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  • Search: subject_exact:"Statistische Verteilung"
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Year of publication
Subject
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Statistische Verteilung 8,963 Statistical distribution 8,735 Theorie 4,597 Theory 4,469 Schätztheorie 1,919 Estimation theory 1,888 Risikomaß 1,158 Schätzung 1,158 Risk measure 1,150 Estimation 1,128 Prognoseverfahren 1,079 Forecasting model 1,065 Wahrscheinlichkeitsrechnung 1,064 Probability theory 1,058 Kapitaleinkommen 988 Capital income 984 Volatilität 937 Volatility 919 Stochastischer Prozess 868 Stochastic process 853 Risiko 848 Risk 842 Portfolio-Management 838 Portfolio selection 832 Zeitreihenanalyse 698 Time series analysis 683 ARCH-Modell 656 ARCH model 644 Optionspreistheorie 599 Nichtparametrisches Verfahren 589 Option pricing theory 588 Nonparametric statistics 570 Risikomanagement 549 Risk management 544 Multivariate distribution 506 Multivariate Verteilung 505 Regressionsanalyse 505 Regression analysis 501 Börsenkurs 490 Share price 484
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Online availability
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Free 3,849 Undetermined 2,107 CC license 210
Type of publication
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Article 4,761 Book / Working Paper 4,229
Type of publication (narrower categories)
All
Article in journal 4,390 Aufsatz in Zeitschrift 4,390 Working Paper 2,177 Graue Literatur 1,973 Non-commercial literature 1,973 Arbeitspapier 1,968 Aufsatz im Buch 262 Book section 262 Hochschulschrift 131 Thesis 103 Conference paper 47 Konferenzbeitrag 47 Collection of articles written by one author 25 Sammlung 25 Collection of articles of several authors 17 Sammelwerk 17 Lehrbuch 16 Textbook 14 Article 12 Forschungsbericht 9 Amtsdruckschrift 8 Government document 8 Handbook 8 Handbuch 8 Bibliografie enthalten 7 Bibliography included 7 Systematic review 7 Übersichtsarbeit 7 Konferenzschrift 5 Mikroform 5 Aufgabensammlung 4 Aufsatzsammlung 4 Case study 4 Fallstudie 4 Conference proceedings 3 Statistik 3 Bibliografie 2 Dissertation u.a. Prüfungsschriften 2 Mehrbändiges Werk 2 Multi-volume publication 2
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Language
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English 8,837 German 122 Spanish 6 Polish 5 Russian 5 Undetermined 5 French 3 Italian 3 Danish 2 Czech 1 Croatian 1
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Author
All
Dijk, Herman K. van 68 Fabozzi, Frank J. 52 Lucas, André 50 Härdle, Wolfgang 47 Ravazzolo, Francesco 47 Račev, Svetlozar T. 47 Hoogerheide, Lennart 36 Mitchell, James 36 Einmahl, John H. J. 35 Paolella, Marc S. 35 Casarin, Roberto 31 Landsman, Zinoviy 31 Linton, Oliver 31 Opschoor, Anne 31 Nadarajah, Saralees 30 Phillips, Peter C. B. 30 Koopman, Siem Jan 28 Kim, Young Shin 27 McAleer, Michael 27 Bottazzi, Giulio 24 Griffiths, William E. 24 Kotz, Samuel 24 Ardia, David 22 Bollerslev, Tim 22 Swanson, Norman R. 22 Corradi, Valentina 21 Fagiolo, Giorgio 21 Furman, Edward 21 Grassi, Stefano 21 Fischer, Matthias 20 Perote, Javier 20 Segers, Johan 20 Stoja, Evarist 20 Diebold, Francis X. 19 Hoogerheide, Lennart F. 19 Lux, Thomas 19 Vries, Casper G. de 19 Wu, Ximing 19 Aastveit, Knut Are 18 Dillenberger, David 18
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Institution
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National Bureau of Economic Research 48 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 22 Center for Economic Research <Tilburg> 7 London School of Economics and Political Science 7 Centre for Analytical Finance <Århus> 5 European University Institute / Department of Economics 5 Rutgers University / Department of Economics 4 Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management 4 University of California, San Diego / Department of Economics 4 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 3 Econometrisch Instituut <Rotterdam> 3 Federal Reserve Bank of Cleveland 3 Federal Reserve Bank of St. Louis 3 State University of New York at Albany / Department of Economics 3 University of California Davis / Department of Economics 3 University of Cambridge / Department of Applied Economics 3 University of Cambridge / Faculty of Economics 3 University of Canterbury / Dept. of Economics and Finance 3 University of York / Department of Economics and Related Studies 3 Boston College / Department of Economics 2 California Agricultural Experiment Station / Department of Agricultural and Resource Economics 2 Centre for Microdata Methods and Practice <London> 2 Chamber of Commerce of the United States of America 2 Deutsches Institut für Wirtschaftsforschung 2 European Central Bank 2 European Commission / Joint Research Centre 2 European Parliament 2 Federal Reserve Bank of Chicago 2 Federal Reserve Bank of New York 2 International Center for Financial Asset Management and Engineering 2 OECD 2 Robert Schuman Centre for Advanced Studies 2 Suntory-Toyota International Centre for Economics and Related Disciplines 2 Technische Universität Dresden 2 The Wharton Financial Institutions Center 2 Trinity College Dublin / Department of Economics 2 Umeå Universitet / Institutionen för Nationalekonomi 2 Universitat Pompeu Fabra / Departament d'Economia i Empresa 2 University of Exeter / Department of Economics 2 University of New England / Department of Econometrics 2
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Published in...
All
Insurance 225 Journal of econometrics 184 Discussion paper / Tinbergen Institute 130 Economics letters 97 Risks : open access journal 95 International journal of forecasting 94 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 92 International journal of theoretical and applied finance 70 Finance research letters 64 European journal of operational research : EJOR 62 Econometric reviews 60 Econometric theory 56 Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland 54 Applied economics 53 Journal of banking & finance 52 Journal of forecasting 51 Working paper 50 Applied economics letters 49 The journal of operational risk 49 Discussion paper / Center for Economic Research, Tilburg University 48 Quantitative finance 48 Economic modelling 43 Journal of applied econometrics 43 Scandinavian actuarial journal 43 Computational economics 42 Tinbergen Institute Discussion Paper 42 NBER working paper series 41 Working paper / National Bureau of Economic Research, Inc. 41 NBER Working Paper 40 Working papers 39 CEMMAP working papers / Centre for Microdata Methods and Practice 38 Journal of empirical finance 38 Statistical papers 37 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 36 Journal of the American Statistical Association : JASA 36 The European journal of finance 36 International review of financial analysis 35 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 34 The econometrics journal 32 Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 31
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Source
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ECONIS (ZBW) 8,747 EconStor 224 USB Cologne (EcoSocSci) 15 OLC EcoSci 4
Showing 1 - 50 of 8,990
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A flexible distribution family for testing MCMC implementations
Papp, Tamás K. - 2025
We propose a flexible, extensible family of distributions for testing Markov Chain Monte Carlo implementations. Distributions are created by nesting simple transformations, which allow various shapes, including multiple modes and fat tails. The resulting distributions can be sampled with high...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448132
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The a priori procedure (APP) for estimating median under skew normal settings with applications in economics and finance
Hu, Liqun; Wang, Tonghui; Trafimow, David; Choy, S. T. Boris - In: Asian journal of economics and banking : AJEB 9 (2025) 1, pp. 144-158
Purpose - The authors' conclusions are based on mathematical derivations that are supported by computer simulations and three worked examples in applications of economics and finance. Finally, the authors provide a link to a computer program so that researchers can perform the analyses easily....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357557
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Commodity risk and forecastability of international stock returns : the role of oil returns skewness
Salisu, Afees A.; Gupta, Rangan - In: Risks : open access journal 13 (2025) 3, pp. 1-20
This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 10 (8 advanced plus two emerging) countries...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358919
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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - In: The North American journal of economics and finance : a … 75 (2025) 2, pp. 1-12
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Fat-tailed DSGE models : a survey and new results
Dave, Chetan; Sorge, Marco M. - In: Journal of economic surveys 39 (2025) 1, pp. 146-171
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Subjective probability distributions of nonlinear payoffs : Recovering option payoff, agent’s utility, and pricing kernel distributions
Yamazaki, Akira - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372650
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Mutual fund style drift measured using higher moments and its cash flow incentive
Chen, Qi; Wang, Peng; Yang, Dong - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372664
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Uncertainty, skewness, and the business cycle through the MIDAS lens
Castelnuovo, Efrem; Mori, Lorenzo - In: Journal of applied econometrics 40 (2025) 1, pp. 89-107
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Spread regression, skewness regression, and kurtosis regression with an application to the US wage structure
Chen, Qiang; Xiao, Zhijie - In: Journal of applied econometrics 40 (2025) 3, pp. 325-340
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372768
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Belief shocks and implications of expectations about growth-at-risk
Boeck, Maximilian; Pfarrhofer, Michael - In: Journal of applied econometrics 40 (2025) 3, pp. 341-348
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A new two-component hybrid model for highly right-skewed data : estimation algorithm and application to finance and rainfall data
Osatohanmwen, Patrick - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372920
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Taming data-driven probability distributions
Baruník, Jozef; Hanus, Luboš - In: Journal of forecasting 44 (2025) 2, pp. 676-691
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Regime-switching density forecasts using economists' scenarios
Moramarco, Graziano - In: Journal of forecasting 44 (2025) 2, pp. 833-845
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Portfolio tail risk forecasting for international financial assets : a GARCH-MIDAS-R-Vine copula model
Yao, Yinhong; Chen, Xiuwen; Chen, Zhensong - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-14
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A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Liu, Junjie; Zhou, Qingnan; Chen, Zhenlong - In: The North American journal of economics and finance : a … 77 (2025), pp. 1-16
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Accounting for firms in ethnic wage gaps across the earnings distribution
Phan, Van; Singleton, Carl; Bryson, Alex; Forth, John; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423599
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Mean-variance portfolio optimization using jackknife empirical likelihood estimation of tail conditional variance
Nargunam, Rupel; Sudheesh, K. K. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437097
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A flexible distribution family for testing MCMC implementations
Papp, Tamás K. - 2025
We propose a flexible, extensible family of distributions for testing Markov Chain Monte Carlo implementations. Distributions are created by nesting simple transformations, which allow various shapes, including multiple modes and fat tails. The resulting distributions can be sampled with high...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437134
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Diversified reward-risk parity in portfolio construction
Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 2, pp. 213-233
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438088
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Asymmetry in distributions of accumulated gains and losses in stock returns
Farahani, Hamed; Serota, Rostislav A. - In: Economies : open access journal 13 (2025) 6, pp. 1-16
We studied decades-long (1980 to 2024) historic distributions of accumulated S&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets - Black Monday, Tech Bubble, Financial Crisis, and the COVID pandemic - which are...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015439166
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Asymmetric uncertainty : nowcasting using skewness in real-time data
Labonne, Paul - In: International journal of forecasting 41 (2025) 1, pp. 229-250
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Maximum likelihood estimation of normal-gamma and normal-Nakagami stochastic frontier models
Stead, Alexander D. - In: Journal of productivity analysis : an official journal … 63 (2025) 2, pp. 183-198
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Multivariate dynamic mixed-frequency density pooling for financial forecasting
Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: International journal of forecasting 41 (2025) 3, pp. 1184-1198
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441556
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ICS for complex data with application to outlier detection for density data objects
Mondon, Camille; Huong Thi Trinh; Ruiz-Gazen, Anne; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405578
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Density forecast transformations
Mogliani, Matteo; Odendahl, Florens - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406882
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Improving score-driven density forecasts with an application to implied volatility surface dynamics
Zou, Xia; Lin, Yicong; Lucas, André - 2025
Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408437
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New bounds for tail risk measures
Carnero, M. Angeles; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 75 (2025), pp. 1-8
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408528
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GAS or GARCH : a comparison of density and VaR forecasts in Turkish FX and stock markets
Özgül, Ali - In: Istanbul business research 54 (2025) 1, pp. 58-86
This paper compares the renowned GARCH model with a novel one, the Generalized Autoregressive Score (GAS) model in terms of forecasting performance. Considering the gap in the literature, this study focuses on the Turkish stock and FX markets. The analysis covers 25 years (1999-2023), of which...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411633
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The risk of clustering of deprivations in Spain : a tale of two crises
García-Gómez, César; Pérez, Ana - In: Applied economic analysis : AEA 33 (2025) 97, pp. 53-75
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411670
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Kernel density machines
Filipović, Damir; Schneider, Paul - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413296
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Deep learning of transition probability densities for stochastic asset models with applications in option pricing
Su, Haozhe; Tretyakov, M. V.; Newton, David P. - In: Management science : journal of the Institute for … 71 (2025) 4, pp. 2922-2952
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413694
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Bayesian bi-level sparse group regressions for macroeconomic density forecasting
Mogliani, Matteo; Simoni, Anna - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455139
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Clustering extreme value indices in large panels
Wang, Chenhui; Cai, Juan Juan; Lin, Yicong; Schaumburg, … - 2025
We analyze a large panel of units grouped by shared extreme value indices (EVIs) and aim to identify these unknown groups. To achieve this, we order the Hill estimates of individual EVIs and segment them by minimizing the total squared distance between each estimate and its corresponding group...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394374
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Inference of dynamic weighted cumulative residual entropy for Burr XII distribution based on progressive censoring
Hassan, Amal S.; Elsherpieny, E. A.; Aghel, Wesal E. - In: Statistics in transition : an international journal of … 26 (2025) 2, pp. 57-84
The dynamic weighted cumulative residual (DWCR) entropy is regarded as an additional measure of uncertainty related to the residual lifetime function in several disciplines, including survival analysis and reliability. This article presents the DWCR formula based on Havarda and Charvat. This...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447266
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Order statistics as finite mixtures
Espín-Sánchez, José-Antonio; Hodgson, Charles; … - 2025
We propose a new way to obtain identification results using order statistics as finite mixtures with two key properties: i) the weights are known integer numbers; and ii) the elements of the mixture are the distributions of the maximum over a subset of the original random variables. We leverage...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448081
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Bivariate distribution regression : theory, estimation and an application to intergenerational mobility
Chernozhukov, Victor; Fernández-Val, Iván; Meier, Jonas; … - 2025
We employ distribution regression to estimate the joint distribution of two outcome variables conditional on covariates. Bivariate Distribution Regression (BDR) is particularly valuable when some dependence between the outcomes persists after accounting for the impact of the covariates. Our...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448534
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Smile-consistent spread skew
Pirjol, Dan - In: Risks : open access journal 13 (2025) 8, pp. 1-20
We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black-Scholes (BS) assets. We give an analytical result for the at-the-money (ATM) skew of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448976
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Conditional expectations given the sum of independent random variables with regularly varying densities
Denuit, Michel; Ortega-Jiménez, Patricia; Robert, … - In: ASTIN bulletin : the journal of the International … 55 (2025) 2, pp. 449-485
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450049
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Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025
We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324099
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Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach
Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324226
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Assessing the statistical significance of inequality differences : the problem of heavy tails
Hérault, Nicolas; Jenkins, Stephen - 2025
Because finite sample inference for inequality indices based on asymptotic methods or the standard bootstrap does not perform well, Davidson and Flachaire (Journal of Econometrics, 2007) and Cowell and Flachaire (Journal of Econometrics, 2007) proposed inference based on semiparametric methods...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015415322
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Conditional fat tails and scale dynamics for intraday discrete price changes
Schoemaker, Daan; Lucas, André; Opschoor, Anne - 2025
We investigate the conditional tail behaviour of asset price changes at high (10-second) frequencies using a new dynamic model for integer-valued tickdata. The model has fat tails, scale dynamics, and allows for possible over- or under-representation of zero price changes. The model can be...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419899
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Quantum measurement trees, II : quantum observables as ortho-measurable functions and density matrices as ortho-probability measures
Hammond, Peter J. - 2025 - This version: 2025 April 7th
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399633
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On survival estimation of Lomax distribution under adaptive progressive type-II censoring
Sharma, Hemani; Kumar, Parmil - In: Statistics in transition : an international journal of … 26 (2025) 1, pp. 51-67
The main objective of the research described in the article is to study the maximum likelihood (ML) estimation and the Bayesian approach for parameter estimation of the Lomax distribution. Additionally, the study aims to determine the approximate intervals for the parameters and the survival...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338333
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Type I heavy-tailed family of generalized Burr III distributions : properties, actuarial measures, regression and applications
Nkomo, Wilbert; Oluyede, Broderick; Chipepa, Fastel - In: Statistics in transition : an international journal of … 26 (2025) 1, pp. 93-115
This study introduces a new family of distributions (FoD) called type I heavy-tailed odd Burr III-G (TI-HT-OBIII-G) distribution. Several statistical properties of the family are derived along with actuarial risk measures. The maximum likelihood estimation (MLE) approach is adopted in the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338381
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Power laws in socio-economics
Schulz-Gebhard, Jan; Weber, Jan David - 2025
Power laws are pervasive in economics and social sciences, particularly in the upper tails of distributions such as wealth, income, firm size, and city populations. Their scale-free property makes them a universal framework to understand phenomena spanning several orders of magnitude. This...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333277
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Measuring productivity dispersion : a parametric approach using the Lévy alpha-stable distribution
Yang, Jangho; Heinrich, Torsten; Winkler, Julian; … - In: Industrial and corporate change 34 (2025) 1, pp. 79-117
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333531
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Hidden semi-Markov models for rainfall-related insurance claims
Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - In: Insurance : mathematics and economics 120 (2025), pp. 91-106
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015431890
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Forecasting age distribution of deaths : cumulative distribution function transformation
Shang, Han Lin; Haberman, Steven - In: Insurance : mathematics and economics 122 (2025), pp. 249-261
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432087
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Uncertain standard quadratic optimization under distributional assumptions : a chance-constrained epigraphic approach
Bomze, Immanuel M.; Vicente, Daniel de - In: Operations research letters : a journal of INFORMS … 62 (2025), pp. 1-6
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432298
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