About: A modeling quality comparison of estimated Lévy models

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: A modeling quality comparison of estimated Lévy models Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The Lévy models, when used to simulate time series of returns, enable us to model kurtosis and skewness and thus overcome the main drawback of the Brownian motion. In this paper we focus on the two most widely processes from the Lévy's family of models, a variance gamma and a normal inverse Gaussian model. The variance gamma model can be regarded as a subordinated (geometric) Brownian motion driven by a random time with gamma distribution. In the normal inverse Gaussian model, Brownian motion is driven by the inverse Gaussian distribution. Both of these models have four parameters, which need to be estimated. In the application part parameters for both models are estimated by means of a method of moments and a maximum likelihood method for five stock indices and five foreign exchange rates. Thereafter modeling quality of these estimated models is compared. Comparison is made on the basis of a log-likelihood function and errors of the basic descriptive statistics and quantile measures VaR a cVaR. The Lévy models, when used to simulate time series of returns, enable us to model kurtosis and skewness and thus overcome the main drawback of the Brownian motion. In this paper we focus on the two most widely processes from the Lévy's family of models, a variance gamma and a normal inverse Gaussian model. The variance gamma model can be regarded as a subordinated (geometric) Brownian motion driven by a random time with gamma distribution. In the normal inverse Gaussian model, Brownian motion is driven by the inverse Gaussian distribution. Both of these models have four parameters, which need to be estimated. In the application part parameters for both models are estimated by means of a method of moments and a maximum likelihood method for five stock indices and five foreign exchange rates. Thereafter modeling quality of these estimated models is compared. Comparison is made on the basis of a log-likelihood function and errors of the basic descriptive statistics and quantile measures VaR a cVaR. (en)
Title	A modeling quality comparison of estimated Lévy models A modeling quality comparison of estimated Lévy models (en)
skos:prefLabel	A modeling quality comparison of estimated Lévy models A modeling quality comparison of estimated Lévy models (en)
skos:notation	RIV/61989100:27510/10:10224832!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/08/1237), S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Kresta, Aleš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	244694
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10224832
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Lévy process, variance gamma model, normal inverse Gaussian model, parameter estimation (en)
http://linked.open.../riv/klicoveSlovo	normal inverse Gaussian model variance gamma model Lévy process parameter estimation
http://linked.open...ontrolniKodProRIV	[AF6751E507FD]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Kresta, Aleš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000287979900063
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 77 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software