Optimal statistical decisions about some alternative financial models

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 441-471

  Stummer, Wolfgang ^a,b   Vajda, Igor ^c  

^a UNIVERSITY OF ERLANGEN NUREMBERG   (Germany)

^b UNIVERSITY OF KARLSRUHE   (Germany)

^c INSTITUTE OF MATHEMATICS   (Czech Republic)

Author keywords

Bayesian decisions; Cressie Read divergences; Generalized Black Scholes Merton models; Hellinger integrals; Neyman Pearson testing; Renyi distances; Statistical divergences of hypothetic and alternative distributions; Total variation distance

Indexed keywords

BROWNIAN MOVEMENT; COMPUTATIONAL GEOMETRY; DECISION MAKING; DIFFUSION; MATHEMATICAL MODELS; STATISTICAL METHODS;

BAYESIAN DECISIONS; CRESSIE READ DIVERGENCES; GENERALIZED BLACK-SCHOLES-MERTON MODELS; HELLINGER INTEGRALS; NEYMAN-PEARSON TESTING; RENYI DISTANCES; TOTAL VARIATION DISTANCE;

INDUSTRIAL ECONOMICS;

EID: 33847266711     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.10.001     Document Type: Article

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