Title :
Quantile-Based Distributions and the Modelling: Methodology and Application
Author :
Yang Jie ; Zhang Shaozong
Author_Institution :
Sch. of Econ. & Manage., Yunnan Normal Univ., Kunming, China
Abstract :
In 2004, Deng and Jiang presented two new probabilistic models based on two classes of new distribution proposed by Jiang (2000). In this paper we investigate how well these two new models work for real financial series in Chinese foreign exchange market, using the data from both USD and EUR exchange data. We find that the new models can provide quite good fitting in these empirical studies.
Keywords :
foreign exchange trading; statistical distributions; Chinese foreign exchange market; EUR exchange data; USD exchange data; probabilistic models; quantile-based distributions; real financial series; Displays; Distribution functions; Exchange rates; Gaussian distribution; Mathematical model; Probability distribution; Random variables; Statistical analysis; Stochastic processes; Stock markets;
Conference_Titel :
Information Engineering and Computer Science, 2009. ICIECS 2009. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4994-1
DOI :
10.1109/ICIECS.2009.5365075
