Search Results - subject_exact:"Normal distribution"

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A heuristic for fat-tailed stock market returns

Welch, Ivo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195218

Distribution of returns on currency exchange rates and bitcoin transaction values in G7 countries

Umoru, David; Igbinovia, Beauty - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636418

Long-horizon asset and portfolio returns revisited: Evidence from US markets

Hoang, Tri M. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014527473

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - 2023

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014503297

An introduction to stochastic bin packing-based server consolidation with conflicts

Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013274127

Black's model in a negative interest rate environment, with application to OTC derivatives

Bramante, Riccardo; Dallago, Gimmi; Facchinetti, Silvia - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012817291

Fuzzy goal programming approach for solving stochastic transportation problem with additional budgetary constraints

Akilbasha, A.; Abd El-Wahed Khalifa, Hamiden; Juman, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015070063

Estimation of models for stock returns

Nadarajah, Saralees; Hitchen, Thomas - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015144254

21 Equations that Shaped the World Economy : Understanding the Theory Behind the Equations

Michaēlidēs, Panagiōtēs G. - 2024

1. Compound Interest Rate -- 2. The Normal Distribution -- 3. Ordinary Least Squares -- 4. Production Function and TFP -- 5. Profit Rate -- 6. General Equilibrium -- 7. Input Output Analysis -- 8. Break-Even Point -- 9. The Fisher Equation -- 10. Net Present Value -- 11. Income Accounting...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015189966

European option, American option, and option bounds : theory, method, and some empirical results

Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015047624

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611608

Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange

Öcal, Hüseyin; Kamil, Anton Abdulbasah - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015563633

An introduction to stochastic bin packing-based server consolidation with conflicts

Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014501961

Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange

Öcal, Hüseyin; Kamil, Anton Abdulbasah - 2021

This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012517147

Inference in a class of optimization problems : confidence regions and finite sample bounds on errors in coverage probabilities

Horowitz, Joel; Lee, Sokbae - 2021

This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012595666

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - 2021

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012483525

Asset pricing with heterogeneous agents and non-normal return distributions

Beddock, Arthur - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012617351

The ERPD matrix "scorecard": quantifying the macro-financial performance of the ASEAN+3 economies

Ong, Li Lian; Gabriella, Laura Grace - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012819678

GLAMbox: A Python toolbox for investigating the association between gaze allocation and decision behaviour

Molter, Felix; Thomas, Armin W.; Heekeren, Hauke R.; … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012143532

Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012316436

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Models where the least trimmed squares and least median of squares estimators are maximum likelihood

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Book / Working Paper

Models where the least trimmed squares and least median of squares estimators are maximum likelihood

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Book / Working Paper

Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood

Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019

Book / Working Paper

The normal distribution formalization for investment economic project evaluation using the Monte Carlo method

Bilenko, Daria; Lavrov, Ruslan; Onyshchuk, Natalia; … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012264653

Estimation of geometric Brownian motion model with a t-distribution-based particle filter

Nkemnole, Bridget; Abass, Olaide - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012018946

The role of fat-tailed distribution in the analysis of Black Swan events

Peng, Shaogeng - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013348523

Teaching statistics : a dynamic excel approach

Mangiero, George A.; Qayyum, Arif; Cante, Charles J. - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013361840

La salida de los negocios en 47 países durante 2021

Pinkovetskaia, Iuliia - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014331546

Approximating the Normal Sample Median Distribution in Process Control

Leung, Char - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014591057

The risk-averse static stochastic knapsack problem

Merzifonluoglu, Yasemin; Geunes, Joseph - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012628776

Mathematical models and approximate solution approaches for the stochastic bin packing problem

Martinovic, John; Selch, M. - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012649702

An optimal solution policy to an integrated manufacturer-retailers problem with normal distribution of lead times of delivering equal and unequal-sized batches

Hoque, M. A. - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012548947

Risk-neutral skewness, informed trading, and the cross section of stock returns

Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012618491

Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties

Koloch, Grzegorz - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011662143

Univariate and multivariate process capability indices - measures of process performance : a case study

Tyagi, Vivek; Kumar, Lalit - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012241662

On the definition of risk

Lemos, Filipe - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012300957

Cautionary note on the two-step transformation to normality

Rönkkö, Mikko; Aguirre-Urreta, Miguel I. - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012249838

Beyond the Local Mean-Variance Analysis in Continuous Time : The Problem of Non-Normality

Aase, Knut K. - 2015

The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013027493

Microeconomic origins of macroeconomic tail risks

Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011643426

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Microeconomic Origins of Macroeconomic Tail Risks

Acemoglu, Daron - 2015

Book / Working Paper

Microeconomic Origins of Macroeconomic Tail Risks

Acemoglu, Daron - 2015

Book / Working Paper

Microeconomic Origins of Macroeconomic Tail Risks

Acemoglu, Daron - 2015

Book / Working Paper

Microeconomic Origins of Macroeconomic Tail Risks

Acemoglu, Daron - 2015

Book / Working Paper

Can being behind get you ahead? Reference Dependence and Asymmetric Equilibria in an Unfair Tournament

Bergerhoff, Jan; Vosen, Agnes - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011434944

Beyond the local mean-variance analysis in continuous time : the problem of non-normality

Aase, Knut K.; Lillestøl, Jostein - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010515222

Non-normality in financial markets and the measurement of risk

Lau, Christian - 2015

ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011440567

Microeconomic origins of macroeconomic tail risks

Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010485562

Show one more version 1

Microeconomic origins of macroeconomic tail risks

Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015

Book / Working Paper

Can being behind get you ahead? : reference dependence and asymmetric equilibria in an unfair tournament

Bergerhoff, Jan; Vosen, Agnes - 2015

Everyone remembers a plot where a disadvantaged individual facing the prospect of failure, spends more effort, turns around the game and wins unexpectedly. Most tournament theories, however, predict the opposite pattern and see the disadvantaged agent investing less effort. We show that 'turn...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011430528

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011559141

Show one more version 1

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - 2014

Article

Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective

Bianchi, Michele Leonardo - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011455704

Show one more version 1

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bianchi, Michele Leonardo - 2014

Book / Working Paper

РЕАЛИЗАЦИЯ МЕТОДОВ ИМИТАЦИОННОГО МОДЕЛИРОВАНИЯ РИСКОВ ИНВЕСТИЦИОННЫХ ПРОЕКТОВ СРЕДСТВАМИ MS EXCEL

АЛЕКСАНДРОВИЧ, ГЛОТОВ ЕВГЕНИЙ; … - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011271168

Identifying Black Swans in the Athens Stock Exchange

Asterios, Tsoukalas; Evaggelos, Drimpetas; George, … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012020369

Cutting stock problems with nondeterministic item lengths : a new approach to server consolidation

Martinovic, John; Hähnel, Markus; Scheithauer, Guntram; … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012007904

Developing TOPSIS method using statistical normalization for selecting knowledge management strategies

Zadeh Sarraf, Amin; Mohaghar, Ali; Bazargani, Hossein - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011939083

Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013

We derive a Gaussian approximation result for the maximum of a sum of high dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010227470

Developing TOPSIS method using statistical normalization for selecting knowledge management strategies

Zadeh Sarraf, Amin; Mohaghar, Ali; Bazargani, Hossein - 2013

Purpose: Numerous companies are expecting their knowledge management (KM) to be performed effectively in order to leverage and transform the knowledge into competitive advantages. However, here raises a critical issue of how companies can better evaluate and select a favorable KM strategy prior...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011903105

SOME CHARACTERISTICS OF THE FINANCIAL DATA SERIES

SAVOIU, Gheorghe - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010860042