Range-based volatility modeling in financial markets using a family of scale mixtures of Birnbaum-Saunders distribution-Reference-Cited by-同舟云学术

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Range-based volatility modeling in financial markets using a family of scale mixtures of Birnbaum-Saunders distribution

Published:2023-01-27 Issue: Volume: Page:1-20
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Tamandi Mostafa¹,Desmond Anthony F.²,Jamalizadeh Ahad³

Affiliation:

1. Department of Statistics, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran

2. Department of Mathematics and Statistics, University of Guelph, Guelph, Ontario, Canada

3. Department of Statistics, Faculty of Mathematics and Computers, Shahid Bahonar University of Kerman, Kerman, Iran

Funder

NSERC

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2023.2170413

Reference29 articles.

1. Skewed distributions in finance and actuarial science: a review

2. XXV.—On Bernoulli's Numerical Solution of Algebraic Equations

3. Range-Based Estimation of Stochastic Volatility Models

4. On some mixture models based on the Birnbaum–Saunders distribution and associated inference

5. Birnbaum‐Saunders distribution: A review of models, analysis, and applications

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