Search Results - subject:"laplace distribution"

Probability distributions for modeling stock market returns : an empirical inquiry

Pokharel, Jayanta K.; Aryal, Gokarna; Khanal, Netra; … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-27

tails, and a more pronounced center. This paper investigates the Laplace distribution and its generalized forms, including … asymmetric Laplace, skewed Laplace, and the Kumaraswamy Laplace distribution, for modeling stock market returns. Our analysis … stocks across varied time horizons. The empirical findings indicate the superior performance of the Kumaraswamy Laplace …

Persistent link: https://www.econbiz.de/10014636305

The Price distribution of consumer goods in retail markets

Kaldasch, Joachim - In: International journal of economics and financial issues … 13 (2023) 5, pp. 52-58

Persistent link: https://www.econbiz.de/10014417893

Matrix gamma distributions and related stochastic processes

Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, É). We provide an extension of this class to the case where the shape...

Persistent link: https://www.econbiz.de/10014331150

Matrix variate generalized laplace distributions

Kozubowski, Tomasz J.; Mazur, Stepan; Podgorski, Krysztof - 2022

The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails, often observed in financial or other empirical data. We consider extensions...

Persistent link: https://www.econbiz.de/10013331918

Matrix gamma distributions and related stochastic processes

Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022

There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

Persistent link: https://www.econbiz.de/10013469607

Matrix variate generalized laplace distributions

Kozubowski, Tomasz J.; Mazur, Stepan; Podgorski, Krysztof - 2022

Persistent link: https://www.econbiz.de/10013258069

Estimation of models for stock returns

Nadarajah, Saralees; Hitchen, Thomas - In: Computational economics 64 (2024) 6, pp. 3577-3616

Persistent link: https://www.econbiz.de/10015144254

Autonomy of profit rate distribution and its dynamics from firm size measures: A statistical equilibrium approach

Oh, Ilfan - 2019

rates is well described by the Laplace distribution; (ii) the key parameters characterizing the profit rate distribution and …

Persistent link: https://www.econbiz.de/10011985166

Autonomy of profit rate distribution and its dynamics from firm size measures : a statistical equilibrium approach

Oh, Ilfan - 2019

rates is well described by the Laplace distribution; (ii) the key parameters characterizing the profit rate distribution and …

Persistent link: https://www.econbiz.de/10011982760

On Normal-Laplace Stochastic Volatility Model

Kavungal, Shiji; Thekkedath, Rahul - In: Stochastics and Quality Control 37 (2022) 2, pp. 127-136

Abstract This paper analyses a stochastic volatility model generated by first order normal-Laplace autoregressive process. The model parameters are estimated by the generalized method of moments. A simulation experiment is carried out to check the performance of the estimates. Finally, a real...

Persistent link: https://www.econbiz.de/10014591077