A new hybrid form of the skew-t distribution: estimation methods comparison via Monte Carlo simulation and GARCH model application

A new hybrid form of the skew-t distribution: estimation methods comparison via Monte Carlo simulation and GARCH model application

In this work, estimating the exponentiated half logistic skew-t model parameters using some classical estimation procedures is considered. The finite sample performance of the EHL<sub>ST</sub> parameter estimates is examined through extensive Monte Carlo simulations. The ordering perform...

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Bibliographic Details
Main Authors: Obinna D. Adubisi, Ahmed Abdulkadir, Chidi. E. Adubisi
Format: Article
Language:English
Published: AIMS Press 2022-05-01
Series:Data Science in Finance and Economics
Subjects:
maximum likelihood
cramer-von mises
inflation rates
hybrid distribution
simulation
garch volatility model
Online Access:http://www.aimspress.com/article/doi/10.3934/DSFE.2022003?viewType=HTML

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http://www.aimspress.com/article/doi/10.3934/DSFE.2022003?viewType=HTML

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