Two – Dimensional Modelling of Financial Data

The article deals with modelling of two-dimensional financial data set using Weibull distribution extended to two-dimensional setting. The generalization in two dimensions is not direct, it goes through representation of one-dimensional asymmetric Laplace distribution. The characteristics of the new distribution are described, and parameters are estimated using the method of moments. Statistical package R is used to perform numerical search. At the end, the application of this new two- dimensional family of distributions is discussed.

MoreLess

Year of publication:	2025
Authors:	Jurić, Višnja
Published in:	ENTRENOVA - ENTerprise REsearch InNOVAtion. - ISSN 2706-4735. - Vol. 10.2025, 1, p. 73-83
Publisher:	Zagreb : IRENET - Society for Advancing Innovation and Research in Economy
Subject:	method of moments \| bivariate asymmetric Weibull distribution \| currency exchange rates \| application

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.54820/entrenova-2024-0008 [DOI] RePEc:zbw:entr24:317951 [RePEc]
Classification:	G30 - Corporate Finance and Governance. General ; G32 - Financing Policy; Capital and Ownership Structure
Source:	EconStor

Persistent link: https://www.econbiz.de/10015403949