PhD Dongming Zhu published a paper entitled “Properties and estimation of asymmetric exponential power distribution” in Journal of Econometrics No. 148, 2009.
The paper proposes a new distribution class, Asymmetric Exponential Power Distribution (AEPD), analyzing the nature and parameter estimation of the distribution class and related applications. The article particularly discusses the applications of AEPD in risk management and financial econometrics.
Journal of Econometrics, issued in 1973, is the world's top academic journal of econometrics. It is designed to serve as an outlet for important new research in both theoretical and applied econometrics. PhD Zhu’s paper being published indicates the international level of academic research of teachers from HSBC School of Business.
The following is the abstract of the paper:
The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our parametrization provides an interpretable role for each parameter. We derive moments and moment-based measures: skewness, kurtosis, expected shortfall. It is demonstrated that a maximum entroy property holds for the APED distributions. We establish consistency, asymptotic normality and efficiency of the maximum likelihood estimators over a large part of the parameter space by dealing with the problems created by non-smooth likelihood function and derive explicit analytical expressions of the asymptotic covariance matrix; where the results apply to the SEPD class they enlarge on the current literature. Also we give a convenient stochastic representation of the distribution; our Monte Carlo study illustrates the theoretical results. We also provide some empirical evidence for the usefulness of employing APED errors in GARCH type models for predicting downside market risk of financial assets.
PhD Dongming Zhu
Peking University, HSBC School of Business, Associate Professor
-Research Fields:
Econometrics Theory, Econometrics of Financial Market, Risk Management
-Papers:
1. Properties and estimation of asymmetric exponential power distribution，(with Victoria Zinde-Walsh), Journal of Econometrics, forthcoming.
2. A fully asymmetric Student-t distribution, with applications in financial econometrics (with John W. Galbraith), submitted to Journal of Econometrics.
3. Asymmetric parametric distributions: A procedure and an example, submitted to Economics Letters.
4. New classes of generalized extreme value distributions, working paper.
5. Properties and estimation of asymmetric generalized t distribution, working paper.
