Search Results - subject:"Exponential Power"

Tail Return Analysis of Bear Stearns Credit Default Swaps

Li, Liuling; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2010

We compare several models for Bear Stearns' credit default swap spreads estimated via a Markov chain Monte Carlo algorithm. The Bayes Factor selects a CKLS model with GARCH-EPD errors as the best model. This model captures the volatility clustering and extreme tail returns of the swaps during...

Persistent link: https://www.econbiz.de/10008604810

Fagiolo, Giorgio; Napoletano, Mauro; Piazza, Marco; … - 2009

. We show that the resulting distributions can be approximated by symmetric Exponential-Power densities, with tails fatter …

Persistent link: https://www.econbiz.de/10010328609

Fagiolo, Giorgio; Napoletano, Mauro; Piazza, Marco; … - Laboratory of Economics and Management (LEM), Scuola … - 2009

. We show that the resulting distributions can be approximated by symmetric Exponential-Power densities, with tails fatter …

Persistent link: https://www.econbiz.de/10008518416

Fagiolo, Giorgio; Napoletano, Mauro; Piazza, Marco; … - In: Economics Bulletin 29 (2009) 4, pp. 3155-3161

. We show that the resulting distributions can be approximated by symmetric Exponential-Power densities, with tails fatter …

Persistent link: https://www.econbiz.de/10008563097

Capital market based warning indicators of bank runs

Vakhtina, Elena; Wosnitza, Jan Henrik - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 304-320

In this investigation, we examine the univariate as well as the multivariate capabilities of the log-periodic [super-exponential …] power law (LPPL) for the prediction of bank runs. The research is built upon daily CDS spreads of 40 international banks for …

Persistent link: https://www.econbiz.de/10011077857

A matching prior for the shape parameter of the exponential power distribution

Wang, Min; Lu, Tao - In: Statistics & Probability Letters 97 (2015) C, pp. 150-154

We derive a class of matching priors for the shape parameter of the exponential power distribution, which controls the …

Persistent link: https://www.econbiz.de/10011189331

Fat-tail distributions and business-cycle models

Ascari, Guido; Fagiolo, Giorgio; Roventini, Andrea - In: Macroeconomic dynamics 19 (2015) 2, pp. 465-476

Persistent link: https://www.econbiz.de/10011308636

Financial density selection

Marin, J. Miguel; Sucarrat, Genaro - In: The European journal of finance 21 (2015) 13/15, pp. 1195-1213

Persistent link: https://www.econbiz.de/10011419831

Maximum likelihood estimation of the symmetric and asymmetric exponential power distribution

Bottazzi, Giulio; Secchi, Angelo - 2008

We introduce a new 5-parameter family of distributions, the Asymmetric Exponential Power (AEP), able to cope with …

Persistent link: https://www.econbiz.de/10010328554

Regional resilience and fat tails: A stochastic analysis of firm growth rate distributions of German regions

Duschl, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2014

evolutionary dimension of regional resilience. Therefore, the flexible Asymmetric Exponential Power (AEP) density is fitted to firm …

Persistent link: https://www.econbiz.de/10011141153