Search Results - subject:"Mixture of Normal Distributions"

Simultaneous control on lead time elements and ordering cost for an inflationary inventory-production model with mixture of normal distributions LTD under finite capacity

Tahami, Hesamoddin; Mirzazadeh, Abolfazl; … - In: RAIRO / Operations research 53 (2019) 4, pp. 1356-1384

Persistent link: https://www.econbiz.de/10012119015

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns

Bhattacharyya, Malay; Madhav R, Siddarth - Volkswirtschaftliche Fakultät, … - 2012

standardized residuals are later alternatively modeled with Mixture of Normal distributions, Extreme Value Theory and other power …

Persistent link: https://www.econbiz.de/10011259375

Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions

Kikuchi, Kentaro - Institute for Monetary and Economic Studies, Bank of Japan - 2012

follow a mixture of normal distributions. This extension allows our model to accommodate vast changes in non-negative yields …

Persistent link: https://www.econbiz.de/10010819391

Pricing and Inference with Mixtures of Conditionally Normal Processes.

Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2007

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

Persistent link: https://www.econbiz.de/10004998849

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

Chen, Rongda; Yu, Lean - In: Economic Modelling 35 (2013) C, pp. 796-804

option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market … multivariate mixture of normal distributions than when they have normal distributions. Moreover, VaR values obtained by using the … factors have normal distributions or multivariate mixture of normal distributions. However, the speed of computation is …

Persistent link: https://www.econbiz.de/10010719359

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804

Persistent link: https://www.econbiz.de/10010336666

Nonlinear Properties of Multifactor Financial Models

Chen, Kim Heng; Jandhyala, Venkata K.; Fotopoulos, … - 2005

This paper provides a comprehensive analysis of the nonlinear properties of multifactor pricing models. Beginning with the generalized geometric Brownian motion, we develop a method whereby the log returns of a set of d-assets or portfolios admit a scale mixture model. This is followed by an...

Persistent link: https://www.econbiz.de/10009444682

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2005

paper a mixture of normal distributions is considered. An interesting feature of the implied factor GARCH model is that some …

Persistent link: https://www.econbiz.de/10008534235

Nonlinear Properties of Multifactor Financial Models

Chen, Kim Heng; Jandhyala, Venkata K.; Fotopoulos, … - In: Review of Applied Economics 1 (2005) 2

Persistent link: https://www.econbiz.de/10005256587

Bayesian modeling of joint and conditional distributions

Norets, Andriy; Pelenis, Justinas - In: Journal of Econometrics 168 (2012) 2, pp. 332-346

In this paper, we study a Bayesian approach to flexible modeling of conditional distributions. The approach uses a flexible model for the joint distribution of the dependent and independent variables and then extracts the conditional distributions of interest from the estimated joint...

Persistent link: https://www.econbiz.de/10010577522