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Modeling heavy tail property of financial asset returns with skewed generalized t– distribution

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F18%3A00326716" target="_blank" >RIV/68407700:21340/18:00326716 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Modeling heavy tail property of financial asset returns with skewed generalized t– distribution

  • Original language description

    The heavy tail property of financial asset returns is well known and it can be modeled by alpha stable distributions or some distribution from the generalized hyperbolic distribution family. However, the first group may often have too heavy tails and the second group exhibits too light ends at times as they are sometime called semi-heavy tail. In this paper, we examine the ability of several distributions from the skewed generalized t-distribution class to capture the fat tail feature of a group of stock market indices. The chosen distributions form the group are skewed generalized t-distribution, and its special cases: generalized t-distribution, skewed t-distribution and t-distribution. In our analysis, first we use maximum likelihood estimation method to estimate parameters of each distribution from data.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    36th International Conference Mathemtical Methods in Economics: Conference Proceedings

  • ISBN

    978-80-7378-371-6

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    282-287

  • Publisher name

    MATFYZPRESS, vydavatelství Matematicko-fyzikální fakulty UK

  • Place of publication

    Praha

  • Event location

    Jindřichův Hradec

  • Event date

    Sep 12, 2018

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article