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LSTM-augmented vine copula modelling for energy-finance contagion analysis. [PDF]
Sci RepZeng L, Huang J, Lin X.
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Asset return correlation: The case of automotive lease portfolios.
, 2003 Stéphanie Duchemin +2 more
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Maps of forest vertical structure for Colombia, a megadiverse country. [PDF]
Sci DataCamilo Fagua J +5 more
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The mechanism and impact of digital transformation on supply chain resilience in the manufacturing industry. [PDF]
Sci RepLi J, Song H, Ma Y.
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ON THE SHAPE OF ASSET RETURN DISTRIBUTION
Communications in Statistics: Simulation and Computation, 2002ABSTRACT In this paper we investigate the shape of the asset return distribution using all shares index of Helsinki Stock Exchange and Standard & Poor's 500 index of New York Stock Exchange. In both cases the power exponential distribution is used to model the shape of the return distribution and the inference is cross-checked with Student t ...
Juuso Töyli, Kimmo Kaski, Antti Kanto
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Likelihood Evidence on the Asset Returns Puzzle
The Review of Economic Studies, 2005Summary: Standard equilibrium models are unable to replicate the average return on equity and the risk-free rate during 1889--1978, the well-known asset returns puzzle. The present paper, motivated by the excess of outliers in the data, proposes a normal-scale mixture stochastic process for output that is compatible with leptokurtosis.
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