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Year of publication
Subject
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normal distribution 188 probability 94 equation 93 correlation 87 statistics 86 Normal distribution 80 equations 70 time series 68 Economic models 63 standard deviation 60 covariance 59 econometrics 56 probabilities 56 correlations 55 statistic 55 samples 52 forecasting 49 survey 49 Theorie 40 Theory 38 probability distribution 37 standard errors 37 prediction 36 standard deviations 36 skewness 35 Normalverteilung 33 autocorrelation 31 random variable 31 sample size 31 kurtosis 30 standard error 30 Statistische Verteilung 29 Statistical distribution 28 calibration 28 outliers 28 logarithm 27 computation 26 predictions 25 random variables 25 dummy variable 24
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Online availability
All
Free 173 Undetermined 91 CC license 3
Type of publication
All
Book / Working Paper 167 Article 129
Type of publication (narrower categories)
All
Article in journal 41 Aufsatz in Zeitschrift 41 Working Paper 20 Graue Literatur 18 Non-commercial literature 18 Arbeitspapier 15 Hochschulschrift 8 Article 7 Thesis 6 Aufsatz im Buch 5 Book section 5 research-article 5 Dissertation u.a. Prüfungsschriften 2 viewpoint 2 Collection of articles of several authors 1 Conference paper 1 Konferenzbeitrag 1 Lehrbuch 1 Sammelwerk 1 Textbook 1 brief-report 1
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Language
All
English 186 Undetermined 103 German 6 Slovak 1 Spanish 1
Author
All
Chan-Lau, Jorge A. 9 Acemoglu, Daron 7 Ozdaglar, Asuman E. 7 Tahbaz-Salehi, Alireza 7 Basurto, Miguel A. Segoviano 5 Berenguer-Rico, Vanessa 4 Johansen, Søren 4 Krichene, Noureddine 4 Martinovic, John 4 Nadarajah, Saralees 4 Nielsen, Bent 4 Powers, Michael R. 4 Abeysinghe, Tilak 3 Barnhill, Theodore M. 3 Chernozhukov, Victor 3 Chetverikov, Denis 3 Dargie, Waltenegus 3 Gapko, Petr 3 Gray, Dale F. 3 Hähnel, Markus 3 Jasso, Guillermina 3 Kato, Kengo 3 Kisinbay, Turgut 3 Mirestean, Alin 3 Nöldeke, Georg 3 Rajaguru, Gulasekaran 3 Rebucci, Alessandro 3 Santos, Andre 3 Scheithauer, Guntram 3 Souto, Marcos 3 Tröger, Thomas 3 Tsangarides, Charalambos G. 3 Šmíd, Martin 3 Aase, Knut K. 2 Ataullah, Ali 2 Azar, Samih Antoine 2 Bazargani, Hossein 2 Berg, Andrew 2 Bergerhoff, Jan 2 Bianchi, Michele Leonardo 2
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Institution
All
International Monetary Fund (IMF) 105 International Monetary Fund 9 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Dipartimento di Scienze Economiche e Metodi Quantitativi, Facoltà di Economia 2 East Asian Bureau of Economic Research (EABER) 2 Banca d'Italia 1 Centre for Development Studies (CDS) 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Department of Economics, Iowa State University 1 Department of Economics, National University of Singapore 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Institute for the Study of Labor (IZA) 1 National Bureau of Economic Research 1 Tilburg University, Center for Economic Research 1 University of Bonn, Germany 1 Universität zu Köln 1 Verlag Dr. Kovač 1 eSocialSciences 1
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Published in...
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IMF Working Papers 102 Annals of the Institute of Statistical Mathematics 6 MPRA Paper 5 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 5 CEMMAP working papers / Centre for Microdata Methods and Practice 4 Metrika 4 Bonn Econ Discussion Papers 3 IMF Staff Country Reports 3 IZA Discussion Papers 3 Journal of Applied Statistics 3 Journal of Risk Finance 3 Physica A: Statistical Mechanics and its Applications 3 Psychometrika 3 The Journal of Risk Finance 3 Bonn Econ Discussion Papers / BGSE 2 Computational Statistics 2 International Journal of Applied Management Science 2 International Journal of Fuzzy System Applications (IJFSA) 2 Journal of Industrial Engineering and Management (JIEM) 2 Journal of industrial engineering and management : JIEM 2 Ovidius University Annals, Economic Sciences Series 2 Renewable Energy 2 Statistics & Probability Letters 2 Stochastic Processes and their Applications 2 Stochastics and Quality Control 2 Studies in Business and Economics 2 Working Papers / Dipartimento di Scienze Economiche e Metodi Quantitativi, Facoltà di Economia 2 4OR : a quarterly journal of operations research 1 Acta Universitatis Upsaliensis / Studia Statistica Upsaliensia 1 Bulletin of applied economics 1 Bulletin of the Czech Econometric Society 1 CEIS Research Paper 1 CREATES research paper 1 Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies 1 Centre for Development Studies, Trivendrum Working Papers 1 Cogent Business & Management 1 Cogent Economics & Finance 1 Cogent business & management 1 Cogent economics & finance 1 Collegium of Economic Analysis working paper series 1
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Source
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RePEc 188 ECONIS (ZBW) 78 EconStor 12 Other ZBW resources 12 USB Cologne (EcoSocSci) 5 BASE 1
Showing 1 - 50 of 296
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A heuristic for fat-tailed stock market returns
Welch, Ivo - In: Financial analysts journal : FAJ 80 (2024) 4, pp. 18-26
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195218
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Long-horizon asset and portfolio returns revisited: Evidence from US markets
Hoang, Tri M. - In: Cogent Business & Management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014527473
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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014503297
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Black's model in a negative interest rate environment, with application to OTC derivatives
Bramante, Riccardo; Dallago, Gimmi; Facchinetti, Silvia - In: Computational management science 19 (2022) 1, pp. 25-39
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012817291
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An introduction to stochastic bin packing-based server consolidation with conflicts
Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - In: Top : an official journal of the Spanish Society of … 30 (2022) 2, pp. 296-331
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013274127
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21 Equations that Shaped the World Economy : Understanding the Theory Behind the Equations
Michaēlidēs, Panagiōtēs G. - 2024
1. Compound Interest Rate -- 2. The Normal Distribution -- 3. Ordinary Least Squares -- 4. Production Function and TFP -- 5. Profit Rate -- 6. General Equilibrium -- 7. Input Output Analysis -- 8. Break-Even Point -- 9. The Fisher Equation -- 10. Net Present Value -- 11. Income Accounting...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015189966
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Estimation of models for stock returns
Nadarajah, Saralees; Hitchen, Thomas - In: Computational economics 64 (2024) 6, pp. 3577-3616
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Fuzzy goal programming approach for solving stochastic transportation problem with additional budgetary constraints
Akilbasha, A.; Abd El-Wahed Khalifa, Hamiden; Juman, … - In: International journal of shipping and transport … 18 (2024) 1, pp. 30-45
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015070063
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European option, American option, and option bounds : theory, method, and some empirical results
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015047624
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An introduction to stochastic bin packing-based server consolidation with conflicts
Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - In: TOP 30 (2021) 2, pp. 296-331
The energy consumption of large-scale data centers or server clusters is expected to grow significantly in the next couple of years contributing to up to 13% of the worldwide energy demand in 2030. As the involved processing units require a disproportional amount of energy when they are idle,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014501961
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Transformational approach to analytical value-at-risk for near normal distributions
Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-19
In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611608
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Inference in a class of optimization problems : confidence regions and finite sample bounds on errors in coverage probabilities
Horowitz, Joel; Lee, Sokbae - 2021
This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012595666
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Asset pricing with heterogeneous agents and non-normal return distributions
Beddock, Arthur - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012617351
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Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange
Öcal, Hüseyin; Kamil, Anton Abdulbasah - In: Scientific papers of the University of Pardubice 29 (2021) 2, pp. 1-13
This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012517147
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Transformational approach to analytical value-at-risk for near normal distributions
Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19
In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012483525
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The ERPD matrix "scorecard": quantifying the macro-financial performance of the ASEAN+3 economies
Ong, Li Lian; Gabriella, Laura Grace - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012819678
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Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012316436
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The normal distribution formalization for investment economic project evaluation using the Monte Carlo method
Bilenko, Daria; Lavrov, Ruslan; Onyshchuk, Natalia; … - In: Montenegrin journal of economics 15 (2019) 4, pp. 161-171
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012264653
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Models where the least trimmed squares and least median of squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012101101
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Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012492559
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Estimation of geometric Brownian motion model with a t-distribution-based particle filter
Nkemnole, Bridget; Abass, Olaide - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-9
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012018946
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GLAMbox: A Python toolbox for investigating the association between gaze allocation and decision behaviour
Molter, Felix; Thomas, Armin W.; Heekeren, Hauke R.; … - In: PLoS ONE 14 (2019) 12, pp. 1-23
Recent empirical findings have indicated that gaze allocation plays a crucial role in simple decision behaviour. Many of these findings point towards an influence of gaze allocation onto the speed of evidence accumulation in an accumulation-to-bound decision process (resulting in generally...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012143532
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Teaching statistics : a dynamic excel approach
Mangiero, George A.; Qayyum, Arif; Cante, Charles J. - In: Journal of education for business 97 (2022) 7, pp. 439-444
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The role of fat-tailed distribution in the analysis of Black Swan events
Peng, Shaogeng - In: Proceedings of the 5th International Conference on …, (pp. 84-87). 2022
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La salida de los negocios en 47 países durante 2021
Pinkovetskaia, Iuliia - In: Revista de economía institucional 24 (2022) 47, pp. 161-177
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014331546
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Approximating the Normal Sample Median Distribution in Process Control
Leung, Char - In: Stochastics and Quality Control 36 (2021) 1, pp. 21-25
Abstract The present work aims to propose an approximation of the sample median distribution with a normal parent distribution. Although the mean is usually used as the central tendency measure for normal samples, the median has also been used in engineering, process control in particular. The...
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The risk-averse static stochastic knapsack problem
Merzifonluoglu, Yasemin; Geunes, Joseph - In: INFORMS journal on computing : JOC 33 (2021) 3, pp. 931-948
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012628776
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An optimal solution policy to an integrated manufacturer-retailers problem with normal distribution of lead times of delivering equal and unequal-sized batches
Hoque, M. A. - In: Opsearch : journal of the Operational Research Society … 58 (2021) 2, pp. 483-512
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012548947
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Risk-neutral skewness, informed trading, and the cross section of stock returns
Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1713-1737
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012618491
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Mathematical models and approximate solution approaches for the stochastic bin packing problem
Martinovic, John; Selch, M. - In: Computers & operations research : and their … 135 (2021), pp. 1-19
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Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties
Koloch, Grzegorz - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011662143
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Univariate and multivariate process capability indices - measures of process performance : a case study
Tyagi, Vivek; Kumar, Lalit - In: Strategic system assurance and business analytics, (pp. 381-392). 2020
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On the definition of risk
Lemos, Filipe - In: Journal of risk management in financial institutions 13 (2019/2020) 3, pp. 266-278
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012300957
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Cautionary note on the two-step transformation to normality
Rönkkö, Mikko; Aguirre-Urreta, Miguel I. - In: The journal of information systems : JIS ; a semiannual … 34 (2020) 1, pp. 151-166
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Can being behind get you ahead? Reference Dependence and Asymmetric Equilibria in an Unfair Tournament
Bergerhoff, Jan; Vosen, Agnes - 2015
Everyone remembers a plot where a disadvantaged individual facing the prospect of failure, spends more effort, turns around the game and wins unexpectedly. Most tournament theories, however, predict the opposite pattern and see the disadvantaged agent investing less effort. We show that ’turn...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011434944
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts “macroeconomic tail risks,” that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013030060
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013030251
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution is a good approximation to the nature of aggregate fluctuations, it severely underpredicts the frequency of large economic downturns. We then provide a model that can explain these facts simultaneously. Our model shows that the propagation of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013035361
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Beyond the local mean-variance analysis in continuous time : the problem of non-normality
Aase, Knut K.; Lillestøl, Jostein - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010515222
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Can being behind get you ahead? : reference dependence and asymmetric equilibria in an unfair tournament
Bergerhoff, Jan; Vosen, Agnes - 2015
Everyone remembers a plot where a disadvantaged individual facing the prospect of failure, spends more effort, turns around the game and wins unexpectedly. Most tournament theories, however, predict the opposite pattern and see the disadvantaged agent investing less effort. We show that 'turn...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011430528
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Non-normality in financial markets and the measurement of risk
Lau, Christian - 2015
ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011440567
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Microeconomic origins of macroeconomic tail risks
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011347414
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Beyond the Local Mean-Variance Analysis in Continuous Time : The Problem of Non-Normality
Aase, Knut K. - 2015
The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013027493
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012457801
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Cutting stock problems with nondeterministic item lengths : a new approach to server consolidation
Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - In: 4OR : a quarterly journal of operations research 17 (2019) 2, pp. 173-200
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012007904
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Models where the least trimmed squares and least median of squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012193987
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Identifying Black Swans in the Athens Stock Exchange
Asterios, Tsoukalas; Evaggelos, Drimpetas; George, … - In: Bulletin of applied economics 6 (2019) 1, pp. 111-122
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012020369
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011559141
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Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective
Bianchi, Michele Leonardo - Banca d'Italia - 2014
In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011099628
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РЕАЛИЗАЦИЯ МЕТОДОВ ИМИТАЦИОННОГО МОДЕЛИРОВАНИЯ РИСКОВ ИНВЕСТИЦИОННЫХ ПРОЕКТОВ СРЕДСТВАМИ MS EXCEL
АЛЕКСАНДРОВИЧ, ГЛОТОВ ЕВГЕНИЙ; … - In: Бизнес Информ (2014) 3, pp. 119-124
Инвестиционное проектирование рассматривает инвестиционный проект как объект финансовой операции, связанной с распределенными во времени финансовыми...
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