Search Results - subject:"Random variables"

On the Product and Ratio of Gamma and Beta Random Variables

Nadarajah, Saralees; Samuel Kotz* - In: AStA Advances in Statistical Analysis 89 (2005) 4, pp. 435-449

Persistent link: https://www.econbiz.de/10005598059

Linear Combinations, Products and Ratios of t Random Variables

Nadarajah, Saralees; Kotz, Samuel - In: AStA Advances in Statistical Analysis 89 (2005) 3, pp. 263-280

Persistent link: https://www.econbiz.de/10005598102

Risk-Neutral Monopolists are Variance-Averse

Kirstein, Roland - Fakultät für Wirtschaftswissenschaft, … - 2009

If the production of a risk-neutral monopolist is in uenced by a random variable, then the expected prot is decreasing in the variance of the production process.

Persistent link: https://www.econbiz.de/10004992438

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Mirestean, Alin; Tsangarides, Charalambos G.; Chen, Huigang - International Monetary Fund (IMF) - 2009

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information...

Persistent link: https://www.econbiz.de/10004999975

Benfordâ€™s Law and Macroeconomic Data Quality

Gonzalez-Garcia, Jesus; Pastor, Gonzalo C. - International Monetary Fund (IMF) - 2009

This paper examines the usefulness of testing the conformity of macroeconomic data with Benford's law as indicator of data quality. Most of the macroeconomic data series tested conform with Benford's law. However, questions emerge on the reliability of such tests as indicators of data quality...

Persistent link: https://www.econbiz.de/10005769268

Banking Stability Measures

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2009

This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii)...

Persistent link: https://www.econbiz.de/10005826223

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 62-69

Given a portfolio of risks, we study the marginal behavior of the ith risk under an adverse event, such as an unusually large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss for another risk. By considering some particular...

Persistent link: https://www.econbiz.de/10011263848

Logarithmic Lambert W×F random variables for the family of chi-squared distributions and their applications

Witkovský, Viktor; Wimmer, Gejza; Duby, Tomy - In: Statistics & Probability Letters 96 (2015) C, pp. 223-231

We introduce a class of logarithmic Lambert W random variables for a specific family of distributions. In particular …, we characterize the log-Lambert W random variables for chi-squared distributions which naturally appear in the likelihood … based inference of normal random variables. …

Persistent link: https://www.econbiz.de/10011115937

Extreme negative dependence and risk aggregation

Wang, Bin; Wang, Ruodu - In: Journal of Multivariate Analysis 136 (2015) C, pp. 12-25

We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common … random variables goes to infinity. We show that an END sequence always exists for any given marginal distributions with a … distributed but dependent random variables is controlled by a random variable that depends only on the marginal distribution of …

Persistent link: https://www.econbiz.de/10011208475