Abstract Details
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Activity Number:
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112
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 4, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Risk Analysis
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Abstract #312642
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Title:
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Statistical Analysis of Proportional Data with Many Zeros in Financial Applications
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Author(s):
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Kaisheng Song*+
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Companies:
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University of North Texas
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Keywords:
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proportional data ;
zeros ;
mixed-type
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Abstract:
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Many financial applications deal with continuous proportional data with many zeros. These mixed-type data often result from investment decisions such as asset allocation of households or financial institutions and the choice of different hedging instruments by oil and gas producers. In this talk, we present a new statistically consistent method for analyzing such data. Its finite sample performance is demonstrated by numerical experiments. Real data analysis is also presented.
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Authors who are presenting talks have a * after their name.
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