Similar Search Results

Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …

Persistent link: https://www.econbiz.de/10011524072

Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - Economics and Econometrics Research Institute (EERI) - 2010

Persistent link: https://www.econbiz.de/10008532021

A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - 2011

We propose a new method for estimating the power-law exponent of a firm size variable, such as annual sales. Our focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. As is well known, a firm size variable follows a power-law distribution...

Persistent link: https://www.econbiz.de/10010305976

A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - In: Economics: The Open-Access, Open-Assessment E-Journal 5 (2011) 2011-20, pp. 1-20

The authors propose a new method for estimating the power-law exponents of firm size variables. Their focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. On the one hand, as is well known a firm size variable follows a power-law...

Persistent link: https://www.econbiz.de/10010307564

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10010295926

The Hidden Risks of Optimizing Bond Portfolios under VaR

Winker, Peter; Maringer, Dietmar - 2004

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR concept suffers from two problems: how to estimate VaR and...

Persistent link: https://www.econbiz.de/10010296148

Does Classical Competition Explain the Statistical Features of Firm Growth?

Alfarano, Simone; Milaković, Mishael - 2008

We express the idea of classical competition in a statistical equilibrium model, where the tendency for competition to equalize profit rates results in an exponential power (or Subbotin) distribution. The model supports and extends recent evidence on the Laplace distribution of growth rates in...

Persistent link: https://www.econbiz.de/10010296299

A Statistical Equilibrium Model of Competitive Firms

Irle, Albrecht; Milaković, Mishael; Alfarano, Simone; … - 2008

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms? profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...

Persistent link: https://www.econbiz.de/10010296303

Modeling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2005

While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...

Persistent link: https://www.econbiz.de/10010298301

Distribution of Labour Productivity in Japan over the Period 1996--2006

Souma, Wataru; Ikeda, Yuichi; Iyetomi, Hiroshi; … - 2009

The distribution of labour productivity is investigated by analyzing the longitudinal micro-level data set which contains detailed financial condition of large numbers of Japanese companies over the period 1996--2006. The generalized beta function of the second kind is applied to explain the...

Persistent link: https://www.econbiz.de/10010298583

1
2
3
4
5
6
7
8
9
10
Next
Last