Search Results - subject:"probability: distribution"

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

Modeling skewness in portfolio choice

Trung Hai Le; Kourtis, Apostolos; Markellos, Raphaēl N. - In: The journal of futures markets 43 (2023) 6, pp. 734-770

Persistent link: https://www.econbiz.de/10014293220

On the Kavya-Manoharan-Burr X model : estimations under ranked set sampling and applications

Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20

A new two-parameter model is proposed using the Kavya-Manoharan (KM) transformation family and Burr X (BX) distribution. The new model is called the Kavya-Manoharan-Burr X (KMBX) model. The statistical properties are obtained, involving the quantile (QU) function, moment (MOs), incomplete MOs,...

Persistent link: https://www.econbiz.de/10014295425

Latent fragility: conditioning banks' joint probability of default on the financial cycle

Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023

Persistent link: https://www.econbiz.de/10014283811

Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014286699

Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty

Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of applied econometrics 38 (2023) 2, pp. 164-185

Persistent link: https://www.econbiz.de/10014287961

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices

Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511

Persistent link: https://www.econbiz.de/10014288014

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568

Persistent link: https://www.econbiz.de/10014314760

Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018

Yakovenko, Victor M.; Ludwig, Danial - 2023

Persistent link: https://www.econbiz.de/10014317167

BayesMultiMode : Bayesian mode inference in R

Basturk, Nalan; Cross, Jamie; Knijff, Peter de; … - 2023

Multimodal empirical distributions arise in many fields like Astrophysics, Bioinformatics, Climatology and Economics due to the heterogeneity of the underlying populations. Mixture processes are a popular tool for accurate approximation of such distributions and implied mode detection. Using...

Persistent link: https://www.econbiz.de/10014317332