Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Non-normal distribution"”.
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Frequentist-Bayesian Hybrid Tests in Semi-parametric and Non-parametric Models with Low/High-Dimensional Covariate
… a test for the significant differences between non-parametric functions and the second one is to design a test allowing any departure of predictors of high dimensional X from constant. The implementation is also given in construction of the proposal test statistics for both problems. For the …
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Testing the relationship between public and private transfers : empirical evidence from South Africa
… the large presence of zero observations in and non-normal distribution of the data.
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Natural Time and Crash Risk
The deviation of financial returns from normal distribution is a well‐documented stylized fact. Nonetheless, finance professionals and investors alike pay attention to these deviations almost only when a crisis erases years’ worth of gains. And despite decades’ worth of literature, the culprit for …
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The Impact of Loss Aversion and Market Sentiment on Implied Volatility Skews.
… within the standard option pricing models. Non-normal distribution functions, leverage effects and non-continuous trading markets which follow a jump diffusion process, can all result in distortions in the implied volatility surface. Furthermore, a limitation of arbitrage due to herding and …
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Skew Normal Bayesian Asset Allocation
… asset allocation problem based on the skew-normal distribution assumption and extends the Bayesian asset allocation model obtained by assuming hidden truncation skew-normal returns. Hidden truncation model provides a flexible family of skewed alternatives to the classical k dimensional …
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Essays on testing spatial models
… a spatial dynamic panel data (SDPD) model and a nonlinear SAR (NSAR) model. The proposed test is aiming to solve model selection problems. Chapter 1,""Robust LM tests for spatial dynamic panel data models"", introduces robustLM tests for the SDPD model that includes a contemporaneous spatial lag, …