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Full-Text Articles in Finance
Some Statistical Models For Durations And Their Applications In Finance, Shelton Peiris, David E. Allen, Wenling Yang
Some Statistical Models For Durations And Their Applications In Finance, Shelton Peiris, David E. Allen, Wenling Yang
Research outputs pre 2011
This paper considers a new class of time series models called Autoregressive Conditional Duration (ACD) models. Various statistical properties of this class of ACD models are given. A minimum mean square error (mmse) forecast function is obtained as it plays an important role in many practical applications. The theory is illustrated using a potential application based on financial data.
Skewness Is The Name Of The Game, Y. H. Cheung
Skewness Is The Name Of The Game, Y. H. Cheung
Research outputs pre 2011
Theoretical models of risk taking attempt to explain why risk-averse individuals participate in unfair gambles. This paper evaluates the two explanations as to why rational individuals would accept gambles with negative expected returns. It is found that it is skewness, not the mean or the variance of the prize distribution that attracts risk-averse gamblers. However, evidence shows that there seems to be an optimal trade-off between operators’ sales revenues and skewness of the pay-off; a point that designer of gambling games needs to heed to.