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- W4318317783 abstract "We propose scale mixtures of Birnbaum-Saunders distributions as a new class of positive skewed and leptokurtic distributions and use it to model volatility in stock markets. To estimate the model parameters, we develop an Expectation-Conditional-Maximization algorithm. The numerical performance of the proposed methodology is evaluated by means of Monte Carlo simulations. Application of the new model in volatility modeling is illustrated with some real-life data." @default.
- W4318317783 created "2023-01-28" @default.
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- W4318317783 date "2023-01-27" @default.
- W4318317783 modified "2023-09-24" @default.
- W4318317783 title "Range-based volatility modeling in financial markets using a family of scale mixtures of Birnbaum-Saunders distribution" @default.
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- W4318317783 doi "https://doi.org/10.1080/03610918.2023.2170413" @default.
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