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Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013367492

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012621564

Methods for measuring expectations and uncertainty in Markov-switching models

Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99

Persistent link: https://www.econbiz.de/10011591621

The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

Persistent link: https://www.econbiz.de/10012004391

Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities

Peiris, Shelton - In: Statistical Papers 55 (2014) 2, pp. 513-523

calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent …

Persistent link: https://www.econbiz.de/10010998600

The exponentiated Weibull distribution: a survey

Nadarajah, Saralees; Cordeiro, Gauss; Ortega, Edwin - In: Statistical Papers 54 (2013) 3, pp. 839-877

distribution to accommodate nonmonotone hazard rates. The properties reviewed include: moments, order statistics, characterizations …

Persistent link: https://www.econbiz.de/10010848069

The exponentiated exponential distribution: a survey

Nadarajah, Saralees - In: AStA Advances in Statistical Analysis 95 (2011) 3, pp. 219-251

Persistent link: https://www.econbiz.de/10009324604

A generalized gamma distribution with application to drought data

Nadarajah, Saralees; Gupta, Arjun K. - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 1, pp. 1-7

Gamma distributions are some of the most popular models for hydrological processes. In this paper, a very flexible family which contains the gamma distribution as a particular case is introduced. Evidence of flexibility is shown by examining the shape of its probability density function (pdf). A...

Persistent link: https://www.econbiz.de/10010749904

The beta generalized Pareto distribution with application to lifetime data

Mahmoudi, Eisa - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2414-2430

The generalized Pareto (GP) distribution is useful in modeling extreme value data, because of its long tail feature. In this paper, a new generalized version of this distribution which is called the beta generalized Pareto (BGP) distribution is introduced. A new distribution is more flexible and...

Persistent link: https://www.econbiz.de/10010870174

An alternative inverse Gaussian distribution

Nadarajah, Saralees - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 5, pp. 1721-1729

and empirical motivation is provided. Various particular cases and expressions for moments are derived. Estimation … procedures by the method of moments and the method of maximum likelihood as well as the associated Fisher information matrix are …

Persistent link: https://www.econbiz.de/10010870676