Relevant bibliographies by topics / And Skewness / Dissertations / Theses
To see the other types of publications on this topic, follow the link: And Skewness.

Dissertations / Theses on the topic 'And Skewness'

Author: Grafiati
Published: 2 June 2025
Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'And Skewness.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Shum, Wai Yan. "Modelling skewness in financial data." Thesis, University of East Anglia, 2014. https://ueaeprints.uea.ac.uk/48762/.

Full text
Abstract:
The first systematic analysis of the skew-normal distribution in a scalar case is done by Azzalini (1985). Unlike most of the skewed distributions, the skew-normal distribution allows continuity of the passage from the normal distribution to the skew-normal distribution and is mathematically tractable. The skew-normal distribution and its extensions have been applied in lots of financial applications. This thesis contributes to the recent development of the skew-normal distribution by, firstly, analyzing the the properties of annualization and time-scaling of the skew-normal distribution under
APA, Harvard, Vancouver, ISO, and other styles
2

Eriksson, Måns. "A simulation method for skewness correction." Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120037.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Kapadia, Nishad Ghysels Eric. "Skewness, idiosyncratic volatility and expected returns." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2007. http://dc.lib.unc.edu/u?/etd,1128.

Full text
Abstract:
Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2007.<br>Title from electronic title page (viewed Mar. 27, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Kenan-Flagler Business School Finance." Discipline: Business Administration; Department/School: Business School, Kenan-Flagler.
APA, Harvard, Vancouver, ISO, and other styles
4

Martinsson, Engshagen Jan. "Nothing is normal in nance! : On Tail Correlations and Robust Higher Order Moments in Normal Portfolio Frameworks." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102699.

Full text
Abstract:
Abstract This thesis project is divided in two parts. The first part examines the possibility that correlation matrix estimates based on an outlier sample would contain information about extreme events. According to my findings, such methods do not perform better than simple shrinkage methods where robust shrinkage targets are used. The method tested is especially outperformed when it comes to the extreme events, where a shrinkage of the correlation matrix towards the identity matrix seems to give the best result. The second part is about valuation of skewness in marginal distributions and the
APA, Harvard, Vancouver, ISO, and other styles
5

Luo, Lin. "Modelling FX smile : from stochastic volatility to skewness." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/11313.

Full text
Abstract:
This thesis is concerned with the design and analysis of a tractable model, which can capture the key features ofthe observed implied volatility smile surface in the foreign exchange (FX) market, and is flexible enough to be extended to price path-dependent exotic options. In the first part, we examine the dynamics ofthe exchange rate via the conditional distribution implied from option prices, in which the theory and various techniques for implied distribution are analyzed. We identify three sources of uncertainty that need to be modelled: the stochastic exchange rate process, the stochastic
APA, Harvard, Vancouver, ISO, and other styles
6

Gumbo, Victor. "Mean absolute deviation skewness model with transactions costs." Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-09052005-115438.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Ovacikli, Kubilay. "Blind Enhancement of Harmonically Related Signals by Maximizing Skewness." Licentiate thesis, Luleå tekniska universitet, Institutionen för system- och rymdteknik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:ltu:diva-26461.

Full text
Abstract:
Rolling element bearings are used in rotating machinery in various industry branches. Their health status must be monitored continuously in order to establish proper operational conditions in a production process. Numerous approaches, which can be investigated under the subject of ``Condition Based Maintenance", have been studied within mechanical engineering and signal processing to be able to detect and classify possible faults on rolling bearings.Periodic impulsive signals can emerge from defected bearings within rotating machinery. As the signal is distorted by an unknown transfer function
APA, Harvard, Vancouver, ISO, and other styles
8

Rubio, Francisco J. "Modelling of kurtosis and skewness : Bayesian inference and distribution theory." Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/56471/.

Full text
Abstract:
This thesis is concerned with the study of distributional and inferential aspects of some classes of flexible distributions used for modelling asymmetric data. In the last couple of decades, a great effort has been devoted to proposing new dis- tributions that can capture departures from normality. A popular method to obtain such distributions consists of adding parameters to a known, typically symmetric, distribution. In order to do so, several classes of parametric transformations have been employed. In Chapter 2, we analyse two families of such transformations that have recently been recom-
APA, Harvard, Vancouver, ISO, and other styles
9

Karehnke, Paul. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090050.

Full text
Abstract:
Cette thèse étudie le choix de portefeuille et l'évaluation d'actifs avec des préférences qui vont au-Delà des préférences d'espérance d'utilité et de moyenne-Variance standard. La première partie de cette thèse porte sur un modèle de décision dans lequel le décideur forme des croyances endogènes compte tenu de son utilité d'anticipation et de sa déception à posteriori. Les implications du modèle en termes de choix de portefeuille et d'évaluation d'actifs sont dérivées et comparées aux implications du modèle d'espérance d'utilité standard. La deuxième partie de cette thèse porte sur des invest
APA, Harvard, Vancouver, ISO, and other styles
10

Crawford, Anna M. "Field observations of linear transition ripple migration and wave orbital velocity skewness." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp03/NQ54833.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
11

Wang, Sheng. "Regularized skewness parameter estimation for multivariate skew normal and skew t distributions." Diss., University of Iowa, 2019. https://ir.uiowa.edu/etd/6875.

Full text
Abstract:
The skewed normal (SN) distribution introduced by Azzalini has opened a new era for analyzing skewed data. The idea behind it is that it incorporates a new parameter regulating shape and skewness on the symmetric Gaussian distribution. This idea was soon extended to other symmetric distributions such as the Student's t distribution, resulting in the invention of the skew t (ST) distribution. The multivariate versions of the two distributions, i.e. the multivariate skew normal (MSN) and multivariate skew t (MST) distributions, have received considerable attention because of their ability to t s
APA, Harvard, Vancouver, ISO, and other styles
12

Berényi, Zsolt Endre. "Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments /." Frankfurt am Main [u. a.]: Lang, 2003. http://www.gbv.de/dms/zbw/363282351.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
13

Amedah, Sid Ali. "Bayesian analysis of volatility models with semi-heavy tails, skewness and leverage effects." Thesis, Université Laval, 2008. http://www.theses.ulaval.ca/2008/25422/25422.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
14

Van, der A. Dominic A. "Effects of acceleration skewness on oscillatory boundary layers and sheet flow sand transport." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=128253.

Full text
APA, Harvard, Vancouver, ISO, and other styles
15

Lindbom, Jonas. "Hedgefonder - absolut avkastning?" Thesis, Uppsala University, Department of Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-5959.

Full text
APA, Harvard, Vancouver, ISO, and other styles
16

Tang, Gordon Yu Nam. "Diversification, intervalling effect and seasonality : an empirical study of the Hong Kong stock market." Thesis, University of Strathclyde, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.320111.

Full text
APA, Harvard, Vancouver, ISO, and other styles
17

Farkhondeh, Biabnavi Shahrbanoo. "A Kinematics Based Tolerance Analysis of Mechanisms." Cleveland State University / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=csu1211142984.

Full text
APA, Harvard, Vancouver, ISO, and other styles
18

Dubarbier, Benjamin. "Modélisation numérique de l'évolution des profils de plages sableuses dominées par l'action de la houle." Thesis, Bordeaux, 2014. http://www.theses.fr/2014BORD0365/document.

Full text
Abstract:
Les barres sableuses pré-littorales ont un rôle fondamental en morphodynamique des plages soumises à l’action des vagues. Le déséquilibre permanent entre les flux sédimentaires induits vers laplage par les non linéarités des vagues et ceux induits vers le large par le courant de retour gouverne lamigration transversale des barres. Dans cette thèse, un nouveau modèle morphodynamique de profilde plage intégrant l’état de l’art des processus hydro-sédimentaires a été développé. Le faible coûten temps de calcul de ce modèle permet de réaliser des simulations à long terme, O(mois/années),de la morp
APA, Harvard, Vancouver, ISO, and other styles
19

Guo, Yawen. "On Some Test Statistics for Testing the Population Skewness and Kurtosis: An Empirical Study." FIU Digital Commons, 2016. http://digitalcommons.fiu.edu/etd/3045.

Full text
Abstract:
The purpose of this thesis is to propose some test statistics for testing the skewness and kurtosis parameters of a distribution, not limited to a normal distribution. Since a theoretical comparison is not possible, a simulation study has been conducted to compare the performance of the test statistics. We have compared both parametric methods (classical method with normality assumption) and non-parametric methods (bootstrap in Bias Corrected Standard Method, Efron’s Percentile Method, Hall’s Percentile Method and Bias Corrected Percentile Method). Our simulation results for testing the skewne
APA, Harvard, Vancouver, ISO, and other styles
20

Maldaner, Silvana. "DERIVAÇÃO DE UM SKEWNESS DA VELOCIDADE VERTICAL TURBULENTA A PARTIR DE UM MODELO LES." Universidade Federal de Santa Maria, 2010. http://repositorio.ufsm.br/handle/1/10255.

Full text
Abstract:
The planetary boundary layer (PBL) is a physical system presenting a variety of complex states characterized by the turbulence phenomenon. An understanding of the turbulence patterns and its structural details is of fundamental importance in large and small meteorological scales and atmospheric dispersion. From the numerical point of view, the PBL turbulence has been investigated employing LES models. In LES, only the energy-containing eddies of the degrees of freedom of the turbulent field are explicitly resolved and the effect of the smaller, more isotropic eddies, needs to be parameterized.
APA, Harvard, Vancouver, ISO, and other styles
21

Xu, Zhongxiang. "Cross-sectional return predictability : the predictive power of return asymmetry, skewness and tail risk." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/41310/.

Full text
Abstract:
This thesis attempts to investigate the cross-sectional predictive power of return asymmetry, skewness and tail risk. It mainly consists of three empirical chapters on the relation between predictive patterns of the return distribution and expected stock returns. In the first empirical chapter, I adopt a measure of asymmetry, originally proposed by Patil et al. (2012), which can be employed to characterise the shape of the entire distribution of asset returns instead of skewness. Empirical evidence on the relation between asset returns and the skewness of the return distribution is mixed. As s
APA, Harvard, Vancouver, ISO, and other styles
22

Stilger, Przemyslaw. "Numerical and empirical studies of option pricing." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/numerical-and-empirical-studies-of-option-pricing(d8d5a42a-8f45-47c1-85d4-ecce290895cb).html.

Full text
Abstract:
This thesis makes a number of contributions in the derivative pricing and risk management literature and to the growing literature that exploits information embedded in option prices. First, it develops an effective numerical scheme for importance sampling scheme of Fouque and Tullie (2002) based on a 2-dimensional lookup table of stock price and time to maturity that dramatically improves the speed of this importance sampling scheme. Second, the thesis presents an application of this importance sampling scheme in a Multi-Level Monte Carlo simulation. Such combination yields greater variance r
APA, Harvard, Vancouver, ISO, and other styles
23

Grek, Åsa. "Does it exist any excess skewness in GARCH models? : A comparison of theoretical and White Noise values." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-37504.

Full text
APA, Harvard, Vancouver, ISO, and other styles
24

CASTILLO, OSCAR ENRIQUE MIRANDA. "A REAL OPTION MODEL FOR VALUING PROJECTS USING IMPLIED BINOMIAL TREES ADJUSTED BY PROJECT SKEWNESS AND KURTOSIS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=36994@1.

Full text
Abstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>A avaliação dos projetos de investimentos é uma tarefa difícil para muitas empresas, especialmente para aqueles cujo fluxo de caixa depende dos preços das commodities, já que o nível de incerteza nos preços tem um alto impacto na determinação do momento adequado para o investimento. Os métodos de avaliação tradicionais, que não levam em consideração a flexibilidade gerencial nem a modelagem da incerteza do projeto, pode
APA, Harvard, Vancouver, ISO, and other styles
25

Zhang, Yuanyuan. "An Analysis of the information content of, and the Risk-Neutral Skewness Implict in, U.S. Individual Stock Options." Thesis, Lancaster University, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.518150.

Full text
APA, Harvard, Vancouver, ISO, and other styles
26

Stapleton, James C. "Ultra-High Energy Cosmic Rays: Composition, Early Air Shower Interactions, and Xmax Skewness." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1431044195.

Full text
APA, Harvard, Vancouver, ISO, and other styles
27

CHIU, Hsiao-chu, and 邱筱筑. "Observing the Implicit Distributionby Skewness PremiumObserving the Implicit Distributionby Skewness PremiumObserving the Implicit Distribution by Skewness Premium." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/41701825453377169079.

Full text
Abstract:
碩士<br>東海大學<br>財務金融學系<br>97<br>There are three purposes of this article; one is to observe that whether the implicit distribution of Eurodollar futures options is same with the option pricing model with jump diffusion process for interest rate option; the others are to observe that whether the implicit distributions of Eurodollar futures options are the same with different moneyness and maturities. There are four moneyness and three maturities in this article, and we use Bates’ “skewness premium” to find that no matter what moneyness or maturity is, the skewness premium of OTM option does not c
APA, Harvard, Vancouver, ISO, and other styles
28

Pan, Chien-Hsin, and 潘建信. "Portfolio Selection-Considering Skewness." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/67701500192804019358.

Full text
Abstract:
碩士<br>國立交通大學<br>管理科學研究所<br>86<br>This paper finds that the return of the Taiwan''s stock market are not normally distributed during the July 1991-June 1997 time period. In the presence of skewness, the portfoilo selection is a trade-off competing and conflicting objectives, such as maximizing both its expected returns and skewness, and minimizing its risk for risk-aversion investors. Since it is unlikely that a portfolio can solve the multiple-objectives problem simultaneously, a portfo
APA, Harvard, Vancouver, ISO, and other styles
29

Alberto, Daniela Sofia dos Santos. "Patterns of skewness risk." Master's thesis, 2021. http://hdl.handle.net/10071/24195.

Full text
Abstract:
The Skewed Generalised t (SGT), which has a bell shape, is more suitable to reflect market returns behaviour and its extreme drops and rises than the Normal distribution. This distribution is efficient in following the empirical distributions of financial returns, as it may incorporate high values of skewness and kurtosis, typically ignored by the normal distribution. This dissertation contributes to the investigation on skewness present in financial returns, by using stock indices as the object of analysis. The study focuses on identifying patterns of skewness in distributions with diff
APA, Harvard, Vancouver, ISO, and other styles
30

Lin, Yu-Hsiang, and 林裕翔. "Skewness, Liquidity, and Distress Anomaly." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/qr6z76.

Full text
Abstract:
碩士<br>國立交通大學<br>財務金融研究所<br>106<br>This study examines the relationship between risk neutral skewness, default risk, and liquidity, employing the method of Bakshi et al. (2003) to calculate the risk neutral skewness. We find that there is no low risk anomaly when we use all samples during our sample period. In contrast, firms with option trading exhibit the well-known distress anomaly. When considering stock liquidity, there is no distress anomaly for the sample firms without option trading, while significant low risk anomaly exists for the sample firms with option trading, especially when stoc
APA, Harvard, Vancouver, ISO, and other styles
31

ACQUAFREDDA, LUCA. "A skewness-based clustering method." Doctoral thesis, 2018. http://hdl.handle.net/11573/1086091.

Full text
Abstract:
Partitive clustering methods represent one of the earlier and most famous sets of strategy in the field of clustering. The name comes from their main feature: all these methods start from an initial partition and modify it at every step of the process according to a known criterion, until a given convergence rule is satisfied. In other words, as pointed out by Äyrämö and Kärkkäinen (2006), they work essentially as iterative allocation algorithms. In this framework, we do not only focus on “canonical” approaches such as K-means and fuzzy C-means, but discuss some recent symmetrybased part
APA, Harvard, Vancouver, ISO, and other styles
32

Ma, Wei-Chieh, and 馬偉傑. "Seasonality and Skewness in Stock Returns." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/dvn6c4.

Full text
Abstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>107<br>In this essay, we use seasonality and option skewness as a monthly strategy. We sort stocks by seasonality first then by skewness with the dependent sorting and calculate returns and p values for each group. In the end, we find out that there is improvement in returns with the above strategy in comparison with single sorting by seasonality. Besides, if we construct a long-short portfolio with the theoretically best group and worst group, the return is significantly greater than zero, and the strategy cannot be explained by the Fama-Macbeth three-factors model
APA, Harvard, Vancouver, ISO, and other styles
33

Chen, Hsien-Ming, and 陳賢名. "Idiosyncratic Risk, Return Skewness and Corporate Governance." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/16041616361891962344.

Full text
Abstract:
博士<br>國立高雄第一科技大學<br>管理研究所<br>97<br>Most of prior studies mainly focus on whether the corporate governance mechanisms can reduce agency problems for improving firms’ performance and shareholders’ wealth. However, they pay less attention on how the quality of corporate governances impact on reducing firms’ risk. This study investigates how both internal and external corporate governance mechanisms impact firms’ idiosyncratic risk, return skewness based on the Taiwanese data. We expect to find out the key corporate governance mechanisms which can reduce firms’ related risk. This study takes the G
APA, Harvard, Vancouver, ISO, and other styles
34

CHUAN, HUANG YI, and 黃依娟. "Skewness correction ¯X and S control charts." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/99986156372783041579.

Full text
Abstract:
碩士<br>高苑科技大學<br>經營管理研究所<br>102<br>Abstract The quality is the most important competitiveness for an enterprise. Managers often control the production process and improve the quality of products by using the control chart tool. This study aims at developing the mean (¯X) and standard deviation (S) control charts, designing the appropriate control limits for statistical quality control and making up for the shortage of ¯X and S control chart in a non-normal process. In skewed distribution, SC (skewness correction) and WV (weighted variance) control charts are better than other traditional ones.
APA, Harvard, Vancouver, ISO, and other styles
35

He, Sz-Rung, and 何思蓉. "Skewness, Initial Return, and Long-Term Performance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/55558836940879969318.

Full text
Abstract:
碩士<br>輔仁大學<br>企業管理學系管理學碩士班<br>101<br>Previous studies have shown that initial public offerings stock (IPOs) produce abnormal returns higher than the market returns during the initial returns period. The Emerging Stock Market (ESM) and IPOs regulations are set to eliminate this phenomenon and raise market efficiency. However, results showed that those initiatives have weak effects. Previous study also showed that initial public offerings with high expected skewness experience significantly greater initial returns. According to studies, low liquidity in ESM raise up the price level. Therefore
APA, Harvard, Vancouver, ISO, and other styles
36

Zhou, Pei-Yun, and 周佩芸. "Conference Calls and Skewness of Stock Returns." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/04140504410412383983.

Full text
Abstract:
碩士<br>國立高雄第一科技大學<br>金融系碩士班<br>105<br>Previous studies find that individual daily stock returns are frequently skewed to the right and the skewness is more positive for firms with less transparent. Conference calls are voluntary disclosures and can incorporate the firm-specific information into stock prices and trading activity. We argue that the conference calls can improve the firm’s transparency and reduce the degree of managerial discretion over the disclosure of information. This paper examines whether conference calls affect the level of positive skewness in stock returns by using a sampl
APA, Harvard, Vancouver, ISO, and other styles
37

Ahadzie, RM. "Realized skewness and kurtosis in asset markets." Thesis, 2020. https://eprints.utas.edu.au/38455/1/Ahadzie_whole_thesis.pdf.

Full text
Abstract:
The recent advent of high-frequency data has given rise to the notion of realized skewness and realized kurtosis. Unlike sample skewness and sample kurtosis which is normally computed from long samples of low-frequency return series (daily, weekly, monthly return series, and so on), realized skewness and realized kurtosis is computed from high-frequency return series (1-second, 1-minute, 5-minute return series, and so on). The relevance of high-frequency return data has been extensively documented in the extant financial literature. Researchers have shown that with high-frequency return data,
APA, Harvard, Vancouver, ISO, and other styles
38

Hsieh, T.-H., Y. Li, D. G. McKillop, and Yuliang Wu. "Liquidity skewness in the London Stock Exchange." 2017. http://hdl.handle.net/10454/14460.

Full text
Abstract:
Yes<br>We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-ask spread is estimated utilising high frequency data. We find that the bid-ask spread prior to earnings announcements dates is significantly higher than that of post earnings announcements, suggesting that asymmetric information has driven the increase in liquidity skewness. We also find that the effect of earnings announcements is more prono
APA, Harvard, Vancouver, ISO, and other styles
39

Chen, Chin-feng, and 陳進豐. "The Application of Option skewness in Stock Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/9k48bj.

Full text
Abstract:
碩士<br>國立臺灣科技大學<br>財務金融研究所<br>95<br>This study mainly researches the TXO which is Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) option that is daily closing prices from 2004 to 2006 and the TAIEX in Taiwan futures exchange and the Taiwan Economic Journal Data Bank (TEJ). First, this study screens the out-of-the-money call and put options which is market tendency anticipated value in recent months. Second, this study calculates the option skewness and kurtosis according to the out-of-the-money options which are screens by the option daily transaction. The results are the stra
APA, Harvard, Vancouver, ISO, and other styles
40

Hsing, Ta-Jen, and 邢大任. "Skewness- and Kurtosis-adjusted American Option Pricing Model." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/72832617355691413308.

Full text
Abstract:
碩士<br>國立中正大學<br>財務金融學系<br>86<br>The traditional American pricing model frequently misprices deep-in-the-money and deep-out-of-the-money options. Practitioners popularly refer to these strike price biase as volatility smiles. In this paper we exam in a methodto extend the Barone-Adesi and Whaley (1987) American option pricing modelto account for biases induced by nonnormal skewness and kurtosis in stockreturn distributions. The method adapts a Gram- Charlier series expansion ofthe normal de
APA, Harvard, Vancouver, ISO, and other styles
41

Fang, Chao-Yung, and 方昭鏞. "Information Disclosure and Expected Skewness of Stock Returns." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/32642744513547454189.

Full text
Abstract:
碩士<br>國立高雄第一科技大學<br>財務管理研究所<br>102<br>In the past lots of the literature, most assume that stock returns are normally distributed. However, recent studies have pointed out the phenomenon of skewness is existence. This study takes companies on the TSEC of Taiwan as sample. We investigate the relationship between information disclosure and skewness, and find out variables of information disclosure in corporate governance how to affect skewness. We further analysis of variables of information disclosure that split into board characteristics, ownership structure and the core agency problem. Finall
APA, Harvard, Vancouver, ISO, and other styles
42

Gumbo, Victor. "Mean absolute deviation skewness model with transactions costs." Diss., 2003. http://hdl.handle.net/2263/27755.

Full text
APA, Harvard, Vancouver, ISO, and other styles
43

Huang, Hung-Lin, and 黃泓霖. "Interaction Effect of Momentum Profitability and Stock Skewness." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/656kcg.

Full text
Abstract:
碩士<br>國立屏東大學<br>財務金融學系碩士班<br>107<br>This paper investigates whether the investors in Taiwan stock market prefer those stocks with higher values in the maximum daily returns (Max, hereafter) in the past, with higher values in skewness of the return distribution, and with higher standard deviation. We examine the impacts of these three behavioral biases on the profitability of the momentum strategies. At the beginning of each month, we sort all stocks into five quintiles according to their values in Max and construct an investment strategy that buys all stocks in the lowest quintile and sells al
APA, Harvard, Vancouver, ISO, and other styles
44

Zhang, Yan. "Jackknife Empirical Likelihood Inferences for the Skewness and Kurtosis." 2014. http://scholarworks.gsu.edu/math_theses/135.

Full text
Abstract:
Skewness and kurtosis are measures used to describe shape characteristics of distributions. In this thesis, we examine the interval estimates about the skewness and kurtosis by using jackknife empirical likelihood (JEL), adjusted JEL, extended JEL, traditional bootstrap, percentile bootstrap, and BCa bootstrap methods. The limiting distribution of the JEL ratio is the standard chi-squared distribution. The simulation study of this thesis makes a comparison of different methods in terms of the coverage probabilities and interval lengths under the standard normal distribution and exponential dis
APA, Harvard, Vancouver, ISO, and other styles
45

"New statistics to compare two groups with heterogeneous skewness." 2012. http://library.cuhk.edu.hk/record=b5549154.

Full text
Abstract:
筆者在論文中引入一個名為加權距離檢驗的雙變項統計。此檢驗方法用於比較兩個隨機變數的集中趨勢。其優勢在於在有偏度的數據中，仍能穩定地控制第一型錯誤，並同時提供可觀的統計檢力。加權距離檢驗利用冪函數修正在偏度數據中的不對稱現象。與一般的冪函數轉換法不同，加權距離檢驗將冪值限制在0和1之間。文中亦提供了一個有效決定冪值的方法，以方便在實際運算中使用。<br>筆者總結了四個主流的雙變項統計方法，並利用蒙地卡羅模擬法在正態分佈、同程度偏度分佈以及不同程度偏度分佈三個情況中比較了它們與加權距離檢驗的表現。結果顯示，加權距離檢驗雖然沒有在任何一個情況中勝出，但卻於兩方面表現了其優勢。首先，它在任何情況下都能把第一型錯誤控制在合理水平之下；其次，它在任何情況下都不至於表現得太差。反觀其他四個檢驗方法總會在某些情況下表現失敗。由此可見，加權距離檢驗比起其他檢驗方法更能提供一個穩定而簡單的方法去比較集中趨勢。<br>A new bivariant statistics, namely the weighted distance test, for comparing two groups were introduced. The test aims at providing reliable type I error control and reasonable statistical power a
APA, Harvard, Vancouver, ISO, and other styles
46

Hsu, Liang-wei, and 許良瑋. "A Comparison of Empirical and Kernel Estimators of Skewness." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/20074989974895179487.

Full text
APA, Harvard, Vancouver, ISO, and other styles
47

Ewinyu, Ayado. "The correction of skewness of a task performance measure." Thesis, 2013. http://hdl.handle.net/10210/8506.

Full text
Abstract:
M.Comm. (Industrial Psychology)<br>Orientation: In theory, work-based identities have been perceived to predict employee performance at work. The rationale behind this thinking is that individuals apply their identities as they work. Little research is available on the exact nature of the relationship between work-based identity and task performance. Research purpose: The aim of this study is to investigate the relationship between work-based identity and task performance before and after the correction of the negatively skewed task performance measure. Motivation of the study: This study will
APA, Harvard, Vancouver, ISO, and other styles
48

Liou, Ping-Jyun, and 劉品君. "Estimation of Modified Capability Index Cs* in Skewness Processes." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/97920537686135286275.

Full text
Abstract:
碩士<br>國立交通大學<br>工業工程與管理系所<br>102<br>The process capability indices (PCIs) which are important in quality control have been one of a numerical measure index in product process. Cpk is the most popular index used in the manufacturing industry. However, Cpk is only appropriate for process in normal distribution. Wright (1995) based on the non-normal process and proposed the index Cs. However, the exact sampling distribution of Cs is mathematically intractable; therefore, Cs could not assure that the process capability meets the requirement and since Cs has not been widely used, the correspondin
APA, Harvard, Vancouver, ISO, and other styles
49

Dai, Yiqing. "Essays on value, momentum and the preference for skewness." Thesis, 2017. http://hdl.handle.net/2440/119094.

Full text
Abstract:
This dissertation attempts to explain the cross-section of expected returns based on the valuation equation of Miller and Modigliani (1961) and the cumulative prospect theory of Tversky and Kahneman (1992). It consists of three essays on empirical asset pricing. The first essay proposes an alternative metric for value investing: the dividend-to-market ratio (DM). The book-to-market ratio (BM) which is currently used in academia and industry, is a noisy measure for value investing, because book value is a weak indicator of intrinsic value. Motivated by the valuation equation of Miller and Modig
APA, Harvard, Vancouver, ISO, and other styles
50

Vafaei, Sanaz. "Optimal survey design for skewness measurements in weak gravitational lensing." Thesis, 2006. http://hdl.handle.net/2429/18179.

Full text
Abstract:
The properties and structure of the Universe we live in has been the subject of many studies since human kind started to watch the sky. Today, with rapid advancements in technology, cosmology has become a science where theories are rigorously tested against the evidence of observation. Many attempts have been taken in order to find ways to explain the behavior and nature of the Universe as a whole. Already we know that only a small fraction of our Universe is made up of the baryonic matter and the rest comprises an unknown "dark matter" component and an unknown "dark energy" component that dri
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the bibliographies on the topic 'And Skewness' for other source types:
Journal articles Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography