Similar Search Results

The “wrong skewness” problem: a re-specification of Stochastic Frontiers.

Bonanno, Graziella; De Giovanni, Domenico; Domma, Filippo - 2015

) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the …

Persistent link: https://www.econbiz.de/10015247097

IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses

Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - 2019

Estimation of portfolio expected credit loss is required for IFRS9 regulatory purposes. It starts with the estimation of scenario loss at loan level, and then aggregated and summed up by scenario probability weights to obtain portfolio expected loss. This estimated loss can vary significantly,...

Persistent link: https://www.econbiz.de/10015263936

Essays on time series and causality analysis in financial markets

Bessler, David A. (contributor); … - 2008

dependence.The relationship of housing market prices for nine U.S. census divisions is studied in thefirst essay. The results … isexamined in the second essay. The general dependence structure and degree is estimatedusing copula functions. The findings show … weak dependence between stock marketindices and oil prices for most countries except for the large oil producing nations …

Persistent link: https://www.econbiz.de/10009464873

The theory of dual co~event means

Vorobyev, Oleg Yu. - 2016

This work is the third, but not the last, in the cycle begun by the works [23, 22] about the new theory of experience and chance as the theory of co~events. Here I introduce the concepts of two co~event means, which serve as dual co~event characteristics of some co~event. The very idea of dual...

Persistent link: https://www.econbiz.de/10015257754

An Eviews program to perform the fractional Dickey-Fuller test

Bensalma, Ahmed - 2021

This paper demonstrates how sequential fractional Dickey-Fuller (FDF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff an EViews add-in to compute the fractional difference of the Nile data. Next, we give the program that executes the sequential FDF...

Persistent link: https://www.econbiz.de/10015241494

The determinants of the Harare Stock Exchange (HSE) market capitalisation

Ilmolelian, Peter - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10015216234

Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions

Sinha, Pankaj; Jayaraman, Prabha - 2009

In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...

Persistent link: https://www.econbiz.de/10015217746

Density Based Regression for Inhomogeneous Data: Application to Lottery Experiments

Kontek, Krzysztof - 2010

This paper presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and …

Persistent link: https://www.econbiz.de/10015221319

Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments

Kontek, Krzysztof - 2010

This paper deals with estimating peaked densities over the interval [0,1] using two-sided power distribution (Kotz, van Dorp, 2004). Such data were encountered in experiments determining certainty equivalents of lotteries (Kontek, 2010). This paper summarizes the basic properties of the...

Persistent link: https://www.econbiz.de/10015221380

Origins of scaling in FX markets

Mercik, Szymon; Weron, Rafal - 2002

Typical data sets employed by economists and financial analysts do not exceed a few hundred or thousand observations per series. However, in the last decade data sets containing tick-by-tick observations have become available. The studies of these data have turned up new and interesting facts...

Persistent link: https://www.econbiz.de/10015221788