| dc.contributor.author | Belovas, Igoris | |
| dc.date.accessioned | 2023-09-18T19:02:39Z | |
| dc.date.available | 2023-09-18T19:02:39Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/134604 | |
| dc.description.abstract | 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. | eng |
| dc.format.extent | p. 144-147 | |
| dc.format.medium | tekstas / txt | |
| dc.language.iso | eng | |
| dc.source.uri | http://elib.bsu.by/handle/123456789/233315 | |
| dc.source.uri | https://talpykla.elaba.lt/elaba-fedora/objects/elaba:39796103/datastreams/COVER/content | |
| dc.title | Modeling Baltic market indices: a comparison of models | |
| dc.type | Straipsnis recenzuotame konferencijos darbų leidinyje / Paper published in peer-reviewed conference publication | |
| dcterms.references | 9 | |
| dc.type.pubtype | P1d - Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings | |
| dc.contributor.institution | Vilniaus universitetas Vilniaus Gedimino technikos universitetas | |
| dc.contributor.faculty | Fundamentinių mokslų fakultetas / Faculty of Fundamental Sciences | |
| dc.subject.researchfield | N 001 - Matematika / Mathematics | |
| dc.subject.vgtuprioritizedfields | FM0101 - Fizinių, technologinių ir ekonominių procesų matematiniai modeliai / Mathematical models of physical, technological and economic processes | |
| dc.subject.ltspecializations | L106 - Transportas, logistika ir informacinės ir ryšių technologijos (IRT) / Transport, logistic and information and communication technologies | |
| dc.subject.en | financial engineering | |
| dc.subject.en | stable distributions | |
| dc.subject.en | mathematical modeling | |
| dcterms.sourcetitle | Computer data analysis and modeling: stochastics and data science : proceedings of the XII international conference, Minsk, September 18-22, 2019 | |
| dc.publisher.name | Belarusian State University | |
| dc.publisher.city | Minsk | |
| dc.identifier.elaba | 39796103 | |
