Optimal statistical decisions about some alternative financial models

DOI10.1016/j.jeconom.2005.10.001zbMath1360.62504OpenAlexW2007508104MaRDI QIDQ276923

Wolfgang Stummer, Igor Vajda

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.10.001

zbMATH Keywords

Hellinger integralsBayesian decisionsCressie-Read divergencesgeneralized Black-Scholes-Merton modelsNeyman-Pearson testingRenyi distancesstatistical divergences of hypothetic and alternative distributionstotal variation distance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (3)

On divergences of finite measures and their applicability in statistics and information theory ⋮ On Rényi information for ergodic diffusion processes ⋮ Unnamed Item

Cites Work

• The Pricing of Options and Corporate Liabilities
• Distances and discrimination rates for stochastic processes
• Goodness-of-fit statistics for discrete multivariate data
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• On exponentials of additive functionals of Markov processes
• Information theoretic framework for process control
• Information and entropy econometrics -- editor's view.
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Confidence intervals in generalized method of moments models
• Entropy and predictability of stock market returns.
• On the asymptotic stability of the intrinsic and fractional Bayes factors for testing some diffusion models
• A Bayesian approach to diagnosis of asset pricing models
• Possible generalization of Boltzmann-Gibbs statistics.
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Hellinger integrals of diffusion processes
• Hellinger integrals of gaussian processes with independent increments
• Bayes factors for discrete observations from diffusion processes
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Rényi Statistics in Directed Families of Exponential Experiments*
• Information Theoretic Approaches to Inference in Moment Condition Models
• A compendium to information theory in economics and econometrics
• On an Identity for Stochastic Integrals
• Bounds for the Power of Likelihood Ratio Tests and Their Asymptotic Properties
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal statistical decisions about some alternative financial models