IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "A generalization of the beta distribution with applications"

by McDonald, James B. & Xu, Yexiao J.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Wojciech Charemza & Carlos Diaz & Svetlana Makarova, 2014. "Term Structure Of Inflation Forecast Uncertainties And Skew Normal Distributions," Discussion Papers in Economics 14/01, Department of Economics, University of Leicester.
  2. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  3. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Duangkamon Chotikapanich & William E. Griffiths, 2000. "Estimating Lorenz Curves Using a Dirichlet Distribution," Econometric Society World Congress 2000 Contributed Papers 1215, Econometric Society.
  5. Elabed, Ghada & Carter, Michael R., 2013. "Basis Risk and Compound-Risk Aversion: Evidence from a WTP Experiment in Mali," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150353, Agricultural and Applied Economics Association.
  6. Eugenio J. Miravete, . "Quantity Discounts for Taste-Varying Consumers," Penn CARESS Working Papers e8c875d525675df452b9522a2, Penn Economics Department.
  7. Yang, Xipei & Frees, Edward W. & Zhang, Zhengjun, 2011. "A generalized beta copula with applications in modeling multivariate long-tailed data," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 265-284, September.
  8. David Warner & Prasada Rao & William E. Griffiths & Duangkamon Chotikapanich, 2011. "Global Inequality: Levels and Trends, 1993-2005," Discussion Papers Series 436, School of Economics, University of Queensland, Australia.
  9. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  10. Andrew M. Jones & James Lomas & Nigel Rice, 2014. "Applying Beta‐Type Size Distributions To Healthcare Cost Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(4), pages 649-670, 06.
  11. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
  12. Michele Caivano & Andrew Harvey, 2014. "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers) 954, Bank of Italy, Economic Research and International Relations Area.
  13. Schluter, Christian & Trede, Mark, 2002. "Tails of Lorenz curves," Journal of Econometrics, Elsevier, vol. 109(1), pages 151-166, July.
  14. Duangkamon Chotikapanich & William E. Griffiths & D.S. Prasada Rao, 2005. "Estimating and Combining National Income Distributions using Limited Data," Department of Economics - Working Papers Series 926, The University of Melbourne.
  15. Duangkamon Chotikapanich & William E Griffiths & D.S. Prasada Rao & Vicar Valencia, 2009. "Global Income Distribution and Inequality: 1993 and 2000," Department of Economics - Working Papers Series 1062, The University of Melbourne.
  16. Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
  17. Michael B. Gordy, 1998. "A generalization of generalized beta distributions," Finance and Economics Discussion Series 1998-18, Board of Governors of the Federal Reserve System (U.S.).
  18. Dorothée Boccanfuso & Bernard Decaluwé & Luc Savard, 2003. "Poverty, Income Distribution and CGE Modeling: Does the Functional Form of Distribution Matter?," Cahiers de recherche 0332, CIRPEE.
  19. Jenkins, Stephen P., 2007. "Inequality and the GB2 income distribution," ISER Working Paper Series 2007-12, Institute for Social and Economic Research.
  20. Kleiber, Christian, 1996. "Dagum vs. Singh-Maddala income distributions," Economics Letters, Elsevier, vol. 53(3), pages 265-268, December.
  21. Masato Okamoto, 2012. "Evaluation of the goodness of fit of new statistical size distributions with consideration of accurate income inequality estimation," Economics Bulletin, AccessEcon, vol. 32(4), pages 2969-2982.
  22. Christian Kleiber, 2007. "A Guide to the Dagum Distributions," Working papers 2007/23, Faculty of Business and Economics - University of Basel.
  23. Fabio Clementi & Mauro Gallegati & Giorgio Kaniadakis, 2010. "A model of personal income distribution with application to Italian data," Empirical Economics, Springer, vol. 39(2), pages 559-591, October.
  24. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43.
  25. Saralees Nadarajah & Samuel Kotz, 2006. "Beta trigonometric distributions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 5(3), pages 207-224, December.
  26. Sarabia, J. -M. & Castillo, Enrique & Slottje, Daniel J., 1999. "An ordered family of Lorenz curves," Journal of Econometrics, Elsevier, vol. 91(1), pages 43-60, July.
  27. Emma Sarno, 1998. "A variance stabilizing transformation for the Gini concentration ratio," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(1), pages 77-91, April.
  28. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  29. Sarabia, José María & Jordá, Vanesa, 2014. "Explicit expressions of the Pietra index for the generalized function for the size distribution of income," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 582-595.
  30. Pinkovskiy, Maxim L., 2014. "World welfare is rising: estimation using nonparametric bounds on welfare measures," Staff Reports 662, Federal Reserve Bank of New York.
  31. Filippo Domma & Pier Perri, 2009. "Some developments on the log-Dagum distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 205-220, July.
  32. Ramos, Arturo & Sanz-Gracia, Fernando, 2015. "US city size distribution revisited: Theory and empirical evidence," MPRA Paper 64051, University Library of Munich, Germany.
  33. Boccanfuso, Dorothée & Richard, Patrick & Savard, Luc, 2013. "Parametric and nonparametric income distribution estimators in CGE micro-simulation modeling," Economic Modelling, Elsevier, vol. 35(C), pages 892-899.
  34. James B. McDonald & Hieu Nguyen, 2012. "Heteroskedasticity and Distributional Assumptions in the Censored Regression Model," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-09, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  35. Samuel Dastrup & Rachel Hartshorn & James McDonald, 2007. "The impact of taxes and transfer payments on the distribution of income: A parametric comparison," Journal of Economic Inequality, Springer, vol. 5(3), pages 353-369, December.
  36. Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José María Sarabia, 2011. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2011-05, Henley Business School, Reading University.
  37. Peter Grösche & Carsten Schröder, 2014. "On the redistributive effects of Germany’s feed-in tariff," Empirical Economics, Springer, vol. 46(4), pages 1339-1383, June.
  38. Fabio Clementi & Mauro Gallegati & Giorgio Kaniadakis, 2012. "A new model of income distribution: the κ-generalized distribution," Journal of Economics, Springer, vol. 105(1), pages 63-91, January.
  39. Agostino Tarsitano, 2004. "A new class of inequality measures based on a ratio of L-statistics," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 137-160.
  40. Florent Bresson, 2010. "A general class of inequality elasticities of poverty," Journal of Economic Inequality, Springer, vol. 8(1), pages 71-100, March.
  41. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  42. Gholamreza Hajargsht, William E. Griffiths, Joseph Brice, D.S. Prasada Rao, Duangkamon Chotikapanich, 2012. "Inference for Income Distributions Using Grouped Data," Department of Economics - Working Papers Series 1140, The University of Melbourne.
  43. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
  44. Gholamreza Hajargsht & William E. Griffiths & Joseph Brice & D.S. Prasada Rao & Duangkamon Chotikapanich, 2011. "GMM Estimation of Income Distributions from Grouped Data," Department of Economics - Working Papers Series 1129, The University of Melbourne.
  45. Shao, Quanxi & Ip, Wai-Cheung & Wong, Heung, 2004. "Determination of embedded distributions," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 317-334, June.
  46. Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
  47. Maxim Pinkovskiy & Xavier Sala-i-Martin, 2009. "Parametric Estimations of the World Distribution of Income," NBER Working Papers 15433, National Bureau of Economic Research, Inc.
  48. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  49. Michał Brzeziński, 2013. "Parametric modelling of income distribution in Central and Eastern Europe," Working Papers 2013-31, Faculty of Economic Sciences, University of Warsaw.
  50. Elabed, Ghada & Carter, Michael R., 2015. "Compound-risk aversion, ambiguity and the willingness to pay for microinsurance," Journal of Economic Behavior & Organization, Elsevier, vol. 118(C), pages 150-166.
  51. D. Boccanfuso & F. Cabral & F. Cissé & A. Diagne & L. Savard, 2003. "Pauvreté et distribution de revenus au Sénégal: une approche par la modélisation en équilibre général calculable micro-simulé," Cahiers de recherche 0333, CIRPEE.
  52. Kleiber, Christian, 1997. "The existence of population inequality measures," Economics Letters, Elsevier, vol. 57(1), pages 39-44, November.
  53. Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
  54. BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
  55. Sun, Jiafeng & Frees, Edward W. & Rosenberg, Marjorie A., 2008. "Heavy-tailed longitudinal data modeling using copulas," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 817-830, April.
  56. McDonald, James B. & Xu, Yexiao J., 1996. "A comparison of semi-parametric and partially adaptive estimators of the censored regression model with possibly skewed and leptokurtic error distributions," Economics Letters, Elsevier, vol. 51(2), pages 153-159, May.
  57. C. J. Adcock, 2005. "Exploiting skewness to build an optimal hedge fund with a currency overlay," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 445-462.
  58. Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.
  59. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  60. Andriëtte Bekker & Jacobus Roux & Thu Pham-Gia, 2009. "The type I distribution of the ratio of independent “Weibullized” generalized beta-prime variables," Statistical Papers, Springer, vol. 50(2), pages 323-338, March.
  61. Gholamreza Hajargasht and William E. Griffiths, 2012. "Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance," Department of Economics - Working Papers Series 1149, The University of Melbourne.
  62. McDonald, James B., 1996. "An application and comparison of some flexible parametric and semi-parametric qualitative response models," Economics Letters, Elsevier, vol. 53(2), pages 145-152, November.
  63. Hasegawa, Hikaru & Kozumi, Hideo, 2003. "Estimation of Lorenz curves: a Bayesian nonparametric approach," Journal of Econometrics, Elsevier, vol. 115(2), pages 277-291, August.
  64. Miravete, Eugenio J, 2000. "Estimating Demand for Local Telephone Service with Asymmetric Information and Optional Calling Plans," CEPR Discussion Papers 2635, C.E.P.R. Discussion Papers.
  65. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
  66. Chotikapanich, Duangkamon & Griffiths, William E. & Rao, D.S. Prasada & Karunarathne, Wasana, 2014. "Income Distributions, Inequality, and Poverty in Asia, 1992–2010," ADBI Working Papers 468, Asian Development Bank Institute.
  67. Hajargasht, Gholamreza & Griffiths, William E., 2013. "Pareto–lognormal distributions: Inequality, poverty, and estimation from grouped income data," Economic Modelling, Elsevier, vol. 33(C), pages 593-604.
  68. Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne.
  69. Larsen, Bradley J. & Oswald, Florian & Reich, Gregor & Wunderli, Dan, 2012. "A test of the extreme value type I assumption in the bus engine replacement model," Economics Letters, Elsevier, vol. 116(2), pages 213-216.
  70. Ramos, Arturo, 2015. "Are the log-growth rates of city sizes normally distributed? Empirical evidence for the US," MPRA Paper 65584, University Library of Munich, Germany.
  71. Almas Heshmati, 2015. "Inequalities and Their Measurement," Working Papers id:7311, eSocialSciences.
  72. Antoni Bosch-Domènech & José Garcia Montalvo & Rosemarie Nagel & Albert Satorra, 2004. "Finite mixture analysis of beauty-contest data using generalised beta distributions," Economics Working Papers 737, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2010.
  73. Puente-Ajovin, Miguel & Ramos, Arturo, 2015. "An improvement over the normal distribution for log-growth rates of city sizes: Empirical evidence for France, Germany, Italy and Spain," MPRA Paper 67471, University Library of Munich, Germany.
  74. Dorothée Boccanfuso & Bernard Decaluwé & Luc Savard, 2008. "Poverty, income distribution and CGE micro-simulation modeling: Does the functional form of distribution matter?," Journal of Economic Inequality, Springer, vol. 6(2), pages 149-184, June.
  75. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
  76. Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios, 2015. "Flexible statistical models: Methods for the ordering and comparison of theoretical distributions," MPRA Paper 63620, University Library of Munich, Germany.
  77. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
  78. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1, December.
  79. Masato Okamoto, 2014. "A flexible descriptive model for the size distribution of incomes," Economics Bulletin, AccessEcon, vol. 34(3), pages 1600-1610.
  80. Ilenia Epifani & Rosella Nicolini, 2009. "On the density distribution across space: a probabilistic approach," UFAE and IAE Working Papers 776.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  81. Masayuki Ikeda, 2010. "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, vol. 13(3), pages 297-332, October.
  82. Kabir K. Dutta & David F. Babbel, 2002. "On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates," Center for Financial Institutions Working Papers 02-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
  83. Giovanni Maria Giorgi & Paola Palmitesta & Corrado Provasi, 2006. "Asymptotic and bootstrap inference for the generalized Gini indices," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 107-124.
  84. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
  85. John Dagsvik & Zhiyang Jia & Bjørn Vatne & Weizhen Zhu, 2013. "Is the Pareto–Lévy law a good representation of income distributions?," Empirical Economics, Springer, vol. 44(2), pages 719-737, April.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.