Results 61 to 70 of about 672,008 (194)

Autorregresive conditional volatility, skewness and kurtosis [PDF]

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the ...
León, Angel, Serna, Gregorio, Rubio Irigoyen, Gonzalo   +2 more
core  

Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue [PDF]

Econometric modeling based on the Student’s t distribution introduces an additional parameter — the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, 1987) to estimate the true ...
Maria S. Heracleous
core  

AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS [PDF]

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the ...
Ángel León, Gregorio Serna, Gonzalo Rubio   +2 more
core  

Prognostic Value of Pre‐Treatment Diffusion Kurtosis Imaging for Progression‐Free Survival Prediction in Advanced Nasopharyngeal Carcinoma

Cancer Medicine
Purpose This study aimed to evaluate the value of diffusion kurtosis imaging (DKI) for prognostic value for long‐term PFS in nasopharyngeal carcinoma (NPC).
Wang Ren, Xiang Zheng, Shizhong Wu, Caixia Wu, Dechun Zheng   +4 more
doaj   +1 more source

Predicting Occupational Stress Using Environmental and Ergonomic Indicators: A Machine-Learning and Discriminant Analysis Approach

Public Health of Indonesia
Background : Due to increasing work pressures triggered by industrialization, high workloads, and unsafe environmental conditions, occupational stress has now become a major issue impacting worker health and productivity.
Ariyanto Nugroho, Merita Eka Rahmuniati, Sri Sahayati   +2 more
doaj   +1 more source

Hessian Stochastic Ordering in the Family of multivariate Generalized Hyperbolic Distributions and its Applications

پژوهش‌های ریاضی, 2022
In this paper, random vectors following the multivariate generalized hyperbolic (GH) distribution are compared using the hessian stochastic order. This family includes the classes of symmetric and asymmetric distributions by which different behaviors of ...
Mehdi Amiri, Ahad Jamalizadeh, Salman Izadkhah   +2 more
doaj  

Omnibus Tests for Multivariate Normality of Observations and Residuals [PDF]

This paper provides omnibus tests for multivariate normality of both observations and residuals. They are derived by considering as the alternatives to the multivariate normal a class of maximum-entropy distributions studied elsewhere by the author.
Urzúa, Carlos M.
core  

Multivariate Skewness and Kurtosis [PDF]

, 2021
openaire   +1 more source

Cross-moment interaction in multivariate semi-nonparametric densities for risk forecasting

Financial Innovation
This paper introduces the moment interaction between different assets in the semi-nonparametric modeling of a multivariate distribution. We analyze bivariate portfolios where skewness and kurtosis may interact between different assets, showing that these
Inés Jiménez, Andrés Mora-Valencia, Javier Perote   +2 more
doaj   +1 more source

Kurtosis Constraints In Communication Over Fading Channels [PDF]

, 2006
The kurtosis of a signal is a quantitative measure of how `peaky' it is. In this paper we consider two scenarios of communication over fading channels with kurtosis constraints: in the first, we analyze a non-coherent Rayleigh fading channel where the ...
Sibi Bhaskaran, Telatar, E., Emre Telatar, Bhaskaran, S.R.   +3 more
core   +2 more sources