Search Results - subject:"Fat-Tailed Distribution"

The degradation of goals over time : how ambiguity and managerial cognition shape distributions of project time and cost with evidence from actual and simulated projects

McLain, David L.; Wu, Jinpei - In: Time and Fractals : Perspectives in Economics, …, (pp. 79-100). 2023

Persistent link: https://www.econbiz.de/10014430650

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

Persistent link: https://www.econbiz.de/10013348523

A simulation study on the distributions of disturbances in the GARCH model

Feng, Lingbing; Shi, Yanlin - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-19

Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series. The original specification of GARCH model is developed based on Normal distribution for the disturbances, which cannot accommodate fat-tailed...

Persistent link: https://www.econbiz.de/10011988776

A simulation study on the distributions of disturbances in the GARCH model

Feng, Lingbing; Shi, Yanlin - In: Cogent economics & finance 5 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011882518

Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence

Feng, Lingbing; Shi, Yanlin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10012198500

Markov Regime-Switching in-mean model with tempered stable distribution

Shi, Yanlin; Feng, Lingbing; Fu, Tong - In: Computational economics 55 (2020) 4, pp. 1275-1299

Persistent link: https://www.econbiz.de/10012223722

From the St. Petersburg paradox to the dismal theorem

Cato, Susumu - In: Environment and development economics 25 (2020) 5, pp. 423-432

Persistent link: https://www.econbiz.de/10012307251

The generalized johnson quantile-parameterized distribution system

Hadlock, Christopher C.; Bickel, J. Eric - In: Decision analysis : a journal of the Institute for … 16 (2019) 1, pp. 67-85

Persistent link: https://www.econbiz.de/10012016614

Overnight Index Rate: Model, calibration and simulation

Yashkir, Olga; Yashkir, Yuri - In: Cogent Economics & Finance 2 (2014) 1, pp. 2-11

In this study, the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. The...

Persistent link: https://www.econbiz.de/10011559125

Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution

Isogai, Takashi - Bank of Japan - 2014

This paper analyzes Value at Risk (VaR) and Expected Shortfall (ES) calculation methods in terms of bias and dispersion against benchmarks computed from a fat-tailed parametric distribution. The daily log returns of the Nikkei-225 stock index are modeled by a truncated stable distribution. The...

Persistent link: https://www.econbiz.de/10010894562