Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Sivagowry Sriananthakumar"'
The Central Limit Theorem (CLT) is an important result in statistics and econometrics and econometricians often rely on the CLT for inference in practice. Even though, different conditions apply to different kinds of data, the CLT results are believe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c801c6266e508c9a699484877db077bf
In the absence of uniformly most powerful (UMP) tests or uniformly most powerful invariant (UMPI) TESTS, King (1987c) suggested the use of Point Optimal (PO) tests, which are most powerful at a chosen point under the alternative hypothesis. This pape
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e6ceaca4dcb390c7e80f39135c6c0f5
Publikováno v:
Journal of Risk and Financial Management, Vol 14, Iss 97, p 97 (2021)
Journal of Risk and Financial Management
Volume 14
Issue 3
Journal of Risk and Financial Management
Volume 14
Issue 3
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a88198c3582fb666fbed32be5e4c96f
https://www.mdpi.com/1911-8074/14/3/97
https://www.mdpi.com/1911-8074/14/3/97
Publikováno v:
Journal of Risk and Financial Management
Volume 13
Issue 9
Journal of Risk and Financial Management, Vol 13, Iss 201, p 201 (2020)
Volume 13
Issue 9
Journal of Risk and Financial Management, Vol 13, Iss 201, p 201 (2020)
This paper examines the current accounts of 16 developed and developing countries over the period 1970 to 2018. We test whether these nations satisfy their intertemporal solvency condition for external imbalances. The solvency condition in the strong
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4726392f8f0a8608801df71ca539306
Publikováno v:
International Review of Financial Analysis. 58:247-259
This study investigates the implications of terrorism activities and fear on the dynamic conditional correlations (DCC) between eight OECD stock markets over time (2001–2014). We begin with eight portfolios, each comprising of eight OECD MSCIs. For
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1f50cf60a44d984ea563d0e1bfad4a5
https://doi.org/10.1016/j.irfa.2018.03.011
https://doi.org/10.1016/j.irfa.2018.03.011
Autor:
Sivagowry Sriananthakumar
Publikováno v:
Economic Modelling. 49:387-394
Testing in the presence of nuisance parameters is a problem often faced by researchers; consequently, a number of ways are suggested in the literature to manage this situation. Among these, Maximized Monte Carlo (MMC) tests or asymptotically valid MM
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c5bc1768caabd81fddeae1849c427182
https://doi.org/10.1016/j.econmod.2015.05.006
https://doi.org/10.1016/j.econmod.2015.05.006
Publikováno v:
International Review of Economics & Finance. 39:504-520
This paper investigates stock market interdependencies between Sri Lanka and selected economies in the context of its long civil war using the Dynamic Conditional Correlation (DCC) model with monthly indices (1993–2013) and through bilateral analys
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9107fe0fa04318cf629eca0d64dfacf9
https://doi.org/10.1016/j.iref.2015.08.001
https://doi.org/10.1016/j.iref.2015.08.001
Publikováno v:
Economic Modelling. 45:169-174
In order to better understand the economy and conduct policy analysis, both econometricians and decision makers are interested in effective inferences using econometric models. Because of the complexity of economic data, econometricians heavily rely
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d5b8ee1ff85b0cc7f51f34bf48b38c9
https://doi.org/10.1016/j.econmod.2014.11.021
https://doi.org/10.1016/j.econmod.2014.11.021
Autor:
Sivagowry Sriananthakumar
King’s Point Optimal (PO) test of a simple null hypothesis is useful in a number of ways, for example it can be used to trace the power envelope against which existing tests can be compared. However, this test cannot always be constructed when test
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::44fb76745d7e3f63f1d2b4c927a23c7e
Autor:
Sivagowry Sriananthakumar
This thesis considers the problem of testing linear restrictions on coefficients of a single equation which is part of a linear simultaneous equation system. In particular the Ordinary Least Squares (OLS), Two Stage Least Squares (2SLS) and Instrumen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::04d2887c21429cce4ece192663d17529