Search Results - subject:"Normal Distribution"

From Stress to Costress; Stress Testing Interconnected Banking Systems

Maino, Rodolfo; Tintchev, Kalin - International Monetary Fund (IMF) - 2012

This paper presents an integrated framework for assessing systemic risk. The framework models banksâ€™ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...

Persistent link: https://www.econbiz.de/10009654147

The Usefulness of Mathematical Tools for Economic Analysis

Radu, Lupu - In: Ovidius University Annals, Economic Sciences Series XII (2012) 1, pp. 1517-1521

The current financial crisis generated a large debate for the degree to which the mathematical models are relevant for decision making in business and macroeconomic analysis. Instruments like Value-at-Risk, Copula functions and regressions were almost ”negotiated” in the non-specialized...

Persistent link: https://www.econbiz.de/10010631807

Statistical Analysis of Emerging Capital Markets

Ramona, Birãu Felicia - In: Ovidius University Annals, Economic Sciences Series XII (2012) 3, pp. 61-61

This article presents an exhaustive analysis of the normal distribution assumption in terms of emerging capital markets …

Persistent link: https://www.econbiz.de/10010711185

ECONOMETRIC APPROACH OF HETEROSKEDASTICITY ON FINANCIAL TIME SERIES IN A GENERAL FRAMEWORK

BIRAU, FELICIA RAMONA - In: Annals - Economy Series 4I (2012) December, pp. 74-77

The aim of this paper is to provide an overview of the diagnostic tests for detecting heteroskedasticity on financial time series. In financial econometrics, heteroskedasticity is generally associated with cross sectional data but can also be identified modeling time series data. The presence of...

Persistent link: https://www.econbiz.de/10010604692

MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET

Claudiu, OPREANA; Vasile, BRATIAN - In: Studies in Business and Economics 7 (2012) 3, pp. 113-128

This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by using modern econometric tools and useful GARCH models...

Persistent link: https://www.econbiz.de/10010606921

A Note on the Moments of the Skew-Normal Distribution

Haas, Markus - In: Economics Bulletin 32 (2012) 4, pp. 3306-3312

Azzalini's skew-normal distribution is an attractive tool for modeling the skewness observed in many economic and … financial variables. Formulas for the odd moments of the skew-normal distribution have been given by Henze (1986) and, more … odd moments of the skew-normal distribution. It exploits a striking similarity between the density and the moment …

Persistent link: https://www.econbiz.de/10011278847

Central limit theorems and multiplier bootstrap when p is much larger than n

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish condi- tions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the...

Persistent link: https://www.econbiz.de/10009692028

Gaussian approximation of suprema of empirical processes

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

We develop a new direct approach to approximating suprema of general empirical processes by a sequence of suprema of Gaussian processes, without taking the route of approximating empirical processes themselves in the sup-norm. We prove an abstract approximation theorem that is applicable to a...

Persistent link: https://www.econbiz.de/10009692046

Modeling maxima of longitudinal contralateral observations

Loperfido, Nicola - In: TEST: An Official Journal of the Spanish Society of … 17 (2008) 2, pp. 370-380

Persistent link: https://www.econbiz.de/10005613251

The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution

Hayter, A.; Lin, Y. - In: Computational Statistics 27 (2012) 3, pp. 459-471

In this paper it is shown how a general two-sided orthant probability for a quadrivariate normal distribution can be … evaluated by a one-dimensional numerical integral calculation. The quadrivariate normal distribution can have any covariance …

Persistent link: https://www.econbiz.de/10010847802