Application of one-dimension STS-distribution for modelling magnitudes of stock indexes; Bulletin of the Tomsk Polytechnic University; Vol. 310, № 1

Application of one-dimension STS-distribution for modelling magnitudes of stock indexes; Bulletin of the Tomsk Polytechnic University; Vol. 310, № 1

Detaylı Bibliyografya
Parent link:	Bulletin of the Tomsk Polytechnic University/ Tomsk Polytechnic University (TPU).— , 2006-2007 Vol. 310, № 1.— 2007.— [P. 42-47]
Yazar:	Belsner O. A. Olga Alexandrovna
Diğer Yazarlar:	Kritski O. L. Oleg Leonidovich
Özet:	Заглавие с титульного листа Электронная версия печатной публикации Modified method STS-GARCH(1,1) has been considered. Modification consisted in rejection of the statement on normal low of logarithm distribution of time series day increment and in their application for the description of Smoothly Truncated a-Stable (STS)-distribution (smoothly abridged a-stable). The method parameters were found by the technique of maximum likelihood. Statistic investigation of the suggested algorithm accuracy was carried out and decrease of autocorrelation in data structure used for the analysis was shown. The method was used to predict share prices of lag 5.
Dil:	İngilizce
Baskı/Yayın Bilgisi:	2007
Seri Bilgileri:	Mathematics and mechanics. Physics
Konular:	one-dimension distribution modelling magnitudes stock indexes modified method modification low distribution logarithm day increments parameters technique of maximum likelihood statistic investigation algorithm autocorrelation data prices lags электронный ресурс труды учёных ТПУ
Online Erişim:	http://www.lib.tpu.ru/fulltext/v/Bulletin_TPU/2007/v310eng/i1/09.pdf
Materyal Türü:	Elektronik Kitap Bölümü
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=180602

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