Search Results - subject:"statistical properties"

Realized measures to explain volatility changes over time

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-19

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...

Persistent link: https://www.econbiz.de/10012611354

Are we more accurate? : revisiting the European Commission's macroeconomic forecasts

Chabin, Andras; Lamproye, Sébastien; Výškrabka, Milan - 2020

Persistent link: https://www.econbiz.de/10012418186

Realized measures to explain volatility changes over time

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19

Persistent link: https://www.econbiz.de/10012309061

Statistical properties of rates of return on shares listed on the German, French, and Polish markets : a comparative study

Dębski, Wiesław; Feder-Sempach, Ewa; Wójcik, Szymon - In: Contemporary economics 12 (2018) 1, pp. 5-16

statistical properties including the beta parameter. Stock stability is considered by dividing the whole market into the bull and … article is to examine the statistical properties of monthly rates of return for the biggest companies in terms of …

Persistent link: https://www.econbiz.de/10011889164

Statistical properties of rates of return on shares listed on the German, French, and Polish markets: A comparative study

Dębski, Wiesław; Feder-Sempach, Ewa; Wójcik, Szymon - In: Contemporary Economics 12 (2018) 1, pp. 5-16

Persistent link: https://www.econbiz.de/10011995323

SUJATHA DISTRIBUTION AND ITS APPLICATIONS

Shanker, Rama - In: Statistics in Transition New Series 17 (2016) 3, pp. 391-410

Persistent link: https://www.econbiz.de/10012141629

Constructing weekly returns based on daily stock market data: A puzzle for empirical research?

Baumöhl, Eduard; Lyócsa, Štefan - Volkswirtschaftliche Fakultät, … - 2012

. An empirical analysis is used to show that the statistical properties of a weekly stock returns series strongly depend on …

Persistent link: https://www.econbiz.de/10011260722

Modelos multinomiales: un análisis de sus propiedades

Galeano, Arlen Yahir Guarin; Hassan, Andrés Ramírez; … - UNIVERSIDAD EAFIT - 2011

hand, conditional models with small sample sizes imply bad statistical properties, especially when Probit models are …

Persistent link: https://www.econbiz.de/10010762783

In Quest of the Distributional Properties of Reliability Rate

Pillai N., Vijayamohanan - Volkswirtschaftliche Fakultät, … - 2008

likelihood estimator (MLE) from sample observations.. No study has gone beyond this to analyze the statistical properties of the …

Persistent link: https://www.econbiz.de/10005837340