Search Results - subject:"Normal Distribution"

The behaviour of stock returns under price limits, a truncated time series approach

Errais, Eymen; Albacha, Jawhar - In: American journal of finance and accounting 6 (2021) 3/4, pp. 223-251

Persistent link: https://www.econbiz.de/10012610836

Risk-neutral skewness, informed trading, and the cross section of stock returns

Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1713-1737

Persistent link: https://www.econbiz.de/10012618491

A panel frontier system model with good and bad outputs and endogenous treatment decision

Lai, Hung-pin; Kumbhakar, Subal - In: Economics letters 198 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012605731

Orthant-based variance decomposition in investment portfolios

Giner, Javier - In: European journal of operational research : EJOR 291 (2021) 2, pp. 497-511

Persistent link: https://www.econbiz.de/10012495336

Mathematical models and approximate solution approaches for the stochastic bin packing problem

Martinovic, John; Selch, M. - In: Computers & operations research : and their … 135 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012649702

Taking into account the rate of convergence in CLT under Risk evaluation on financial markets

Kazaryan, Levon; Kantorovich, Gregory - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-11

tails puzzle' using innovative method of Yuri Gabovich based on the rate of convergence in CLT to the normal distribution …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …

Persistent link: https://www.econbiz.de/10011988733

(Generalized) maximum cumulative direct, paired, and residual Φ entropy principle

Klein, Ingo - 2017

Jaynes (1957a,b) formulates the maximum entropy (ME) principle as the search for a distribution maximizing a given entropy under some given constraints. Kapur (1984) and Kesavan & Kapur (1989) introduce the generalized maximum entropy principle as the derivation of an entropy for which a given...

Persistent link: https://www.econbiz.de/10011764079

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

Bodnar, Taras; Mazur, Stepan; Parolya, Nestor - 2017

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...

Persistent link: https://www.econbiz.de/10012654423

On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions

Bodnar, Taras; Mazur, Stepan; Muhinyuza, Stanislas; … - 2017

In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, in using which the characteristic function of the product and its asymptotic distribution under the double...

Persistent link: https://www.econbiz.de/10012654425

Taking into account the rate of convergence in CLT under Risk evaluation on financial markets

Kazaryan, Levon; Kantorovich, Gregory - In: Cogent economics & finance 5 (2017) 1, pp. 1-11

tails puzzle” using innovative method of Yuri Gabovich based on the rate of convergence in CLT to the normal distribution …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …

Persistent link: https://www.econbiz.de/10011877599