The quality of sample survey results is to a large degree dependent on decisions made by survey statisticians at the planning stage. The first paper studies two issues related to the planning stage: (i) the sensitivity of model assumptions concerning the relation between the size measure and a study variable in without replacement probability proportional-to-size sampling (πps sampling), and (ii) properties of practicable sample selection schemes for fixed size πps sampling. These two issues are also addressed in the second paper, which furthermore discusses the consequences of the presence of more than one study variable and to what extent the auxiliary information used in the design and that used in the estimators interact.The evident problem in both the first and the second paper is how to choose an overall efficient sampling design when there are several important study variables with various relationships to the available auxiliary variables. The third paper suggests a diagnostic tool to support the choice of design, and on the basis of three criteria of overall efficiency optimal designs are derived.The optimal designs presented in the third paper may not be fully satisfactory in meeting specified precision requirements for separate estimators. To achieve a design that is tailor-made to meet such requirements, optimisation must be done under restrictions…
Contents
1. Background
1.1. Stylized facts for financial data
2. Modeling Volatility
2.1. The GARCH Process
2.2. Stochastic volatility process
3. Derivative pricing
4. Summary of the papers
4.1. Paper I: Approximating the probability distribution of functions of random variables: A new approach
4.2. Paper II: A An extension of the generalized hyperbolic family of probability laws
4.3. Paper III: The Mean Variance Mixing GARCH (1,1) process a new approach to quantify conditionalskewness
4.4. Paper IV: A L´ evy process for the GNIG probability law with second order stochastic volatility and
applications to option pricing.
References
Author: Holmberg, Anders
Source: Uppsala University Library
Download URL 2: Visit Now