Quotation Hofmarcher, Paul, Hornik, Kurt, Löcker, Florian. 2010. First Significant Digit Distributions and the Credit Crisis. JSM 2010 - Joint Statistical Meeting, Vancouver, Kanada, 31.07.-05.08..


RIS


BibTeX

Abstract

The distribution of first digits (FSD) in number series obtained from different data sets of natural and socio-economic processes show certain patterns. These patterns are marked by an asymmetry in favor of small digits. In this work we use empirical likelihood methods to estimate the First Significant Digit Distribution (FSDD) of the Credit Default Swap (CDS) market during the financial crisis 2007-2009. The resulting FSDD and Mean Preserving Spreads are used to model price uncertainty on this largest credit derivative market. During the last financial crisis we identify two periods of high uncertainty: One at the beginning of the crisis (Sep. 2007) and one at the time around the Lehman default. These periods can be interpreted in the way, that market participants were not able to identify the price generating distribution.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title First Significant Digit Distributions and the Credit Crisis
Event JSM 2010 - Joint Statistical Meeting
Year 2010
Date 31.07.-05.08.
Country Canada
Location Vancouver
URL http://www.amstat.org/meetings/jsm/2010/onlineprogram/index.cfm?fuseaction=abstract_details&abstractid=307781

Associations

People
Hofmarcher, Paul (Details)
Hornik, Kurt (Details)
Löcker, Florian (Former researcher)
Organization
Institut f. Präsides SO (Details)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Google Scholar: Search