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Power-law distribution in a learning process: competition, learning and natural selection
Gupta, Hari M.; Campanha, José R. - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 1, pp. 267-274
them in a learning process, based on competition, learning and natural selection. We consider that learning ability is … normally distributed. We found that the number of people versus step acquired by them in a learning process is given through a … power law. As competition, learning and selection is also at the core of all economical and social systems, we consider that …
Persistent link: https://www.econbiz.de/10010588478
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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10010691526
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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10010709743
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Stock return autocorrelations revisited: A quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert C. - In: Journal of Empirical Finance 19 (2012) 2, pp. 254-265
The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...
Persistent link: https://www.econbiz.de/10010572319
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The Distribution of the Returns of Japanese Stocks and Portfolios
Pizzutilo, Fabio - In: Asian Economic and Financial Review 3 (2013) 9, pp. 1249-1259
The behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Japanese stock return distributions using the Pearson system of frequency...
Persistent link: https://www.econbiz.de/10010674513
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ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA
FRIEDMAN, CRAIG; ZHANG, YANGYONG; HUANG, JINGGANG - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 163-193
We use minimum relative entropy (MRE) methods to estimate univariate probability density functions for a varied set of financial and economic variables, including S&P500 index returns, individual stock returns, power price returns and a number of housing-related economic variables. Some...
Persistent link: https://www.econbiz.de/10008487383
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Structural Breaks and the Normality of Stock Returns
Bahng, Joshua Seungwook - In: Swiss Journal of Economics and Statistics (SJES) 140 (2004) II, pp. 207-227
This paper attempts to explain the distribution of actual stock index returns using a mixture of the normal distributions model. This paper first defines the concept of structural breaks and derives a special form of structural breaks under the normality framework. It then applies the derived...
Persistent link: https://www.econbiz.de/10005580921
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Asset prices and "the devil(s) you know"
Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of banking & finance 105 (2019), pp. 20-35
Persistent link: https://www.econbiz.de/10012163795
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The distribution of the returns of Japanese stocks and portfolios
Pizzutilo, Fabio - 2013
The behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Japanese stock return distributions using the Pearson system of frequency...
Persistent link: https://www.econbiz.de/10009762662
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Stock return autocorrelations revisited : a quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265
Persistent link: https://www.econbiz.de/10009615707