The marginal distributions of multi-tail generalized elliptical dsitributions = 다중꼬리 타원분포의 주변분포

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In the study of asset returns, most of empirical data show that the return distributions are not normally distributed. Moreover, the hypothesis of homogeneous tail behavior of the return distributions is also rejected. So we present the multi-tail generalized elliptical distribution that covers that inhomogeneous tail behavior. In addition, the multi-tail generalized elliptical distribution significantly outperforms the classical elliptical model by the paper of Kring et al. [2]. In this paper, we calculate (1) the marginal distribution of the multi-tail generalized elliptical distrubution and (2) that of the multi-tail t-distribution which is one of the multi-tail generalized elliptical distribution.
Advisors
Kang, Wan-Moresearcher강완모
Description
한국과학기술원 : 수리과학과,
Publisher
한국과학기술원
Issue Date
2014
Identifier
592349/325007  / 020124512
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 수리과학과, 2014.8, [ iii, 18 p. ]

Keywords

elliptical distribution; 주변; 타원; 다중꼬리; 타원분포; marginal; multitail; elliptical

URI
http://hdl.handle.net/10203/198141
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=592349&flag=dissertation
Appears in Collection
MA-Theses_Master(석사논문)
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