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Year of publication
Subject
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Statistical distribution 3,756 Statistische Verteilung 3,744 Theorie 2,299 Theory 2,299 USA 1,203 United States 1,202 Schätzung 581 Estimation 579 Volatilität 555 Volatility 553 Capital income 506 Kapitaleinkommen 506 Forecasting model 449 Prognoseverfahren 449 Schätztheorie 377 Estimation theory 374 Risikomaß 371 Risk measure 371 Zeitreihenanalyse 351 Time series analysis 350 ARCH model 324 ARCH-Modell 324 Portfolio selection 297 Portfolio-Management 297 Optionspreistheorie 292 Option pricing theory 291 Stochastischer Prozess 288 Börsenkurs 287 Share price 287 Stochastic process 287 Nichtparametrisches Verfahren 233 Nonparametric statistics 233 Regressionsanalyse 216 Regression analysis 215 Statistischer Test 196 Statistical test 195 Einkommensverteilung 189 Income distribution 185 Monte-Carlo-Simulation 167 Monte Carlo simulation 166
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Online availability
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Free 1,237 Undetermined 607
Type of publication
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Article 2,079 Book / Working Paper 1,723
Type of publication (narrower categories)
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Article in journal 1,899 Aufsatz in Zeitschrift 1,899 Graue Literatur 1,278 Non-commercial literature 1,278 Arbeitspapier 1,223 Working Paper 1,223 Aufsatz im Buch 173 Book section 173 Hochschulschrift 118 Thesis 104 Collection of articles written by one author 25 Sammlung 25 Collection of articles of several authors 15 Lehrbuch 15 Sammelwerk 15 Conference paper 14 Konferenzbeitrag 14 Textbook 14 Amtsdruckschrift 8 Government document 8 Handbook 8 Handbuch 8 Bibliografie enthalten 7 Bibliography included 7 Commentary 7 Kommentar 7 Systematic review 7 Übersichtsarbeit 7 Forschungsbericht 6 Case study 4 Fallstudie 4 Aufgabensammlung 3 Aufsatzsammlung 3 Konferenzschrift 3 Mikroform 3 Bibliografie 2 Conference proceedings 2 Dissertation u.a. Prüfungsschriften 2 Statistik 2 Company information 1
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Language
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English 3,638 German 110 Undetermined 29 Polish 5 Russian 5 Spanish 5 French 3 Italian 3 Danish 2 Czech 1 Croatian 1
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Author
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Dijk, Herman K. van 33 Račev, Svetlozar T. 27 Fabozzi, Frank J. 25 Ravazzolo, Francesco 24 McAleer, Michael 21 Lux, Thomas 20 Paolella, Marc S. 20 Härdle, Wolfgang 19 Lucas, André 19 Casarin, Roberto 17 Hoogerheide, Lennart 17 Koopman, Siem Jan 17 Mitchell, James 17 Opschoor, Anne 16 Fagiolo, Giorgio 15 Griffiths, William E. 15 Perote, Javier 14 Phillips, Peter C. B. 14 Bollerslev, Tim 13 Bottazzi, Giulio 13 Fischer, Matthias 13 Kotz, Samuel 13 Linton, Oliver 13 Ardia, David 12 Garcia, René 12 Swanson, Norman R. 12 Aastveit, Knut Are 11 Corradi, Valentina 11 Craig, Ben R. 11 Duangkamon Chotikapanich 11 Grassi, Stefano 11 Jacobs, Kris 11 Almeida, Caio 10 Ardison, Kym 10 Bali, Turan G. 10 Bianchi, Michele Leonardo 10 Diebold, Francis X. 10 Dijk, Dick van 10 Hoogerheide, Lennart F. 10 Jondeau, Eric 10
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Institution
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National Bureau of Economic Research 12 Center for Economic Research <Tilburg> 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 7 Tilburg University, Center for Economic Research 6 European University Institute / Department of Economics 5 London School of Economics and Political Science 5 Rutgers University / Department of Economics 4 Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management 4 Tilburg University, School of Economics and Management 4 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 3 Federal Reserve Bank of Cleveland 3 Federal Reserve Bank of St. Louis 3 International Monetary Fund (IMF) 3 University of California Davis / Department of Economics 3 University of Cambridge / Department of Applied Economics 3 University of Cambridge / Faculty of Economics 3 University of Canterbury / Dept. of Economics and Finance 3 Boston College / Department of Economics 2 California Agricultural Experiment Station / Department of Agricultural and Resource Economics 2 Centre for Analytical Finance <Århus> 2 Centre for Microdata Methods and Practice <London> 2 Deutsches Institut für Wirtschaftsforschung 2 Federal Reserve Bank of Chicago 2 Federal Reserve Bank of New York 2 Gottfried Wilhelm Leibniz Universität Hannover 2 State University of New York at Albany / Department of Economics 2 Suntory-Toyota International Centre for Economics and Related Disciplines 2 Technische Universität Dresden 2 The Wharton Financial Institutions Center 2 Umeå Universitet / Institutionen för Nationalekonomi 2 University of New England / Department of Econometrics 2 University of Southampton / Department of Economics 2 University of Warwick / Department of Economics 2 University of York / Department of Economics and Related Studies 2 Arbeitsmarktservice Österreich 1 Australien / Division of Regional Development 1 Brown University / Department of Economics 1 Bureau of Economic and Business Research <Champaign, Ill.> 1 Center for Economic Research <Minneapolis, Minn.> 1 Centre for Economic Performance 1
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Published in...
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Journal of econometrics 86 Discussion paper / Tinbergen Institute 72 Economics letters 49 International journal of theoretical and applied finance 42 Working paper / National Bureau of Economic Research, Inc. 42 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 39 Insurance / Mathematics & economics 38 International journal of forecasting 36 Statistical papers 35 Econometric reviews 32 The journal of derivatives : the official publication of the International Association of Financial Engineers 27 Economic modelling 25 The journal of futures markets 25 Discussion paper / Center for Economic Research, Tilburg University 24 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 24 Journal of banking & finance 24 Journal of forecasting 23 The European journal of finance 22 Working papers 22 Discussion paper / Centre for Economic Policy Research 21 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 21 LEM working paper series 21 Econometric theory 20 Journal of empirical finance 20 Journal of financial econometrics : official journal of the Society for Financial Econometrics 20 Journal of economic dynamics & control 19 Research paper series / Swiss Finance Institute 19 SFB 649 discussion paper 19 The journal of operational risk 18 Journal of applied econometrics 17 Working paper 17 CEMMAP working papers / Centre for Microdata Methods and Practice 16 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 16 Discussion paper series / IZA 16 Finance research letters 16 Journal of economic theory 16 Quantitative finance 16 Applied economics 15 International review of financial analysis 15 CREATES research paper 14
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Source
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ECONIS (ZBW) 3,761 RePEc 26 USB Cologne (EcoSocSci) 15
Showing 1 - 50 of 3,802
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Aggregate density forecast of models using disaggregate data - a copula approach
Paulsen, Kenneth Sæterhagen; Fastbø, Tuva Marie; … - 2022
We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct...
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013162003
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A cautionary tale of fat tails
Dave, Chetan; Dressler, Scott J.; Malik, Samreen - 2022
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Real-time forecasts of economic growth
Sandu, Marcel Antonio; Viziniuc, Mădălin - 2022
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Modelling Okun's law - does non-Gaussianity matter?
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022
In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
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An entropy-based approach for nonparametrically testing simple probability distribution hypotheses
Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...
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Estimating density ratio of marginals to joint : applications to causal inference
Matsushita, Yukitoshi; Otsu, Taisuke; Takahata, Keisuke - 2022
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
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Testing the binomial fixed effects logit model, with an application to female labour supply
Winkelmann, Rainer; Xu, Lin - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 679-708
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Nowcasting Canadian GDP with density combinations
Chernis, Tony; Webley, Taylor - 2022
Assessing the state of the economy in real time is critical for policy-making, and understanding the risks to those assessments is equally important. Policy-makers are typically provided with point forecasts that contain insufficient information about risks. In contrast, predictive densities...
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Data-driven identification in SVARs : when and how can statistical characteristics be used to unravel causal relationships?
Herwartz, Helmut; Lange, Alexander; Maxand, Simone - In: Economic inquiry 60 (2022) 2, pp. 668-693
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Statistically identified SVAR model with potentially skewed and fat-tailed errors
Anttonen, Jetro; Lanne, Markku; Luoto, Jani - 2021
We introduce a structural vector autoregressive (SVAR) model with each of the mutually independent errors following a skewed generalized t-distribution that is more flexible than a Student's t-distribution typically considered. Hence, the effect of potential distributional misspecification is...
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Econometric Models for Count Data with an Application to the Patents-R&D Relationship
Hausman, Jerry A.; Hall, Bronwyn H.; Griliches, Zvi - 2021
This paper focuses on developing and adapting statistical models of counts (non-negative integers) in the context of panel data and using them to analyze the relationship between patents and R&D expenditures. The model used is an application and generalization of the Poisson distribution to...
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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021
The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...
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Fast Computation of Securities Financing Loss Distribution in Joint Lognormal Credit and Jump Diffusion Asset Model
Lou, Wujiang - 2021
At the core of securities financing transaction modeling is computing the distribution of the borrower default contingent market losses. Typically, the borrower’s credit spread is modeled after the lognormal model and the asset price dynamics is governed by a correlated jump diffusion model....
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
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On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters...
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Pricing the Correlation Skew with Normal Mean-Variance Mixture Copulas
Lujan, Ignacio - 2021
In this paper we propose a new pricing methodology for European multi-asset options based on the family of normal mean-variance mixture copulas. The goal is to develop a copula-based method with the flexibility to reproduce the correlation skew, and at the same time efficient enough to be used...
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Aggregate skewness and the business cycle
Iseringhausen, Martin; Petrella, Ivan; Theodoridis, … - 2021
We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth,...
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The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi; Dionne, Georges - 2021
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Analysis and forecasting of risk in count processes
Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
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Higher realized moments and stock return predictability
Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 48-70
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Fan charts 2.0 : flexible forecast distributions with expert judgement
Sokol, Andrej - 2021
I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some variables. This addresses a shortcoming of existing quantile regression-based models, for example the at-risk framework popularised by...
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Modelling returns in US housing prices : you're the one for me, fat tails
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...
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Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility
Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...
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A Bayesian semiparametric realized stochastic volatility model
Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...
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Record data from Kies distribution and related statistical inferences
Al-Olaimat, Nesreen M.; Bayoud, Husam A.; Raqab, Mohammad Z. - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 153-170
The Kies probability model was proposed as an alternative to the extended Weibull models as it provides a more efficient fit to some real-life data sets in comparison to the aforementioned models. The paper proposes classical and Bayesian inferences for the Kies distribution based on records....
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Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach
Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22
This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
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Sharing asymmetric tail risk : smoothing, asset prices and terms of trade
Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021
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Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
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It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling
Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19
It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...
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Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
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Heavy tailed, but not Zipf : firm and establishment size in the U.S.
Kondo, Illenin O.; Lewis, Logan T.; Stella, Andrea - 2021
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On Zipf's law and the bias of Zipf regressions
Schluter, Christian - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 529-548
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Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade
Corsetti, Giancarlo; Lipińska, Anna; Lombardo, Giovanni - 2021
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Covariates hiding in the tails
Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021
Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
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Tail forecasting with multivariate Bayesian additive regression trees
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012489943
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Frequency-dependent higher moment risks
Baruník, Jozef; Kurka, Josef - 2021
Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012431724
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The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi; Dionne, Georges - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012423037
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A joint top income and wealth distribution
Steiner, Viktor; Zhu, Junyi - 2021
Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data. This paper develops the technique of incorporating the joint distributional relationship to enhance the estimation of these two top distributions by using the...
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Zero-inflated regression for unobserved effects panel data models and difference-in-differences estimation
Cardot, Hervé; Musolesi, Antonio - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013170795
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Sharing asymmetric tail risk smoothing, asset pricing and terms of trade
Corsetti, Giancarlo; Lipińska, Anna; Lombardo, Giovanni - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013259540
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On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Diebold, Francis X. - 2021
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...
Persistent link: https://ebtypo.dmz1.zbw/10013228126
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Tail Forecasting with Multivariate Bayesian Additive Regression Trees
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021
We develop novel multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors. The variance of the errors can be stable, driven by stochastic volatility (SV), or follow a...
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Kolmogorov-Smirnov Tests for Distribution Function Similarity with Applications to Portfolios of Common Stock
Meyer, Jack; Rasche, Robert - 2021
If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...
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Regulation, Distribution Efficiency, and Retail Density
Flath, David - 2021
After outlining characteristics of Japan's distribution sector, a comprehensive international comparison of it to those of other nations is presented and analyzed for underlying differences. This leads to an explanation of Japan's retail store density, which is then related to the structure of...
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