Search Results - subject:"log-generalized gamma"

It’s All in the Interval - An imperfect measurements approach to estimate bidders’ costs in descending first price sealed bid auctions

Sundström, David - Institutionen för Nationalekonomi, Umeå Universitet - 2014

A novel method to measure bidders’ costs in descending first price sealed bid auctions is introduced. The novelty is based on two intuitively appealing economic assumptions on which bidders’ costs are given an imperfect measurements interpretation. Theory provides no guidance as to the shape...

Persistent link: https://www.econbiz.de/10010961529

Conditional Skewness Modelling for Stock Returns

Brännäs, Kurt; Nordman, Niklas - Institutionen för Nationalekonomi, Umeå Universitet - 2001

that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter …, and in particular a Pearson IV specification with three constant parameters are better supported by data. While the log-generalized … gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV …

Persistent link: https://www.econbiz.de/10005424011