Results 81 to 90 of about 685,977 (197)
Applied Multivariate Research, v.13 no.1 (complete version)
, 2009 The first issue of Applied Multivariate Research edited by Dennis L. JacksonDigitized and published in SOAR:Shocker Open Access Repository by Wichita State University Libraries Technical Services.Multivariate models for three dimensional data / James W ...
core +1 more source
Are parametric models still useful to measure the market risk of bank securities holdings?
Borsa Istanbul ReviewThis paper estimates the daily market risk of Italian bank securities portfolios under different model assumptions, using granular data on all banks and exposures from 2008 to 2023.
Michele Leonardo Bianchi +2 more
doaj +1 more source
SKEWNESS IN INDIVIDUAL STOCKS AT DIFFERENT FREQUENCIES [PDF]
This paper examines the (a)symmetry of twenty-four individual stock returns at different frequencies: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely at lower frequencies.
Amado Peiró
core
Dynamic Density Forecasts for Multivariate Asset Returns [PDF]
We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets.
Evarist Stoja, Arnold Polanski
core
Van Zwet ordering and the Ferreira-Steel family of skewed distributions [PDF]
There are several procedures to construct a skewed distribution. One of these procedures is based on a symmetric distribution that will be distorted by a skewed distribution defined on (0; 1). This proposal stems from Arellano-Valle et al.
Klein, Ingo
core
Cross-moment interaction in multivariate semi-nonparametric densities for risk forecasting
Financial InnovationThis 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 +2 more
doaj +1 more source
On the safety effects of off-peak hour speed characteristics of urban arterials
Multimodal TransportationAmong the factors related to traffic crash risk, the speed characteristics are crucial. Most studies on the safety effect of speed characteristics focused on highways and rural roads, whereas the investigations on urban roads are not comprehensive. Urban
Sixuan Xu +3 more
doaj +1 more source
Robust Monitoring of Multivariate Location Using a New Nonparametric Depth-Based Control Chart
Journal of Applied MathematicsMonitoring multivariate processes under nonnormal conditions remains a persistent challenge in statistical process control, as most classical control charts rely heavily on distributional assumptions.
Mahdieh Bayati +2 more
doaj +1 more source
Skew-normal shocks in the linear state space form DSGE model [PDF]
Observed macroeconomic data – notably GDP growth rate, inflation and interest rates – can be, and usually are skewed. Economists attempt to fit models to data by matching first and second moments or co-moments, but skewness is usually neglected. It is so
Grzegorz Grabek +2 more
core