Results 241 to 250 of about 15,002 (270)

A two-regime threshold model with conditional skewed Student t distributions for stock returns

Economic Modelling, 2014
Abstract This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows capturing time variation in the conditional distribution of returns, as well as higher order moments. An application of the model to daily U.S.
Daniele Massacci
exaly   +4 more sources

Finite mixtures of multivariate skew Student’s t distributions with independent logistic skewing functions

Brazilian Journal of Probability and Statistics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kwong, Hok Shing, Nadarajah, Saralees
openaire   +1 more source

On Exponentiated Skewed Student t Error Distribution on Some Heteroscedastic Models: Evidence of Nigeria Stock Exchang

Journal of Statistics Applications & Probability, 2018
In this paper, a new error innovation distribution was proposed in estimating some heteroscedasticity models. A new error innovation distribution was proposed called Exponentiated skewed student t distribution (ESSTD) and compared with the existing error
S. Agboola, H. G. Dikko, O. E. Asiribo
openaire   +3 more sources

Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution

Communications in Statistics - Simulation and Computation, 2021
This paper proposes a flexible stochastic volatility model with jumps and leverage effect by introducing a generalized hyperbolic skew Student’s t-distribution (GHST), which can capture the skewnes...
Feng-Chang Xie, Ya-Yu Shen
openaire   +1 more source

Robust Bayesian polygene mapping using skewed student-t distributions and finite polygenic models

1999
Ina Hoeschele
exaly   +2 more sources

Estimating Stock Market Volatility Using Exponential Garch Model with Skewed Student- T Distribution

Commerce & Business Researcher, 2021
The aim of the study is to empirically investigate the performance of the EGARCH (1, 1) volatility model with the normal, skew-normal, and student t and skewed student t distributions on the NSE Nifty Fifty Index. Ten years of daily closing rates over the period of January 2010 to December 2020, for a total of 2730 observations, have been analyzed ...
Regina Sibi Cleetus, Syamraj KP
openaire   +1 more source

The Generalized Hyperbolic Skew Student's t-Distribution

Journal of Financial Econometrics, 2006
In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student’s t-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only subclass of the GH family of distributions having this property.
openaire   +1 more source

Maximum likelihood inference for mixtures of skew Student-t-normal distributions through practical EM-type algorithms

Statistics and Computing, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hsiu J. Ho, Saumyadipta Pyne, Tsung-I Lin   +2 more
openaire   +2 more sources

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution [PDF]

Computational Statistics & Data Analysis, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jouchi Nakajima, Yasuhiro Omori
openaire   +3 more sources

STATISTICAL PROPERTIES AND APPLICATIONS OF TRANSMUTED SKEW STUDENT t DISTRIBUTION

In this study, a modified 2-parameter skew t distribution called the transmuted skew student t distribution (TSStD) was presented. Some statistical and reliability properties of TSStD such as the quantile function, the raw moments, and the moment generating function (among others), were derived.
John, David Ikwuoche, Stephen, Mathew
openaire   +1 more source