شماره ركورد كنفرانس :
4160
عنوان مقاله :
APPLICATION OF THE KAPPA DISTRIBUTION IN THE FINANCIAL DATA
پديدآورندگان :
Tabakhpour Langarudy Farhang MastersStudent, Department of Financial Engineering,Lahijan branch, Islamic Azad University, Lahijan, Iran. , Panahi Hanieh 2Assistant Professor, Department of Applied Mathemtics and Statistics,Lahijan branch, Islamic Azad University,
كليدواژه :
Kappa distribution, Heavy tail , Likelihood ratio test.
عنوان كنفرانس :
اولين كنفرانس ملي مدلسازي رياضيات و آمار در مطالعات كاربردي
چكيده فارسي :
It is of great importance for those in charge of managing risk to understand how financial asset returns are distributed.It is well known that financial data often exhibit heavy tails with dependences,which makes the inference more challenging and problematic. In this paper, we consider the Kappa distribution which is a skewed distribution for modeling the stock price data. Applying the estimation method, the unknown parameters are estimated. Since closed-form expressions for the estimators cannot be obtained, we use the numerical procedure for computing them. An example represents the stock pricedata is used to illustrate the proposed results.
