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THE “WRONG SKEWNESS” PROBLEM: A RE-SPECIFICATION OF STOCHASTIC FRONTIERS
Bonanno, Graziella; Giovanni, Domenico De; Domma, Filippo - Dipartimento di Scienze Economiche, Statistiche e … - 2015
) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the …
Persistent link: https://www.econbiz.de/10011253071
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The "wrong skewness" problem : a re-specification of stochastic frontiers
Bonanno, Graziella; Giovanni, Domenico de; Domma, Filippo - In: Journal of productivity analysis 47 (2017) 1, pp. 49-64
Persistent link: https://www.econbiz.de/10011741310
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Estimating Stable Factor Models By Indirect Inference
Calzolari, Giorgio; Halbleib, Roxana - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014
Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under...
Persistent link: https://www.econbiz.de/10011150337
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Robust estimation of covariance and its application to portfolio optimization
Huo, Lijuan; Kim, Tae-Hwan; Kim, Yunmi - In: Finance Research Letters 9 (2012) 3, pp. 121-134
Outliers can have a considerable influence on the conventional measure of covariance, which may lead to a misleading understanding of the comovement between two variables. Both an analytical derivation and Monte Carlo simulations show that the conventional measure of covariance can be heavily...
Persistent link: https://www.econbiz.de/10010595304
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On the impact of serial dependence on penalized regression methods
Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022
This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized … cross-correlations caused by serial dependence. In this respect, we study analytically the density of sample cross …
Persistent link: https://www.econbiz.de/10013432937
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On subcopula estimation for discrete models
Tasena, Santi - In: Asian journal of economics and banking : AJEB 5 (2021) 2, pp. 102-110
Purpose - To discuss subcopula estimation for discrete models. Design/methodology/approach - The convergence of estimators is considered under the weak convergence of distribution functions and its equivalent properties known in prior works. Findings - The domain of the true subcopula associated...
Persistent link: https://www.econbiz.de/10012694803
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On the impact of serial dependence on penalized regression methods
Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022
This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized … cross-correlations caused by serial dependence. In this respect, we study analytically the density of sample cross …
Persistent link: https://www.econbiz.de/10013336165
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Descriptive Analysis of the Impact of COVID-19 and Anti-Pandemic Measures on Mortality Rates in the Spanish Population in 2020 Using Graduation Techniques
Navarro, Eliseo; Requena, Pilar - 2022
In this paper, we measure the impact, in relative terms, of Covid-19 pandemic and the actions implemented to deal with it, on the Spanish mortality rates during year 2020. This study has been carried out age by age, distinguishing between male and female populations. The methodology we propose...
Persistent link: https://www.econbiz.de/10013294041
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Wrong Skewness and Finite Sample Correction in Parametric Stochastic Frontier Models
Feng, Qu; Horrace, William; Wu, Guiying Laura - Center for Policy Research, Maxwell School - 2013
in one direction. In practice, however, estimation residuals may display skewness in the wrong direction. Model re …-specification or pulling a new sample is often prescribed. This paper proposes a feasible alternative: imposing a negative skewness …
Persistent link: https://www.econbiz.de/10010751569
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Technological inefficiency and the skewness of the error component in stochastic frontier analysis
Carree, Martin Anthony - 2002
(negative) skewness in the case of stochastic production (cost) frontieranalysis. It takes as example the binomial distribution …
Persistent link: https://www.econbiz.de/10011326413