Now showing items 1-5 of 5

  • Firm size and concentration inequality: A flexible extension of Gibrat’s law 

    Cortés, Lina; Lozada, Juan; Perote, Javier (Universidad EAFIT; Escuela de Economía y Finanzas, 2019-03-06)
    The study assesses the performance of the lognormal distribution (Gibrat, 1931) compared with its generalization in terms of a semi-nonparametric (SNP) expansion, the log-SNP distribution, for determining economic ...
  • Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach 

    Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier (Universidad EAFIT; Escuela de Economía y Finanzas, 2017-12-05)
    This paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the prices of options for West Texas Intermediate (WTI) crude oil that were traded in the period between ...
  • Measuring firm size distribution with semi-nonparametric densities 

    Cortés, Lina; Mora-Valencia, Andrés; Perote, Javier (Universidad EAFIT; Escuela de Economía y Finanzas, 2017-01-16)
    In this article, we propose a new methodology based on a (log) semi-nonparametric (log- SNP) distribution that nests the lognormal and enables better fits in the upper tail of the distribution through the introduction of ...
  • The productivity of top researchers: A semi-nonparametric approach 

    Cortés, Lina M.; Perote, Javier; Mora-Valencia, Andrés (Universidad EAFIT; Escuela de Economía y Finanzas, 2016-03-02)
    Research productivity distributions exhibit heavy tails because it is common for a few researchers to accumulate the majority of the top publications and their corresponding citations. Measurements of this productivity ...
  • Uncertainty in Electricity Markets from a seminonparametric Approach 

    Trespalacios, Alfredo; Cortés, Lina M.; Perote, Javier (Universidad EAFIT; Escuela de Economía y Finanzas, 2019-06-04)
    The spot price of electricity is highly skewed and heavy-tailed, as a result of the interaction of different variables that affect that market. Such characteristics impact the design of power plants with different ...