We consider the problem of testing hypotheses on the difference of the coefficients of variation from several two-armed experiments with normally distributed outcomes. In particular, we deal with testing the homogeneity of the difference of the coefficients of variation and testing the equality...

This article examines a wide variety of popular volatility models for stock index return, including the random walk (RW), autoregressive, generalized autoregressive conditional heteroscedasticity (GARCH), and asymmetric GARCH models with normal and non-normal (Student's t and generalized error)...

The optimization of the recently generalized entropy of the form Sq ≡ 1 − ∝dx[p(x)]q∼/(q−1) with the constraints ∝dxp(x) = 1 and 〈x2〉q ≡ ∝dxx2[p(x)]q = 1 yields the Student's t-distribution for q > 1, and the r-distribution for q < 1.

Hidden Markov models have been applied in many different fields, including econometrics and finance. However, the lion's share of the investigated models concerns Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including models with unequal...

This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...

Hidden Markov models have been applied in many different fields during the last decades, including econometrics and finance. However, the lion’s share of the investigated models is Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including...

The main aim of this research is to examine existence of day of the week effect on the stock market indices in five countries from South Eastern Europe (SEE): Bosnia and Herzegovina, Bulgaria, Croatia, Macedonia and Serbia in the most recent period which is characterized by the bear market (from...