Search Results - subject:"Density function"

Daily data is bad for beta : opacity and frequency-dependent betas

Gilbert, Thomas; Hrdlicka, Christopher; Kalodimos, Jonathan - In: Review of asset pricing studies 4 (2014) 1, pp. 78-117

Persistent link: https://www.econbiz.de/10010399878

Symbolic ARMA Model Analysis

Webb, Keith; Leemis, Lawrence - In: Computational Economics 43 (2014) 3, pp. 313-330

measures of these models (e.g., the autocorrelation function or the spectral density function) are tedious to compute by hand …

Persistent link: https://www.econbiz.de/10010866882

Asymptotic approximation for the probability density function of an arbitrary sequence of random variables

Joutard, Cyrille - In: Statistics & Probability Letters 90 (2014) C, pp. 100-107

We establish a large deviation approximation for the density function of an arbitrary sequence of random variables. The …

Persistent link: https://www.econbiz.de/10010776523

The ordering importance measure of random variable and its estimation

Cui, Lijie; Lu, Zhenzhou; Wang, Pan; Wang, Weihu - In: Mathematics and Computers in Simulation (MATCOM) 105 (2014) C, pp. 132-143

sampling strategy of the conditional probability density function is provided by the Copula transformation, which could solve … efficiency and tremendous computational cost of the Monte Carlo method, the probability density function evolution method (PDEM … precision of the probability density function evolution method, even. …

Persistent link: https://www.econbiz.de/10010906727

Generalized moment-independent importance measures based on Minkowski distance

Zhai, Qingqing; Yang, Jun; Xie, Min; Zhao, Yu - In: European Journal of Operational Research 239 (2014) 2, pp. 449-455

importance measures, i.e. probability density function based MD importance measure, cumulative distribution function based MD …

Persistent link: https://www.econbiz.de/10011097713

Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of Financial Economics 114 (2014) 3, pp. 600-612

Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is...

Persistent link: https://www.econbiz.de/10011076291

Large eddy simulation-based analysis of entropy generation in a turbulent nonpremixed flame

Safari, Mehdi; Sheikhi, M. Reza H. - In: Energy 78 (2014) C, pp. 451-457

(subgrid scale) closure of these effects is provided by a methodology termed the En-FDF (entropy filtered density function …

Persistent link: https://www.econbiz.de/10011117594

Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...

Persistent link: https://www.econbiz.de/10005605275

Are More Competitive Banking Systems More Stable?

Cihák, Martin; Wolfe, Simon; Schaeck, Klaus - International Monetary Fund (IMF) - 2006

This paper provides the first empirical analysis of the cross-country relationship between a direct measure of competitive conduct of financial institutions and banking system fragility. Using the Panzar and Rosse H-Statistic as a measure for competition in 38 countries during 1980-2003, we...

Persistent link: https://www.econbiz.de/10005825680

Recent Dynamics of Crude Oil Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574