DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Wan-Mo | - |
dc.contributor.advisor | 강완모 | - |
dc.contributor.author | Lee, Cheol-Hyoung | - |
dc.contributor.author | 이철형 | - |
dc.date.accessioned | 2015-04-29 | - |
dc.date.available | 2015-04-29 | - |
dc.date.issued | 2014 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=592349&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/198141 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2014.8, [ iii, 18 p. ] | - |
dc.description.abstract | 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. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | elliptical distribution | - |
dc.subject | 주변 | - |
dc.subject | 타원 | - |
dc.subject | 다중꼬리 | - |
dc.subject | 타원분포 | - |
dc.subject | marginal | - |
dc.subject | multitail | - |
dc.subject | elliptical | - |
dc.title | The marginal distributions of multi-tail generalized elliptical dsitributions | - |
dc.title.alternative | 다중꼬리 타원분포의 주변분포 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 592349/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020124512 | - |
dc.contributor.localauthor | Kang, Wan-Mo | - |
dc.contributor.localauthor | 강완모 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.