Search Results - subject:"probability: distribution"

Extreme severity modeling using a GLM-GPD combination : application to an excess of loss reinsurance treaty

Ghaddab, Sarra; Kacem, Manel; Peretti, Christian de; … - In: Empirical economics : a quarterly journal of the … 65 (2023) 3, pp. 1105-1127

Persistent link: https://www.econbiz.de/10014330174

Economic-statistical design of BayesianX control chart based on the predictive distribution

Seirani, Razieh; Torabian, Mohsen; Behzadi, Mohammad Hassan - In: International journal of quality & reliability management 40 (2023) 8, pp. 1925-1939

Persistent link: https://www.econbiz.de/10014332208

Maximum likelihood estimation for α-stable double autoregressive models

Li, Dong; Tao, Yuxin; Yang, Yaxing; Zhang, Rongmao - In: Journal of econometrics 236 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014332316

Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

Liu, Qing; Wang, Shouyang; Sui, Cong - In: Applied economics 55 (2023) 49, pp. 5816-5832

Persistent link: https://www.econbiz.de/10014335824

Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions

Rewat Khanthaporn; Wichitaksorn, Nuttanan - In: Applied economics 55 (2023) 51, pp. 6042-6061

Persistent link: https://www.econbiz.de/10014335891

Subsample analysis of stock market : cryptocurrency returns tail dependence : acopula approach for the tails

Boukef Jlassi, Nabila; Jeribi, Ahmed; Lahiani, Amine; … - In: Finance research letters 58 (2023) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014582463

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - In: Finance research letters 58 (2023) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10014631146

The tail risk surface

Ahn, Jungkyu; Ahn, Yongkil - In: Finance research letters 58 (2023) 3, pp. 1-6

Persistent link: https://www.econbiz.de/10014631255

How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation

Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5

Persistent link: https://www.econbiz.de/10014633349

A partition-free spatial clustering that preserves topology : application to built-up density

Montero, Gaëtan; Caruso, Geoffrey; Hilal, Mohamed; … - In: Journal of geographical systems : geographical … 25 (2023) 1, pp. 5-35

Persistent link: https://www.econbiz.de/10014226973

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