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...

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Main Authors:	Wei-Cheng Lin, 林韋成
Other Authors:	Li-Hsien Sun
Format:	Others
Language:	en_US
Published:	2018
Online Access:	http://ndltd.ncl.edu.tw/handle/9gb878

id	ndltd-TW-106NCU05337024
record_format	oai_dc
spelling	ndltd-TW-106NCU053370242019-11-14T05:35:43Z http://ndltd.ncl.edu.tw/handle/9gb878 Estimation in copula-based Markov mixture normal model Estimation in copula-based Markov mixture normal model Wei-Cheng Lin 林韋成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 marginal distribution and the Clayton copula, we obtain the corresponding likelihood function. In order to solve the maximum likelihood estimators, we apply Newton Raphson method. In the empirical analysis, the stock price of Dow Jones Industrial Average is analyzed for illustration. Li-Hsien Sun 孫立憲 2018 學位論文 ; thesis 57 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	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 marginal distribution and the Clayton copula, we obtain the corresponding likelihood function. In order to solve the maximum likelihood estimators, we apply Newton Raphson method. In the empirical analysis, the stock price of Dow Jones Industrial Average is analyzed for illustration.
author2	Li-Hsien Sun
author_facet	Li-Hsien Sun Wei-Cheng Lin 林韋成
author	Wei-Cheng Lin 林韋成
spellingShingle	Wei-Cheng Lin 林韋成 Estimation in copula-based Markov mixture normal model
author_sort	Wei-Cheng Lin
title	Estimation in copula-based Markov mixture normal model
title_short	Estimation in copula-based Markov mixture normal model
title_full	Estimation in copula-based Markov mixture normal model
title_fullStr	Estimation in copula-based Markov mixture normal model
title_full_unstemmed	Estimation in copula-based Markov mixture normal model
title_sort	estimation in copula-based markov mixture normal model
publishDate	2018
url	http://ndltd.ncl.edu.tw/handle/9gb878
work_keys_str_mv	AT weichenglin estimationincopulabasedmarkovmixturenormalmodel AT línwéichéng estimationincopulabasedmarkovmixturenormalmodel
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Estimation in copula-based Markov mixture normal model

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