Results 21 to 30 of about 15,002 (270)

Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods

International Journal of Financial Studies, 2022
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data.
Katleho Makatjane, Tshepiso Tsoku
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

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

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   +2 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

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   +3 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

Polynomial adjusted Student-t densities for modeling asset returns [PDF]

, 2022
We present a polynomial expansion of the standardized Student-t distribution. Our density, obtained through the polynomial adjusted method in Bagnato, Potì and Zoia (2015), is an extension of the Gram-Charlier density in Jondeau and Rockinger (2001).
Ñíguez, T.M., León, Á.
core   +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