Use this URL to cite this publication: https://hdl.handle.net/20.500.14911/134604
Modeling Baltic market indices: a comparison of models
Publication Type (CRIS)
Straipsnis recenzuojamoje užsienio tarptautinės konferencijos medžiagoje / Article in peer-reviewed foreign international conference proceedings (P1d)
Publication Type (eLABa)
Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings (P1d)
VILNIUS TECH Research Priorities and Topics
Fizinių, technologinių ir ekonominių procesų matematiniai modeliai / Mathematical models of physical, technological and economic processes (FM0101)
Lithuanian Intelligent Specialization
Transportas, logistika ir informacinės ir ryšių technologijos (IRT) / Transport, logistic and information and communication technologies (L106)
Author(s)
| Author | Affiliation | |
|---|---|---|
Vilniaus universitetas |
Title
Modeling Baltic market indices: a comparison of models
Igoris Belovas
Is part of
Computer data analysis and modeling: stochastics and data science : proceedings of the XII international conference, Minsk, September 18-22, 2019
Published In
| Year | Start Page | End Page |
|---|---|---|
2019 | 144 | 147 |
Publisher
Minsk : Belarusian State University, 2019
Extent
p. 144-147
URI
| URI | Access Rights |
|---|---|
| https://hdl.handle.net/20.500.14911/134604 | |
| http://elib.bsu.by/handle/123456789/233315 | Viso teksto dokumentas (atviroji prieiga) / Full Text Document (Open Access) |
| https://talpykla.elaba.lt/elaba-fedora/objects/elaba:39796103/datastreams/COVER/content |
Cited references
9
Science / Art Area
Gamtos mokslai / Natural Sciences (N)
Field of Science / Art
Matematika / Mathematics (N001)
Abstract (en)
In this paper we perform a statistical analysis of the returns of Baltic market indices. We construct symmetric a-stable, non-standardized Student’s t and normal-inverse Gaussian models, using maximum likelihood method for the estimation of the parameters of the models. The adequacy of the modeling is evaluated with the Kolmogorov tests for composite hypothesis. The results of the study indicate that the normal-inverse Gaussian model provides the best overall fit for the data.
Resource Type (COAR)
TextConference outputConference proceedingsConference paper
Language
Anglų / English (en)
Country
Baltarusija / Belarus (BY)
Owning collection
ISBN (of the container)
9789855668115
eLABa ID
39796103