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

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

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

Projekt

—

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

36th International Conference Mathemtical Methods in Economics: Conference Proceedings

ISBN

978-80-7378-371-6

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

282-287

Název nakladatele

MATFYZPRESS, vydavatelství Matematicko-fyzikální fakulty UK

Místo vydání

Praha

Místo konání akce

Jindřichův Hradec

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—