Search Results - subject:"Mixture of Distributions"

The Use of Finite Mixtures of Lognormal Distribution for the Modelling of Income Distributions

Malá, Ivana - In: Acta Oeconomica Pragensia 2012 (2012) 4, pp. 26-39

In the text finite mixtures of lognormal distributions are used for the modelling of net annual per capita income of the Czech households in Czech crowns in 2004?2008. All the households are divided into subgroups with observed group membership according to the attained education of the head of...

Persistent link: https://www.econbiz.de/10011195148

The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market

Kumar, Brajesh; Singh, Priyanka; Pandey, Ajay - eSocialSciences - 2010

using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF) are examined. Mixture of … Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

Persistent link: https://www.econbiz.de/10008543098

Securities trading in multiple markets: the Chinese perspective

Wang, Chaoyan - 2009

two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive … Arrival Hypothesis but not for the Mixture of Distributions Hypothesis. …

Persistent link: https://www.econbiz.de/10009465988

Examining the relationship between stock return volatility and trading volume : new evidence from an emerging economy

Bose, Shekar; Rahman, Hafizur - In: Applied economics 47 (2015) 16/18, pp. 1899-1908

Persistent link: https://www.econbiz.de/10010511945

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Vícerozměrný pravděpodobnostní model rozdělení příjmů Českých domácností

Malá, Ivana - In: Politická ekonomie : teorie, modelování, aplikace 63 (2015) 7, pp. 895-908

Persistent link: https://www.econbiz.de/10011420097

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; … - 2008

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...

Persistent link: https://www.econbiz.de/10010290422

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; … - Economics Department, Queen's University - 2008

Persistent link: https://www.econbiz.de/10005688350

Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing

Vitiello, Luiz; Poon, Ser-Huang - In: Review of Derivatives Research 17 (2014) 2, pp. 241-259

. An important implication of our results is that the mixture of distributions is consistent with a “what appears to be …

Persistent link: https://www.econbiz.de/10010989554

Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing

Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10010529622