Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/233351| Title: | Modeling baltic market indices: a comparison of models |
| Authors: | Belovas, I. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2019 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the Twelfth Intern. Conf., Minsk, Sept. 18-22, 2019. – Minsk : BSU, 2019. – P. 144-147. |
| Abstract: | In this paper we perform a statistical analysis of the returns of Baltic market indices. We construct symmetric α-stable, non-standardized Student’s t and normal-inverse Gaussian models, using maximum likelihood method for the estimation of the parameters of the models. The adequacy of the modeling is evaluated with the Kolmogorov tests for composite hypothesis. The results of the study indicate that the normal-inverse Gaussian model provides the best overall fit for the data |
| URI: | http://elib.bsu.by/handle/123456789/233351 |
| ISBN: | 978-985-566-811-5 |
| Appears in Collections: | 2019. Computer Data Analysis and Modeling : Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 144-147.pdf | 345,79 kB | Adobe PDF | View/Open |
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