Search Results - subject:"Distribution Function"

Charpentier, A.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2006

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability conditions on the generators are needed.

Persistent link: https://www.econbiz.de/10011091110

Smoothed L-estimation of Regression Function

Cizek, Pavel; Tamine, J.; Härdle, W.K. - Tilburg University, Center for Economic Research - 2006

-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed … conditional distribution function.The asymptotic distribution of the proposed estimator is derived under mild ¯-mixing conditions …

Persistent link: https://www.econbiz.de/10011092440

Testing for stochastic monotonicity

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating Gaussian...

Persistent link: https://www.econbiz.de/10010745504

Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets

Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373

distribution and therefore affect the risk measure value, being calculated on the basis of yield probability distribution function … selected assets in financial market in Slovenia and to initiate implementation of a proper risk measure when yield distribution … function is not elliptic. …

Persistent link: https://www.econbiz.de/10005036506

Social Free Energy of a Pareto-Like Resource Distribution

Stepanic, Josip; Stefancic, Hrvoje; Zlatic, Vinko - In: Interdisciplinary Description of Complex Systems - … 4 (2006) 2, pp. 136-143

in the attributed thermodynamical quantities through changes in resource distribution function. It is argued that …

Persistent link: https://www.econbiz.de/10005082551

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Liu, Kexue; Salvati, Jean; Avesani, Renzo G.; … - International Monetary Fund (IMF) - 2006

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...

Persistent link: https://www.econbiz.de/10005604852

How Does the Global Economic Environment Influence the Demand for IMF Resources

Elekdag, Selim - International Monetary Fund (IMF) - 2006

The main objective of this paper is to quantify the relationship between the global economic environment and the number of Stand-By Arrangements (SBAs). The results suggest that oil prices, world interest rates, and the global business cycle are the most influential indicators that affect the...

Persistent link: https://www.econbiz.de/10005604884

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

TESTING FOR STOCHASTICMONOTONICITY

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2006

results that only apply to either one or the other case. Key words: Distribution function; Extreme Value Theory …;1 ; where for each n, zn;1 is the (1 ) quantile of the �distribution function�Fn(x) of the form Fn(x) = exp exp … distribution function. J. Amer. Statist. Assoc. 94, 154-163. [8] Hopenhayn, H.A. and E.C. Prescott (1992): �Stochastic Monotonicity …

Persistent link: https://www.econbiz.de/10005797506

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