Related papers: Portfolio return distributions: Sample statistics …
This paper presents properties and approximations of a random variable based on the zero-order modified Bessel function that results from the compounding of a zero-mean Gaussian with a $\chi^2_1$-distributed variance. This family of…
We propose a general nonparametric Bayesian framework for binary regression, which is built from modeling for the joint response-covariate distribution. The observed binary responses are assumed to arise from underlying continuous random…
Statistical system models provide the basis for the examination of various sorts of distributions. Classification distributions are a very common and versatile form of statistics in e.g. real economic, social, and IT systems. The…
In our recent works, we developed a probabilistic framework for structural analysis in undirected networks. The key idea of that framework is to sample a network by a symmetric bivariate distribution and then use that bivariate distribution…
We propose a Bayesian non-parametric approach for modeling the distribution of multiple returns. In particular, we use an asymmetric dynamic conditional correlation (ADCC) model to estimate the time-varying correlations of financial returns…
We study the non-stationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution…
In statistical exercises where there are several candidate models, the traditional approach is to select one model using some data driven criterion and use that model for estimation, testing and other purposes, ignoring the variability of…
We propose a methodology for modeling and comparing probability distributions within a Bayesian nonparametric framework. Building on dependent normalized random measures, we consider a prior distribution for a collection of discrete random…
We introduce the notion of symmetric covariation, which is a new measure of dependence between two components of a symmetric $\alpha$-stable random vector, where the stability parameter $\alpha$ measures the heavy-tailedness of its…
For nonnegative random variables with finite means we introduce an analogous of the equilibrium residual-lifetime distribution based on the quantile function. This allows to construct new distributions with support (0,1), and to obtain a…
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
In numerous instances, the generalized exponential distribution can be used as an alternative to the most widely used non-regular family of distributions: Weibull, gamma, lognormal with three-parameters when analyzing lifetime or any skewed…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
We present here a general framework, expressed by a system of nonlinear differential equations, suitable for the modelling of taxation and redistribution in a closed (trading market) society. This framework allows to describe the evolution…
In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties,…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
The directional precision of the sample mean estimator was calculated analytically for the offset exponential and normal distributions in three-dimensional space both for a finite sample and for limiting cases. It was shown that the…
This paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects (CCE) framework. The proposed two-step…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
We consider nonparametric Bayesian estimation of a probability density $p$ based on a random sample of size $n$ from this density using a hierarchical prior. The prior consists, for instance, of prior weights on the regularity of the…