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 20 of 224 for “"skewness"”.
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Modelling skewness in Financial data
… and Azzalini (2008) to allow for time-varying skewness. Chapter one analyses the performance of the time scaling rules for computing volatility and skewness under the Skew-Normal-GARCH(1,1) model at multiple horizons by simulation and applies the simulation results to the …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… that idiosyncratic moments, 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 …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… that idiosyncratic moments, 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 …
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A Mean Variance Skewness Model of Security Demand
Made available in DSpace on 2014-12-11T17:13:28Z (GMT). No. of bitstreams: 1 7511641.pdf: 5580396 bytes, checksum: b06b2656f172ac498d6026b958a9bc08 (MD5) Previous issue date: 1974
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Relating skewness and Fourier harmonics in low Reynolds number wake flow
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2026-05-01
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Using single corn kernel classification, pooling, and simulation to address skewness and clustering in aflatoxin distribution
… screening. An alternative to addressing the skewness and clustering problem is improving the sampling plan. In Chapter 4, a Monte-Carlo simulation model was designed and constructed to simulate probe sampling for aflatoxin-contaminated grains and predict acceptance probability. The effect of …
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Exploring Boundary Layer Dynamics: Steady and Unsteady Canopy Flows and The Vertical Velocity Skewness in Turbulent Boundary Layers
L'abstract è presente nell'allegato / the abstract is in the attachment
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The skewness preference of investors in initial public offerings in the long run: A theoretical and empirical test of Asset Pricing Models
… period, this research explores the importance of skewness as an explanation the underperformance phenomenon. The results shoe that both the event time series and cross sectional distributions are significantly positively skewed. Extending the length of study up to 20 years, the IPO sample is …
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Risk-neutral pricing in a behavioural framework
… yields more 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 …
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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
… the 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 …
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Exploring the COVID-19 cases around the World
… model with least error for the estimation of the skewness, scale, inflection, and carrying capacity parameter. We will first try to fit Skew Log Logistic Model to the cumulative cases data for the define first wave period for each country without the use of any program and then we will use the …
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A comparison of upper confidence limits for skewed distributions
… the UCL to be unreliable. What is the role of skewness in computing UCL statistics over different distributions? Computer simulation is used to test a range of skewness values over three similarly shaped distributions: Lognormal, Gamma, and Weibull. Three statistical tests will also be …
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Velocity moment analysis on oscillatory flow above self-formed vortex ripples
… and higher order velocity moments including skewness factors, flatness factors, and turbulent diffusion factors were studied for nine different Reynolds numbers. The study on phase-averaged skewness factors indicated that the area of skewed streamwise velocity oscillated around the ripple. …
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Crackle noise from high-speed free-shear-flow turbulence
… the radiated wave field, especially the pressure skewness. Though the DNS is restricted to a modest Reynolds-number range, the simulated turbulence is shown to have a broad range of scales and reproduce the energy spectra of realistic turbulence. This configuration is presented as a near-nozzle …
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Skew Normal Bayesian Asset Allocation
… the new model not only captures the skewness of the asset returns but also provides a more flexible model in a Bayesian asset allocation problem. This paper, among other results, provides a closed form for the posterior predictive distribution of returns given the investors’ views. I …
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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
… z are only negligibly affected 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. …
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Work - family conflict among women from a collectivistic culture
… job level, this was attributed to the high data skewness, thereby reducing the chances of detecting correlations. The high positive data skewness was possibly caused by the floor effect, which was the situation that the sample consisted of only female teachers from a Collectivistic culture. The …
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An investigation into higher and partial moment portfolio selection frameworks
… of two bi-objective optimisation frameworks, a Skewness/Semivariance framework previously suggested by Brito et al (2016), and a proposed upside and downside semivariance framework (referred to as Semivariance/Semivariance), developed from Cumova and Nawrocki’s (2014) general upper partial and …
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The robustness of LISREL estimates in structural equation models with categorical data
… some of the variables with varying degrees of skewness. When Pearson product-moment correlations were used to estimate associations involving dichotomous variables, the structural parameter estimates were biased when skewness was present in the dichotomous variables. Moreover, the degree of …
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The Econometrics of Piecewise Linear Budget Constraints With Skewed Error Distributons: An Application To Housing Demand In The Presence Of Capital Gains Taxation
… experiments indicate that failing to allow for skewness in the demand for housing leads to biased estimates of the elasticities of demand when such skewness is actually present. In addition, estimates based on American Housing Survey data suggest that such bias is substantial: controlling for …
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