Search Results - subject:"Normal Distribution"

Ipo Behavior in Gcc Countries; Goody-Two Shoes or Bad-To-The-Bone?

International Monetary Fund (IMF); International … - 2007

This paper documents the phenomenon of underpricing initial public offerings (IPOs) for 47 firms that went public between 2001 and 2006 in the equity markets of the six Gulf Cooperation Council (GCC) countries. The average initial abnormal returns of 290 percent exceed those found in the...

Persistent link: https://www.econbiz.de/10005604962

Crop Yield Skewness under the Law of Minimum Technology

Hennessy, David A. - Center for Agricultural and Rural Development (CARD), … - 2007

. Keywords: beta-normal distribution, crop insurance, extreme value theory, Liebig technology, limiting factors, order statistics …    where ( )is the density of the normalized distribution. This is an instance of the Beta-Normal distribution as discussed …-order statistic of independent draws from a common normal distribution. The literature on order statistics for i.i.d. normal random …

Persistent link: https://www.econbiz.de/10005786279

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

Persistent link: https://www.econbiz.de/10005825598

Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections

Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007

This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...

Persistent link: https://www.econbiz.de/10005825617

Can Miracles Lead to Crises? the Role of Optimism in Emerging Markets Crises

Boz, Emine - International Monetary Fund (IMF) - 2007

Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself...

Persistent link: https://www.econbiz.de/10005826240

Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting

Jobst, Andreas - International Monetary Fund (IMF) - 2007

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Persistent link: https://www.econbiz.de/10005826656

What can probability forecasts tell us about inflation risks?

García, Juan Angel; Manzanares, Andrés - European Central Bank - 2007

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our...

Persistent link: https://www.econbiz.de/10005227541

Structural vector autoregressions with nonnormal residuals

Lanne, Markku; Lütkepohl, Helmut - 2006

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...

Persistent link: https://www.econbiz.de/10010261406

Assessing the Effects of using Demand Parameters Estimates in Inventory Control

Brekelmans, Ruud; Janssen, E.; Strijbosch, L.W.G. - Tilburg University, Center for Economic Research - 2006

Inventory models need some specification of the distribution of demand in order to find the optimal order-up-to level or reorder point.This distribution is unknown in real life and there are several solutions to overcome this problem.One approach is to assume a distribution, estimate its...

Persistent link: https://www.econbiz.de/10011091414

Structural Vector Autoregressions with Nonnormal Residuals

Lanne, Markku; Luetkepohl, Helmut - CESifo - 2006

Persistent link: https://www.econbiz.de/10005766131