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Fitting Johnson Curves by Moments

Citations

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Cited by:

  1. Yumin Yuan & Kai Yang & Lirong Cheng & Yijuan Bai & Yingying Wang & Ying Hou & Aizhong Ding, 2022. "Effect of Normalization Methods on Accuracy of Estimating Low- and High-Molecular Weight PAHs Distribution in the Soils of a Coking Plant," IJERPH, MDPI, vol. 19(23), pages 1-13, November.
  2. Jean-Guy Simonato, 2011. "Johnson binomial trees," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1165-1176.
  3. Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003. "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 55-82, March-Jun.
  4. Artur J. Lemonte & Germán Moreno-Arenas, 2020. "On a heavy-tailed parametric quantile regression model for limited range response variables," Computational Statistics, Springer, vol. 35(1), pages 379-398, March.
  5. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
  6. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
  7. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
  8. Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
  9. Carstens, Herman & Xia, Xiaohua & Yadavalli, Sarma, 2018. "Measurement uncertainty in energy monitoring: Present state of the art," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 2791-2805.
  10. Dong, Bing & Xu, Wei & Sevic, Aleksandar & Sevic, Zeljko, 2020. "Efficient willow tree method for variable annuities valuation and risk management☆," International Review of Financial Analysis, Elsevier, vol. 68(C).
  11. Lam, William H.K. & Shao, Hu & Sumalee, Agachai, 2008. "Modeling impacts of adverse weather conditions on a road network with uncertainties in demand and supply," Transportation Research Part B: Methodological, Elsevier, vol. 42(10), pages 890-910, December.
  12. Xiangdong Xu & Anthony Chen & Lin Cheng, 2013. "Assessing the effects of stochastic perception error under travel time variability," Transportation, Springer, vol. 40(3), pages 525-548, May.
  13. Bahar Biller & Barry L. Nelson, 2008. "Evaluation of the ARTAFIT Method for Fitting Time-Series Input Processes for Simulation," INFORMS Journal on Computing, INFORMS, vol. 20(3), pages 485-498, August.
  14. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  15. Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
  16. Stuart Barber & Guy P. Nason & Bernard W. Silverman, 2002. "Posterior probability intervals for wavelet thresholding," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 189-205, May.
  17. Douglas Moura Miranda & Samuel Vieira Conceição, 2017. "A practical method to calculate probabilities: illustrative example from the electronic industry business," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(5), pages 882-896, April.
  18. Donald Lien & Christopher Stroud & Keying Ye, 2013. "Comparing VaR Approximation Methods Which Use the First Four Moments as Inputs," Working Papers 0220mss, College of Business, University of Texas at San Antonio.
  19. Narayan Ganesan & Bernhard Hientzsch, 2021. "Estimating Future VaR from Value Samples and Applications to Future Initial Margin," Papers 2104.11768, arXiv.org.
  20. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
  21. Clark, Stephen & Watling, David, 2005. "Modelling network travel time reliability under stochastic demand," Transportation Research Part B: Methodological, Elsevier, vol. 39(2), pages 119-140, February.
  22. Hisseine Saad Mahamat, "undated". "Modeling Moments Of Order Three And Four Of Distribution Of Yields," Review of Socio - Economic Perspectives 201826, Reviewsep.
  23. Richard Stevens, 2003. "Evaluation of methods for interval estimation of model outputs, with application to survival models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(9), pages 967-981.
  24. Patrizia Stucchi & Giorgio Dominese, 2012. "Evolution of Equity Market Risk During the Crisis: Europe, Americas and Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(2), pages 163-178, November.
  25. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
  26. Chen, Huifen & Cheng, Yuyen, 2007. "Non-normality effects on the economic-statistical design of charts with Weibull in-control time," European Journal of Operational Research, Elsevier, vol. 176(2), pages 986-998, January.
  27. Muino, J.M. & Voit, E.O. & Sorribas, A., 2006. "GS-distributions: A new family of distributions for continuous unimodal variables," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2769-2798, June.
  28. Xu, Xiangdong & Chen, Anthony & Cheng, Lin & Lo, Hong K., 2014. "Modeling distribution tail in network performance assessment: A mean-excess total travel time risk measure and analytical estimation method," Transportation Research Part B: Methodological, Elsevier, vol. 66(C), pages 32-49.
  29. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
  30. Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2016. "Estimation of dynamic VaR using JSU and PIV distributions," Risk Management, Palgrave Macmillan, vol. 18(2), pages 111-134, August.
  31. Soukissian, Takvor, 2013. "Use of multi-parameter distributions for offshore wind speed modeling: The Johnson SB distribution," Applied Energy, Elsevier, vol. 111(C), pages 982-1000.
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