Search Results - subject:"heavy tails"

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Fraud power laws

Cheynel, Edwige; Cianciaruso, Davide; Zhou, Frank S. - In: Journal of accounting research 62 (2024) 3, pp. 833-876

Persistent link: https://www.econbiz.de/10014541868

Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464

Persistent link: https://www.econbiz.de/10014552077

Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns

Hediger, Simon; Näf, Jeffrey - In: Journal of empirical finance 77 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014578530

Mining the factor zoo : estimation of latent factor models with sufficient proxies

Wan, Runzhe; Li, Yingying; Lu, Wenbin; Song, Rui - In: Journal of econometrics 239 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015074454

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

to take into account skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are … provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroe- conomic variables. The …

Persistent link: https://www.econbiz.de/10012654478