Search Results - subject:"Student's t Distribution"

On the modeling of size distributions when technologies are complex

Growiec, Jakub - In: Journal of mathematical economics 60 (2015), pp. 1-8

Persistent link: https://www.econbiz.de/10011573514

Ardia, D.; Hoogerheide, L.F.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2008

Student-t distributions is easy to sample from. Third, the Student-t distribution has fatter tails than the Normal …: computation of the mode and scale matrix of the first component, and draw- ing a sample from this Student-t distribution; (1 …

Persistent link: https://www.econbiz.de/10004972203

The AdMit Package

van Dijk, Herman K.; David, David, D.; Hoogerheide, … - Faculteit der Economische Wetenschappen, Erasmus … - 2008

This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and it provides an efficient sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids...

Persistent link: https://www.econbiz.de/10010731738

A two-regime threshold model with conditional skewed Student t distributions for stock returns

Massacci, Daniele - In: Economic Modelling 43 (2014) C, pp. 9-20

follow a distinct skewed Student t distribution within each regime: the model allows capturing time variation in the …

Persistent link: https://www.econbiz.de/10010939691

Multivariate measurement error models using finite mixtures of skew-Student t distributions

Cabral, Celso Rômulo Barbosa; Lachos, Víctor Hugo; … - In: Journal of Multivariate Analysis 124 (2014) C, pp. 179-198

mixture of a skewed version of the Student t distribution. This approach allows us to model data with great flexibility …

Persistent link: https://www.econbiz.de/10011041905

Daily data is bad for beta : opacity and frequency-dependent betas

Gilbert, Thomas; Hrdlicka, Christopher; Kalodimos, Jonathan - In: Review of asset pricing studies 4 (2014) 1, pp. 78-117

Persistent link: https://www.econbiz.de/10010399878

DSGE models with student-t errors

Chib, Siddhartha; Ramamurthy, Srikanth - In: Econometric reviews 33 (2014) 1/4, pp. 152-171

Persistent link: https://www.econbiz.de/10010358321

A two-regime threshold model with conditional skewed Student t distributions for stock returns

Massacci, Daniele - In: Economic modelling 43 (2014), pp. 9-20

Persistent link: https://www.econbiz.de/10010500997

Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2007

-returns of a variety of diversified world stock indices in different currency denominations. This identifies the Student-t … distribution with about four degrees of freedom as the typical estimated log-return distribution of such indices. Owing to the …

Persistent link: https://www.econbiz.de/10004984480

The Impact of News on Higher Moments

Jondeau, Eric; Rockinger, Michael - 2006

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

Persistent link: https://www.econbiz.de/10005162946