Search Results - subject:"Student's t Distribution"

Parental preference for investment risk incites family strife

Forbes, Scott - In: Journal of bioeconomics 14 (2012) 2, pp. 115-128

Persistent link: https://www.econbiz.de/10009619856

A comparative study of two models SV with MCMC algorithm

Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - In: Review of quantitative finance and accounting 38 (2012) 4, pp. 479-493

Persistent link: https://www.econbiz.de/10009574060

Moments of the generalized hyperbolic distribution

Scott, David; Würtz, Diethelm; Dong, Christine; Tran, Thanh - In: Computational Statistics 26 (2011) 3, pp. 459-476

Persistent link: https://www.econbiz.de/10009324908

Conditional Dependency of Financial Series: The Copula-GARCH Model

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002

paper. In that paper, a so-called skewed Student-t distribution is derived. This distribution, while retaining the desired …) determine the expression of skewness and kurtosis of the skewed Student-t distribution, show how the cumulative distribution … Student-t distribution should get parametrized. A number of studies have considered alternative skewed Student-t distributions …

Persistent link: https://www.econbiz.de/10005248406

Evaluating strategic directional probability predictions of exchange rates

Pollock, Andrew C.; Macaulay, Alex; Thomson, Mary E.; … - In: International Journal of Applied Management Science 2 (2010) 3, pp. 282-304

The current paper aims to examine strategic predictions (with forecast horizons greater than six months) via the empirical probability (EP) technique. This technique was proposed initially to examine short-term tactical predictions (with forecast horizons less than three months), as set out in...

Persistent link: https://www.econbiz.de/10008755258

Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae

Ignatieva, Katja; Platen, Eckhard - In: Asia-Pacific Financial Markets 17 (2010) 3, pp. 261-302

Persistent link: https://www.econbiz.de/10008678550

A Student-t Full Factor Multivariate GARCH Model

Diamantopoulos, K.; Vrontos, I. - In: Computational Economics 35 (2010) 1, pp. 63-83

Persistent link: https://www.econbiz.de/10008458347

Equilibrium preference free pricing of derivatives under the generalized beta distributions

Ikeda, Masayuki - In: Review of derivatives research 13 (2010) 3, pp. 297-332

Persistent link: https://www.econbiz.de/10008695881

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

-tailed distributions such as the Student-t distribution and generalized error distribution (GED). A Bayesian method via Markov-chain Monte …

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

La distribución beta generalizada de segunda especie como modelo de la distribución personal de la renta en España

Prieto Alaiz, Mercedes; García Pérez, Carmelo - In: Estadística española : revista del Instituto Nacional … 51 (2009) 170, pp. 33-62

Persistent link: https://www.econbiz.de/10003986142