Search Results - subject:"Mixture of Normal Distributions"

Bayesian analysis of stochastic volatility models with mixture-of-normal distributions

Asai, Manabu - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2579-2596

volatility is normal. This article analyzes SV models with a mixture-of-normal distributions in order to compare with other heavy … mixture, the mixture-of-normal distributions give a better fit to the Yen/Dollar exchange rate than other models. The effects …

Persistent link: https://www.econbiz.de/10010870275

Stylized Facts of Daily Return Series and the Hidden Markov Model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan - Economics Institute for Research (SIR), … - 1996

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

Persistent link: https://www.econbiz.de/10005649155