Results 11 to 20 of about 17,511,424 (267)

MODEL VOLATILITAS ARCH(1) DENGAN RETURN ERROR BERDISTRIBUSI SKEWED STUDENT-T [PDF]

Jurnal MIPA, 2016
Model volatilitas Autoregressive Conditional Heteroscedasticity (ARCH)lag 1, dimana return error berdistribusi skewed Student-t, diaplikasikan untuk runtun waktu return kurs beli harian Euro (EUR) dan Japanese Yen (JPY) terhadap Indonesian Rupiah (IDR ...
E. D. Saputri, D. B. Nugroho, A. Setiawan   +2 more
doaj   +1 more source

Out of sample value-at-risk and backtesting with the standardized pearson type-IV skewed distribution [PDF]

Panoeconomicus, 2013
This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution.
Stavroyiannis Stavros, Zarangas Leonidas
doaj   +1 more source

A Novel Robust Rauch-Tung-Striebel Smoother Based on Slash and Generalized Hyperbolic Skew Student's T-Distributions [PDF]

2018 21st International Conference on Information Fusion (FUSION), 2018
In this paper, a novel robust Rauch-Tung-Striebel smoother is proposed based on the Slash and generalized hyperbolic skew Student's t-distributions. A novel hierarchical Gaussian state-space model is constructed by formulating the Slash distribution as a Gaussian scale mixture form and formulating the generalized hyperbolic skew Student's t ...
Huang, Y., Zhang, Y., Zhao, Y., Mihaylova, L.S., Chambers, J.   +4 more
openaire   +3 more sources

Inference for grouped data with a truncated skew-Laplace distribution [PDF]

, 2010
The skew-Laplace distribution has been used for modelling particle size with point observations. In reality, the observations are truncated and grouped (rounded).
Rubio, Francisco J., Steel, Mark F. J.
core   +1 more source

Forecasting daily conditional volatility and h-step-ahead short and long Value-at-Risk accuracy: Evidence from financial data

Journal of Finance and Data Science, 2016
In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH).
Samir Mabrouk
doaj   +1 more source

On Exponentiated Skewed Student T Error Distribution on Some Volatility Models: Evidence of Standard and Poor-500 Index Return

Asian Journal of Applied Sciences, 2017
Samson Agboola, Hussaini Garba Dikk, Osebekwin Ebenezer A   +2 more
exaly   +2 more sources

Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution [PDF]

Annals of Operations Research, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies

Entropy, 2023
In this study, we propose three portfolio strategies: allocation based on the normality assumption, the skewed-Student t distribution, and the entropy pooling (EP) method for 14 small- and large-capitalization (cap) cryptocurrencies.
Jules Clement Mba, Ehounou Serge Eloge Florentin Angaman   +1 more
doaj   +1 more source

A Study of Literature on Robust Skew Student T Distribution for Parameter Estimation [PDF]

International Journal of Wireless Communications and Mobile Computing, 2017
This study aim of this research is to propose three new distributions for the distribution of stock returns and using those distributions proposed and estimates the parameters of stock returns. This proposed distribution will be dealt with in the area of some statistical properties.
openaire   +1 more source

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

Sosyal Ekonomik Araştırmalar Dergisi, 2009
Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik yapı ile nitelendirildiklerini göstermiştir.
Mert Ural
doaj   +4 more sources