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

A New Unified Theory of Sociobehavioral Forces

Jasso, Guillermina - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper proposes a new unified theory of sociobehavioral forces. The goal of the new theory isto integrate theories describing five sociobehavioral processes - comparison (including justiceand self-esteem), status, power, identity, and happiness - bringing under a single theoreticalumbrella...

Persistent link: https://www.econbiz.de/10005860770

Parametric properties of semi-nonparametric distributions, with applications top option valuation

León, Ángel; Mencía, Javier; Sentana, Enrique - Banco de España <Madrid>

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). Weshow that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financialderivatives valuation. We...

Persistent link: https://www.econbiz.de/10005860922

The Uniqueness of Extremum Estimation

Krätschmer, Volker - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

Let W denote a family of probability distributions with parameter space t, and WG be a subfamily of W depending on a mapping G : O -- t. Extremum estimations of the parameter vector v e O are considered. Some sufficient conditions are presented to ensure the uniqueness with probability one. As...

Persistent link: https://www.econbiz.de/10005861238

GHICA - Risk Analysis with GH Distributions and Independent Components

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

Persistent link: https://www.econbiz.de/10005861240

When did the 2001 recession really start?

Polzehl, Jörg; Spokoiny, Vladimir; Stărică, Cătălin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the...

Persistent link: https://www.econbiz.de/10005861467

Economic Growth of Agglomerations and Geographic Concentrationof Industries Evidence for Germany

Geppert, Kurt; Gornig, Martin; Werwatz, Axel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The vast majority of regions in West Germany, and the EU, have become more similar in terms of per-capita income and productivity between 1980 and 2000. But a number of rich areas - generally large agglomerations - have succeeded in departing from this trend ofconvergence. They are continuing to...

Persistent link: https://www.econbiz.de/10005861694