Modeling Univariate Distributions
As seen in Chapter 4, usually the marginal distributions of financial time series are not well fit by normal distributions. Fortunately, there are a number of suitable alternative models, such as t-distributions, generalized error distributions, and skewed versions of t- and generalized error distributions. All of these will be introduced in this chapter.
KeywordsMaximum Likelihood Estimator Fisher Information Heavy Tail Normal Mixture Light Tail
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