Estimation in copula-based Markov mixture normal model
碩士 === 國立中央大學 === 統計研究所 === 106 === In this paper, we propose the estimation problem for a copula-based Markov model. Owing to the fat tail feature in stock market, we select mixture normal distribution as the marginal distribution for the log return. Based on the mixture normal distribution as the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9gb878 |