Search Results - subject:"Normal Distribution"

Models where the least trimmed squares and least median of squares estimators are maximum likelihood

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Persistent link: https://www.econbiz.de/10012193987

Contagion between US and Asian Stock Markets

Yoo, Sung-Jin; Chung, Sang-Kuck - In: Journal of international trade & commerce 15 (2019) 5, pp. 57-75

Persistent link: https://www.econbiz.de/10012546742

Evaluating the CDF of the distribution of the stochastic frontier composed error

Amsler, Christine Elaine; Schmidt, Peter; Tsay, Wen-jen - In: Journal of productivity analysis 52 (2019) 1/3, pp. 29-35

Persistent link: https://www.econbiz.de/10012305697

Identifying Black Swans in the Athens Stock Exchange

Asterios, Tsoukalas; Evaggelos, Drimpetas; George, … - In: Bulletin of applied economics 6 (2019) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10012020369

A regime switching skew-normal model of contagion

Chan, Joshua; Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012054868

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10011559141

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bianchi, Michele Leonardo - Banca d'Italia - 2014

In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it...

Persistent link: https://www.econbiz.de/10011099628

Computer Simulates the Effect of Internal Restriction on Residuals in Linear Regression Model with First-order Autoregressive Procedures

Lee, Mei-Yu - Volkswirtschaftliche Fakultät, … - 2014

distributions of errors and residuals. This explains how residuals increasingly tend to a normal distribution with increased linear … the error distribution to be more clearly shown on the residuals. We find that if the errors follow a normal distribution … of the error distribution and a normal distribution due to the interaction of linear requirements and sample size. Thus …

Persistent link: https://www.econbiz.de/10011109658

Fund Ratings: The method reconsidered

Corradin, Fausto; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014

This paper compares the performance of a quadratic utility function and discusses how to change its characteristic parameter, ARA, so that rating is consistent with return and risk measurements. In particular, this parameter is modified in such a way that a positive return Fund has always a...

Persistent link: https://www.econbiz.de/10011194198

Remaining Useful Life Prediction of Lithium-Ion Batteries Based on the Wiener Process with Measurement Error

Tang, Shengjin; Yu, Chuanqiang; Wang, Xue; Guo, Xiaosong; … - In: Energies 7 (2014) 2, pp. 520-547

measurement error (WPME). First, we use the truncated normal distribution (TND) based modeling approach for the estimated …

Persistent link: https://www.econbiz.de/10010735109