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...
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| Other Authors: | , , , |
| Format: | article |
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2020
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| Online Access: | http://hdl.handle.net/11073/21419 |
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| _version_ | 1864513443659251712 |
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| author | Afuecheta, Emmanuel |
| author2 | Semeyutin, Artur Chan, Stephen Nadarajah, Saralees Ruiz, Diego Andrés Pérez |
| author2_role | author author author author |
| author_facet | Afuecheta, Emmanuel Semeyutin, Artur Chan, Stephen Nadarajah, Saralees Ruiz, Diego Andrés Pérez |
| author_role | author |
| dc.creator.none.fl_str_mv | Afuecheta, Emmanuel Semeyutin, Artur Chan, Stephen Nadarajah, Saralees Ruiz, Diego Andrés Pérez |
| dc.date.none.fl_str_mv | 2020 2021-04-19T04:27:06Z 2021-04-19T04:27:06Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Afuecheta, E., Semeyutin, A., Chan, S., Nadarajah, S., & Andrés Pérez Ruiz, D. (2020). Compound distributions for financial returns. PLOS ONE, 15(10), e0239652. https://doi.org/10.1371/journal.pone.0239652 1932-6203 http://hdl.handle.net/11073/21419 10.1371/journal.pone.0239652 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | PLOS |
| dc.relation.none.fl_str_mv | https://doi.org/10.1371/journal.pone.0239652 |
| dc.title.none.fl_str_mv | Compound distributions for financial returns |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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 probability density function, cumulative distribution function, moments and characteristic function. GARCH models with innovations taken to follow the compound distributions are fitted to the data using the method of maximum likelihood. For the sample data considered, we see that all but two of the proposed distributions perform better than two popular distributions. Finally, we perform a simulation study to examine the accuracy of the best performing model. |
| format | article |
| id | aus_b9a1ca44b44bce0255ef87e6ae9a1f04 |
| identifier_str_mv | Afuecheta, E., Semeyutin, A., Chan, S., Nadarajah, S., & Andrés Pérez Ruiz, D. (2020). Compound distributions for financial returns. PLOS ONE, 15(10), e0239652. https://doi.org/10.1371/journal.pone.0239652 1932-6203 10.1371/journal.pone.0239652 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/21419 |
| publishDate | 2020 |
| publisher.none.fl_str_mv | PLOS |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Compound distributions for financial returnsAfuecheta, EmmanuelSemeyutin, ArturChan, StephenNadarajah, SaraleesRuiz, Diego Andrés PérezIn 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 probability density function, cumulative distribution function, moments and characteristic function. GARCH models with innovations taken to follow the compound distributions are fitted to the data using the method of maximum likelihood. For the sample data considered, we see that all but two of the proposed distributions perform better than two popular distributions. Finally, we perform a simulation study to examine the accuracy of the best performing model.PLOS2021-04-19T04:27:06Z2021-04-19T04:27:06Z2020Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfAfuecheta, E., Semeyutin, A., Chan, S., Nadarajah, S., & Andrés Pérez Ruiz, D. (2020). Compound distributions for financial returns. PLOS ONE, 15(10), e0239652. https://doi.org/10.1371/journal.pone.02396521932-6203http://hdl.handle.net/11073/2141910.1371/journal.pone.0239652en_UShttps://doi.org/10.1371/journal.pone.0239652oai:repository.aus.edu:11073/214192024-08-22T12:02:08Z |
| spellingShingle | Compound distributions for financial returns Afuecheta, Emmanuel |
| status_str | publishedVersion |
| title | Compound distributions for financial returns |
| title_full | Compound distributions for financial returns |
| title_fullStr | Compound distributions for financial returns |
| title_full_unstemmed | Compound distributions for financial returns |
| title_short | Compound distributions for financial returns |
| title_sort | Compound distributions for financial returns |
| url | http://hdl.handle.net/11073/21419 |