Compound distributions for financial returns

In this paper, we propose six Student’s t based compound distributions where the scale parameter is randomized using functional forms of the half normal, Fréchet, Lomax, Burr III, inverse gamma and generalized gamma distributions. For each of the proposed distribution, we give expressions for the pr...

Descripción completa

Detalles Bibliográficos
Autores principales: Afuecheta, Emmanuel, Semeyutin, Artur, Chan, Stephen, Nadarajah, Saralees, Andrés Pérez Ruiz, Diego
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2020
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7531861/
https://www.ncbi.nlm.nih.gov/pubmed/33006975
http://dx.doi.org/10.1371/journal.pone.0239652

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7531861/
https://www.ncbi.nlm.nih.gov/pubmed/33006975
http://dx.doi.org/10.1371/journal.pone.0239652

Ejemplares similares