-neutral moment estimators and uses the Gram-Charlier density to specify skewness and excess kurtosis. The study finds that to obtain skewness with small errors, the range of strikes and step size need to meet certain conditions.
REVIEW OF DERIVATIVES RESEARCH
(2022)
Article
Economics
M. Angeles Carnero, Angel Leon, Trino-Manuel Niguez
Summary: In this study, we estimate the skewness of energy returns and test its statistical significance. Traditional and robust tests for skewness are compared with tests based on the implied skewness in a TGARCH-GC model. The study also examines the impact of skewness on tail risk through the evaluation of VaR and ES accuracy. The results suggest that crude oil and gasoline returns have negative skewness, indicating higher tail risk compared to other energy returns.
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
(2023)
Review
Engineering, Aerospace
Ronghui Zheng, Guoping Chen, Huaihai Chen
Summary: This paper reviews various methods for controlling stationary non-Gaussian random vibration, discussing how to control time and frequency domain characteristics in non-Gaussian random vibration tests and generate a one frame stationary non-Gaussian random signal.
CHINESE JOURNAL OF AERONAUTICS
(2021)
Article
Plant Sciences
M. Jamil Hasan, M. Umma Kulsum, Umakanta Sarker, M. Quamrul Islam Matin, Nazmul Hoque Shahin, M. Shahjahan Kabir, Sezai Ercisli, Romina Alina Marc
Summary: This study evaluated the performance of 26 rice hybrids at three locations and identified several hybrids with high yield and stability, suitable for cultivation throughout Bangladesh.
Article
Oceanography
A. S. Zapevalov, A. S. Knyazkov
Summary: The aim of this study is to investigate the potential of using a two-component Gaussian mixture with unequal dispersions as an approximation for the probability density function (PDF) of sea surface elevations. The Gaussian mixture is constructed using different weights, and its parameters are calculated based on the statistical moments of the sea surface elevations. Comparisons with the Gram-Charlier distribution approximation show that the Gaussian mixture performs well under certain conditions. However, further comparisons with wave measurement data are needed to determine the conditions under which the Gaussian mixture can be used effectively.
PHYSICAL OCEANOGRAPHY
(2022)
Article
Mathematics, Applied
Wei Lin, Kangli Shen, Jin E. Zhang
Summary: Density estimation plays a key role in various fields such as finance, pattern recognition, machine learning, and statistics. This paper focuses on the Gram-Charlier densities and presents a method to numerically implement the valid region of higher cumulants using semidefinite programming. The analysis explores the valid regions of different orders and finite domains, showing the broadened ranges of skewness and kurtosis and the impact of domain length.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
(2023)
Article
Materials Science, Multidisciplinary
J. Venkata Rajesh, Giridharan Abimannan
Summary: This study proposes a new single-stage technique for creating functional surfaces on machined components through a powder mixed EDM process. A comparative analysis of surfaces generated by MoS2 powders of two different sizes, 40 μm (μP) and 90 nm (nP), mixed into the dielectric of EDM is explored. The input parameter chosen is current (Ip), and its effect on Rq, Rsk, Rku, recast layer thickness (RCLT), and EDS analysis of AISI 304 machined surface is assessed. The results show that the Rq increases proportionally with the rise in Ip for both μP and nP mixed dielectrics. At smaller magnitudes of Ip, a unique combination of negatively skewed and positively kurtotic surfaces are generated in both μP and nP mixed dielectrics. The RCLT increases with increasing Ip magnitudes, and the deposition of MoS2 on the machined surface is observed through EDS profiles.
Article
Engineering, Civil
Koki Seta, Wei Wang, Naoki Ikegaya
Summary: PDFs of wind speeds at pedestrian levels are important for wind environment assessments, but calculating them from time-series data is challenging due to the large data volume. In this study, the Gram-Charlier series (GCS) was applied to analyze the probability density and low-occurrence strong wind speeds using flow field data obtained from large-eddy simulation. The GCS-nth model, which modifies the Gaussian distribution by incorporating higher-order moments, was used to predict PDFs. The results show that GCS can accurately estimate skewed PDFs and percentile values compared to a Gaussian distribution.
JOURNAL OF WIND ENGINEERING AND INDUSTRIAL AERODYNAMICS
(2023)
Article
Computer Science, Interdisciplinary Applications
Daniel J. Henderson, Alecos Papadopoulos, Christopher F. Parmeter
Summary: Applied researchers often assume that the reference density is Normal and propose optimal bandwidth rules based on this assumption. However, we introduce four new optimal bandwidth rules-of-thumb based on other infinitely supported distributions. We also propose a psuedo rule-of-thumb bandwidth that is linked to the empirical skewness and kurtosis of the data. These new bandwidths require minimal intellectual investment and their behavior is compared to the Normal reference ROT. We also propose model selection criteria for bandwidth choice when the true underlying density is unknown, and evaluate the performance of these new ROT bandwidths in simulations and empirical illustrations.
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
(2023)
Article
Mathematics
Tihana Skrinjaric
Summary: The interconnectedness of stock markets and spillover effects play a crucial role in asset pricing, portfolio allocation, financial stability, and risk management. This research examines the spillover effects between the four moments of return distributions in CESEE stock markets. The study finds that tracking all spillover effects is challenging and higher moments spillovers have significant implications for individual markets.
Article
Business, Finance
Austin Shelton, Hayden Kane, Charles Favreau
Summary: Researchers developed a novel method to estimate a stock's risk-neutral return moments, but errors could be introduced in practice. They recommend using different methodologies to estimate implied moments for more accurate results.
QUANTITATIVE FINANCE
(2021)
Article
Economics
Dante Amengual, Marine Carrasco, Enrique Sentana
JOURNAL OF ECONOMETRICS
(2020)
Article
Economics
Gabriele Fiorentini, Enrique Sentana
Summary: This paper proposes parametric tests for serial correlation in financial returns that are robust to non-normality and distributional misspecification. Empirical results show that the proposed methods have better local power and sample reliability compared to existing methods.
JOURNAL OF ECONOMETRICS
(2021)
Article
Economics
Jan R. Magnus, Henk G. J. Pijls, Enrique Sentana
Summary: The paper presents closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices, and applies them to two cases of interest in macroeconometrics.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
(2021)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
Summary: This paper extends the GC density and ensures positivity through a transformation. It investigates the parametric properties of the density and conditional properties under the TGARCH model. In an empirical application, it estimates tail index, reestimates density, VaR and ES, and conducts a comparative analysis.
JOURNAL OF EMPIRICAL FINANCE
(2021)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
Summary: The study applies conditional copulas to analyze differences in alternative portfolio performance strategies, highlighting that expected tail ratio and skewness-kurtosis ratio portfolios show remarkably low correlations with the Sharpe ratio portfolio under the Gaussian copula. Additionally, copulas focusing on the upper or lower tail render significant differences in performance. The copula analysis is useful for understanding the superiority of equity-screening strategies compared to the Sharpe ratio portfolio.
JOURNAL OF RISK FINANCE
(2021)
Article
Business, Finance
Brenda Castillo, Angel Leon, Trino-Manuel Niguez
Summary: Our analysis of the impact of the COVID-19 pandemic on the conditional variance of stock returns suggests a significant sudden shift post the announcement of the pandemic, emphasizing the need for proper explanation to obtain reliable measures for financial risk management.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
Summary: This paper presents a polynomial expansion method for the standardized Student-t distribution, deriving closed-form expressions for moments and distribution functions, suitable for modeling skewed and heavy-tailed distributions of asset returns. Empirical applications and analyses demonstrate that this new density could be a promising candidate for risk management.
EUROPEAN JOURNAL OF FINANCE
(2022)
Article
Economics
Dante Amengual, Gabriele Fiorentini, Enrique Sentana
Summary: The study proposes simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks to check the normality of shocks and potential cross-sectional dependence. The tests compare integer moments of shocks in the sample with their population counterparts while considering sampling variability. The tests show non-negligible power against empirically plausible alternatives.
SERIES-JOURNAL OF THE SPANISH ECONOMIC ASSOCIATION
(2022)
Article
Economics
Julio Carmona, Angel Leon
Summary: This study demonstrates how diseases can impact economic growth by using the Solow growth model, indicating that diseases lead to a decrease in output per capita and a contraction in the economy's production possibilities frontier.
BULLETIN OF ECONOMIC RESEARCH
(2023)
Article
Mathematics
Brenda Castillo-Brais, Angel Leon, Juan Mora
Summary: This paper compares the performance of different models in estimating Value-at-Risk and Expected Shortfall. The results show that models based on polynomial expansions tend to outperform parametric ones in VaR estimation, while slightly lagging behind in ES estimation. However, the gains from using either approach are modest.
Article
Forestry
Angel Leon, Eyda Marin, David Toscano
Summary: In the valuation of forest resources, consideration of alternative land use is essential. Traditional discounted cashflow criteria (NPV) neglect the uncertainty and flexibility of alternative use. Real options theory (ROT) can assess this flexibility by considering the uncertainty associated with transformation. However, the accuracy of the results depends on the assumptions made about the future evolution of the underlying asset.
Article
Economics
M. Angeles Carnero, Angel Leon, Trino-Manuel Niguez
Summary: In this study, we estimate the skewness of energy returns and test its statistical significance. Traditional and robust tests for skewness are compared with tests based on the implied skewness in a TGARCH-GC model. The study also examines the impact of skewness on tail risk through the evaluation of VaR and ES accuracy. The results suggest that crude oil and gasoline returns have negative skewness, indicating higher tail risk compared to other energy returns.
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
(2023)
Article
Economics
Gabriele Fiorentini, Enrique Sentana
Summary: The study introduces a new testing method to compare three or more estimators in multivariate regression models, and provides a new structural Var model in multivariate regression models to capture the relationship between economic and financial uncertainty and the business cycle.
QUANTITATIVE ECONOMICS
(2021)
Article
Business, Finance
Angel Leon, Trino-Manuel Niguez
JOURNAL OF BANKING & FINANCE
(2020)
Article
Business, Finance
Beatriz Acereda, Angel Leon, Juan Mora
FINANCE RESEARCH LETTERS
(2020)
