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Showing 1 to 20 of 114 for “"kurtosis"”.
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US …
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Kurtosis-based blind beamforming: an adaptive, subband implementation with a convergence improvement
… cannot be used effectively. An adaptive, maximum-kurtosis objective is used in the frequency domain to blindly enhance the speech signal. The algorithm provides SNR gains of 3.5 - 7.5 dB with just two microphones in low-SNR, real-world scenarios. An improvement is presented that allows for faster …
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Spatially Selective 2D RF Inner Field of View (iFOV) Diffusion Kurtosis Imaging (DKI) of the Pediatric Spinal Cord
… in a clinical setting. By measuring the excess kurtosis, or peakedness, of the Gaussian distribution it is possible to get a better understanding of the underlying cellular structure. The objective of this work is to provide mathematical and experimental evidence that Diffusion Kurtosis Imaging …
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An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market
… to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the …
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The effect of non-normality on the power of the test of a two-way classification, fixed effects model--no interaction
… effect of nonnormality, in terms of skewness and kurtosis, on the power of the analysis of variance test for a two-way classification, fixed effects model (with two replicates and no interaction). Most of the populations considered were only moderately non-normal, that is, only slightly peaked or …
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Risk-neutral pricing in a behavioural framework
… accurate estimates for risk-neutral skewness and kurtosis for those assets which exhibit the volatility smirk. By contrast, for those assets dominated by the forward skew, the exact approach outperforms the interpolation-extrapolation approach for skewness only. The second issue investigated is …
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A Monte Carlo study of the robustness of the standard deviation of the sample correlation coefficient to the assumption of normality
… by variation in skewness or variation in kurtosis, the effect being slightly greater for variation in kurtosis. When the variations are in both skewness and kurtosis, the standard deviation of r and of Z are more affected by non-normality, a few significantly so. In small samples (n=10, …
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Speech perception in a sparse domain
… can be defined by the fourth order statistics, kurtosis, and it is hypothesised that greater kurtosis should be reflected by better speech recognition performance in noise. Based on a corpus of speech material, kurtosis was found to be significantly correlated to the glimpsing area of noisy …
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Moving approximate entropy and its application to the electromyographic control of an artificial hand
… sample entropy, standard deviation, skewness and kurtosis have been determined from the signals. Of these features, mean absolute value and kurtosis were selected for information extraction. These three methods: moving approximate entropy, mean absolute value and kurtosis are used in the feature …
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Simulating Univariate and Multivariate Burr Type III and Type XII Distributions Through the Method of L-Moments
… with moment-based parameters (e.g., Skew and Kurtosis). In educational and psychological studies, the Burr families of distributions can be used to simulate extremely asymmetrical and heavy-tailed non-normal distributions. Conventional moment-based estimators (i.e., the mean, variance, skew, …
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Time Series Models for Analyzing Financial Data
… it is reasonable to expect that skewness and kurtosis also depend upon the conditioning information. This dissertation addresses the non-normal behavior of standardized residuals by suggesting a model which incorporates skewness and kurtosis using the venerable, but previously little used, …
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Construction of FASR subsystem testbed and application for solar burst trajectories and RFI study
… it in great detail. The use of time-domain kurtosis, and a variant of the kurtosis method in the frequency domain were explored to identify the presence of RFI and flag bad channels in simulated real time (i.e., we play back the raw, full-resolution recorded data and flag the bad channels …
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Minimization of number of gait trials for tripping probability tests using artificial neural networks
… (e.g. mean, standard deviation, skewness and kurtosis), based on the characteristics of MTC data collected from fewer gait trials. The aim of this study is to apply a novel technology, artificial neural network (ANN), to predict stabilized MTC characteristics (mean, M; standard deviation, SD; …
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Gram-Charlier expansions and option pricing
… allows the model to capture skewness, excess kurtosis and higher moments in observed asset returns. Schlogl (2013) proposes a calibration method to ensure the fitted densities are valid and arbitrage free. This method is implemented with standard foreign exchange options and gives an exact fit …
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Fatigue analysis for non-normal stochastic stress
… usual two parameters of a normal distribution), kurtosis is chosen as a third parameter to indicate the degree of non-normality. A theoretical prediction of the fatigue damage due to a nongaussian process is also obtained for the special situation of a narrow-band process with the exponent in the …
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Statistical Properties of Kumaraswamy Generalized Inverse Weibull Distribution
… moments, coe_cients of variation, skewness,and kurtosis, _entropy, generalized entropy, Fisher information matrix, informational energy are studied. Estimates of the model parameters via several methods including maximum likelihood (MLE), and method of moments (MME) are presented.</p>
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Specification tests for autoregressive conditional heteroskedastic models with applications to exchange rates of Asian countries
… turned out to be equivalent to checking whether kurtosis is changing over time, i.e to test for heterokurtosity.
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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
… economically significant: market volatility and kurtosis, equity risk premia, and stock-bond relations shift when the model forecasts a regime change.
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An Examination into the Structure of Freight Rates in the Shipping Freight Markets
… freight rates exhibit conditional skewness and kurtosis? It then evaluates the impact that these factors have on the risk exposure of market participants. These concepts are further tested in terms of their respective forecasting performance, relative to other more standard econometric …
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