The general problem I have is visualization of the implied distribution of returns of a currency pair. I usually use QQplots for historical returns, so for example versus the normal distribution: ...
Are there libraries in R for estimating time-varying joint distributions via copulas? Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
What are the formulae for d1 & d2 using a Laplace distribution?
I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
Say I have a limited sample, a month of daily returns, and I want to estimate the 99.5th percentile of the distribution of absolute daily returns. Because the estimate will require extrapolation, I ...
What is the general consensus for using a Cauchy distribution to model stock prices? I can't find much after researching online and wonder if it has been tried and discarded. My motivation is to find ...
I am trying to estimate GARCH models with the use of Hansen's (1994) skew-t distribution. I am using matlab's ARMAX-GARCH-K toolbox, where the log-likelihood is calculated as: ...
For my research I need to obtain a series of densities, however, I am encountering some problems. The first problem is perhaps very simple, but the answer eludes me. Let's say I have an observation ...