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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2020
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| Materias: | |
| 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 |