In this paper, a new member of the Poisson family of distributions called the Poison-Exponential-Gamma (PEG) distribution for modeling count data is proposed by compounding the Poisson with Exponential-Gamma distributions. The first four moments about the origin and mean of the new PEG...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...

Benford’s law has been examined as a useful tool for detecting potential accounting fraud. In this article, I provide an introduction to Benford’s law and examine how the first-digit, second-digit, and first-two digits tests in Benford’s law can be employed to detect potential accounting...

We propose a general framework for Maximum Likelihood (ML) and Bayesian estimation of income distributions based on grouped data information. The asymptotic properties of the ML estimators are derived and Bayesian parameter estimates are obtained by Monte-Carlo-Markov-Chain (MCMC) techniques. A...

A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010--2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Generalized Pareto Distribution (GPD) for modeling...