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

An empirical comparison of transformed diffusion models for VIX and VIX futures

Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Journal of international financial markets, … 46 (2017), pp. 116-127

Persistent link: https://www.econbiz.de/10011745478

Lower confidence bounds for system reliability from binary failure data using bootstrapping

Leemis, Lawrence M. - In: Computational probability applications, (pp. 217-237). 2017

Persistent link: https://www.econbiz.de/10011595103

The conditional density estimate as a method of empiric analysis and forecast of economic phenomena in the framework of probability modeling

Tanku, Altin; Ceca, Kliti - 2017

Persistent link: https://www.econbiz.de/10011814864

Tales from the unit interval : backtesting, forecasting and modeling

Nielsen, Thor Pajhede - 2017

Persistent link: https://www.econbiz.de/10011654061

Comparisons of smallest order statistics from Pareto distributions with different scale and shape parameters

Nadarajah, Saralees; Jiang, Xiao; Chu, Jeffrey - 2017

Persistent link: https://www.econbiz.de/10011711741

Two-warehouse inventory model for non-instantaneous deteriorating items with stock-dependent demand and inflation using particle swarm optimization

Tiwari, Sunil; Jaggi, Chandra K.; Bhunia, Asoke Kumar; … - 2017

Persistent link: https://www.econbiz.de/10011711770

An empirical study of interaction-based aggregate investment fluctuations

Guiso, Luigi; Lai, Chaoqun; Nirei, Makoto - In: The Japanese economic review : the journal of the … 68 (2017) 2, pp. 137-157

Persistent link: https://www.econbiz.de/10011959179

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Quantile Forecasts of Financial Returns Using Realized GARCH Models

Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

comparison. Main results for the S&P 500 stock index are: (1) the realized GARCH model with the skewed student's t-distribution …

Persistent link: https://www.econbiz.de/10009209768

Is the Pareto-Lévy law a good representation of income distributions?

Dagsvik, John K.; Jia, Zhiyang; Vatne, Bjørn Helge; … - 2011

Mandelbrot (1960) proposed using the so-called Pareto-Lévy class of distributions as a framework for representing income distributions. We argue in this paper that the Pareto-Lévy distribution is an interesting candidate for representing income distribution because its parameters are easy to...

Persistent link: https://www.econbiz.de/10009407916