Results 11 to 20 of about 2,075 (203)
Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns
Austrian Journal of Statistics, 2016 A generalization of the hyperbolic secant distribution which allows for both skewness and leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of
Matthias Fischer
doaj +1 more source
Analysis of the Romanian Capital Market Using the Fractal Dimension
Fractal and Fractional, 2022 The surrounding reality can be analyzed due to the interaction of complex nonlinear dynamic systems. The article’s main objective is to develop and analyze the models that best describe the efficient behavior of the Romanian capital market that generated
Valentin Radu +5 more
doaj +1 more source
Results in Physics, 2021 This projected work applies the generalized exponential rational function method to extract the complex, trigonometric, hyperbolic, dark bright soliton solutions of the cubic nonlinear Schrödinger’s equation.
Yi-Xia Li +4 more
doaj +1 more source
Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data [PDF]
Yugoslav Journal of Operations Research, 2018 The statistical methods for the financial returns play a key role in measuring the goodness-of-fit of a given distribution to real data. As is well known, the normal inverse Gaussian (NIG) and generalized hyperbolic skew-t (GHST) distributions have been ...
Panahi Hanieh
doaj +1 more source
A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Forecasting, 2022 Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price ...
Jules Clément Mba +2 more
doaj +1 more source
On the Basel Liquidity Formula for Elliptical Distributions
Risks, 2018 A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L (profit-and-loss) are ...
Janine Balter, Alexander J. McNeil
doaj +1 more source
Modeling Insurance Claim Distribution via Mixture Distribution and Copula [PDF]
تحقیقات مالی, 2017 This paper analyses whether joint probability distribution function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via mixture distribution proposed and copula concept.
Saeed Bajalan +2 more
doaj +1 more source
Statistical Analysis of the Exchange Rate of Bitcoin.
PLoS ONE, 2015 Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar.
Jeffrey Chu +2 more
doaj +1 more source
Mathematics, 2023 Financial time series and other human-driven, non-natural processes are known to exhibit fat-tailed outcome distributions. That is, such processes demonstrate a greater tendency for extreme outcomes than the normal distribution or other natural ...
Ralph Vince
doaj +1 more source
Mathematics, 2023 Hyperbolic complete monotonicity property (HCM) is a way to check if a distribution is a generalized gamma (GGC), hence is infinitely divisible. In this work, we illustrate to which extent the Mittag-Leffler functions Eα,α∈(0,2], enjoy the HCM property ...
Nuha Altaymani, Wissem Jedidi
doaj +1 more source