Search Results - subject:"Log-Normal Distributions"

Gain-probability diagrams in consumer research

Trafimow, David; Hyman, Michael R.; Kostyk, Alena; … - In: International journal of market research 64 (2022) 4, pp. 470-483

Persistent link: https://www.econbiz.de/10013258007

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...

Persistent link: https://www.econbiz.de/10010281587

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008492664

Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods

Bedoui, Rihab; Hamdi, Haykel - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2010

This paper compares the goodness-of-fit of eight option-based approaches used to extract risk-neutral probability density functions from a high-frequency CAC 40 index options during a normal and troubled period. Our findings show that the kernel estimator generates a strong volatility smile with...

Persistent link: https://www.econbiz.de/10008568464

The distribution of households consumption-expenditure budget shares

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - European Central Bank - 2009

, Budget Shares, Sum of Log-Normal Distributions. JEL Classification D3, D12, C12. 5 ECB Working Paper Series No 1061 June … distributions —for any given wave and commodity category— are well-proxied by log-normal distributions (with very diﬀerent … can be shown to depend on the chosen approximation for the random variable defined as the sum of (possibly correlated) log-normal …

Persistent link: https://www.econbiz.de/10005866522

The distribution of households consumption-expenditure budget shares

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - European Central Bank - 2009

This paper explores the statistical properties of house-hold consumption-expenditure budget share distributions —defined as the share of household total expenditure spent for purchasing a specific category of commodities— for a large sample of Italian households in the period 1989-2004. We...

Persistent link: https://www.econbiz.de/10005002782

The distribution of households consumption-expenditure budget shares

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - 2009

Persistent link: https://www.econbiz.de/10011605107

The distribution of consumption-expenditure budget shares: Evidence from Italian households

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - 2008

This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) defined as the share of household total expenditure spent for purchasing a specific category of commodities for a large sample of Italian households in the period 1989-2004. We...

Persistent link: https://www.econbiz.de/10010267152

The distribution of consumption-expenditure budget shares: Evidence from Italian households

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - 2008

This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) - defined as the share of household total expenditure spent for purchasing a specific category of commodities - for a large sample of Italian households in the period...

Persistent link: https://www.econbiz.de/10010328404

The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households

Barigozzi, Matteo; Alessi, Lucia; Capasso, Marco; … - Laboratory of Economics and Management (LEM), Scuola … - 2008

This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) ---defined as the share of household total expenditure spent for purchasing a specific category of commodities--- for a large sample of Italian households in the period...

Persistent link: https://www.econbiz.de/10005518696