Browsing by Author "77aae5a6-e69b-44e2-9c32-bb8db6739d5f"
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Compound distributions for financial returns
Afuecheta, Emmanuel; Semeyutin, Artur; Chan, Stephen; Nadarajah, Saralees; Ruiz, Diego Andrés Pérez (PLOS, 2020)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 ...