Search Results - subject:"empirical Distribution"

On fitting the Pareto–Levy distribution to stock market index data: Selecting a suitable cutoff value

Coronel-Brizio, H.F.; Hernández-Montoya, A.R. - In: Physica A: Statistical Mechanics and its Applications 354 (2005) C, pp. 437-449

The so-called Pareto–Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of stock markets indexes worldwide. The selection of the threshold parameter from empirical data and consequently, the determination of the...

Persistent link: https://www.econbiz.de/10011060192

Determinants of stock market volatility and risk premia

Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio - In: Annals of Finance 1 (2005) 2, pp. 109-147

We show the dynamics of diverse beliefs is the primary propagation mechanism of volatility in asset markets. Hence, we treat the characteristics of the market beliefs as a primary, primitive, explanation of market volatility. We study an economy with stock and riskless bond markets and formulate...

Persistent link: https://www.econbiz.de/10005808854

SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES

Xiao, Zhijie; Bera, Anil K.; Ghosh, Aurobindo - Econometric Society - 2004

that a modified version of Neyman Smooth test that can also be derived as a score test based on the empirical distribution …

Persistent link: https://www.econbiz.de/10005702690

The distribution of the discrepancy of scrambled digital (t,m,s)-nets

Hong, Hee Sun; Hickernell, Fred J.; Wei, Gang - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 3, pp. 335-345

the central limit theorem. Furthermore this article discusses the variance and the empirical distribution of the square … property. Recently a central limit theorem has been proved for scrambled net quadrature. This article compares the empirical … distribution of the square discrepancy of scrambled digital (t,m,s)-nets with the theoretical asymptotic distribution suggested by …

Persistent link: https://www.econbiz.de/10010750101

Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

distribution of historical time series with the empirical distribution of simulated time series. The tool draws on recent advances …

Persistent link: https://www.econbiz.de/10005800367

A test for uniformity based on informational energy

Pardo, M. - In: Statistical Papers 44 (2003) 4, pp. 521-534

Persistent link: https://www.econbiz.de/10008533829

Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios

Graflund, Andreas - Nationalekonomiska Institutionen, Ekonomihögskolan - 2001

This paper introduces a new non-parametric approach to integrate empirical probability functions of the real return for different investment horizons for five portfolios of Swedish stocks and bonds. In our setting the problem reduces to generating new generalizations from an empirical Markov...

Persistent link: https://www.econbiz.de/10005645092

Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

Jiménez, Javier Rojo; Villa-Diharce, Enrique; Flores, … - In: Journal of Multivariate Analysis 76 (2001) 2, pp. 159-191

The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated....

Persistent link: https://www.econbiz.de/10005153220

A note on kernel density estimators with optimal bandwidths

Hjort, Nils Lid; Walker, Stephen G. - In: Statistics & Probability Letters 54 (2001) 2, pp. 153-159

lies outside any confidence interval, around the empirical distribution function, with probability tending to 1 as the …

Persistent link: https://www.econbiz.de/10005319124

Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach

Lin, Shinn-Juh; Yang, Jian - Finance Discipline Group, Business School - 1999

empirical distribution approach and aim at detecting a change that may occur beyond the second moment. We derive the asymptotic …

Persistent link: https://www.econbiz.de/10005073659