Search Results - subject_exact:"Standardnormalverteilung"

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://ebvufind01.dmz1.zbw.eu/10012595666

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012618491

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

Koloch, Grzegorz - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011662143

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://ebvufind01.dmz1.zbw.eu/10013027493

Microeconomic origins of macroeconomic tail risks

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

Persistent link: https://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

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

Aase, Knut K.; Lillestøl, Jostein - 2015

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10011440567

Microeconomic origins of macroeconomic tail risks

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

Persistent link: https://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

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://ebvufind01.dmz1.zbw.eu/10010227470

Central limit theorems and multiplier bootstrap when p is much larger than n

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish condi- tions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009692028

Gaussian approximation of suprema of empirical processes

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

We develop a new direct approach to approximating suprema of general empirical processes by a sequence of suprema of Gaussian processes, without taking the route of approximating empirical processes themselves in the sup-norm. We prove an abstract approximation theorem that is applicable to a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009692046

Estimation of a normal distribution of returns on stock indices based on the minimum chi-square criterion

Czyżycki, Rafał - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011861483

Modified CADF and CIPA panel unit root statistics with standard CHI-squared and normal limiting distributions

Westerlund, Joakim; Hosseinkouchack, Mehdi - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011494818

Analysis of latent Gaussian models with spatial dependence

Vogler, Jan - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011618511

The truncated multivariate normal distribution in finance and econometrics

Wilhelm, Stefan - 2014

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010438565