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7
votes
2answers
249 views

Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
0
votes
1answer
19 views

Error using ghyp-distribution function

I want to fit multivariate GH distribution on my data, and then generate simulations for that distribution. Using the instructions given in ghyp package, I wrote following lines of code in R. ...
5
votes
0answers
281 views

Fitting Student t-distributions to log-returns

It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
3
votes
0answers
130 views

What is the relation between return volatility and return rank volatility, and how can I control the latter?

I have no experience in finance, but I've been playing around with a virtual portfolio. I'm trying to control the "rank volatility" distribution - that is, the volatility of a stock's daily rank in ...
1
vote
0answers
53 views

Skewed Generalized Error Distribution's (SGED) pdf

I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
1
vote
0answers
54 views

Cross-sectional moments

I got a seminar topic named Forecasting risk from cross sectional moments? Could at least someone tell me what should I write about and if there is any paper that I could read. Thank you very much in ...
1
vote
0answers
74 views

How to choose a window for curve fitting and prediction?

I am using Pareto distribution to fit a serie of survival rates (with least square). My ultimate goal is to use this fitting curve for prediction. Thus I would mainly focus on the tail of the ...
0
votes
0answers
10 views

Obtaining non-central moments from the central moments

I have a question regarding moments of the Gaussian and t distributions. I am working in the GARCH framework with Gaussian/t distributed innovations. I need to know the forecasts of the first four ...
0
votes
0answers
66 views

Large deviations theory and extreme value theory

I'll enter into details of both, sooner or later, but for the moment I'm concerned about the differences (and relationships, if any) between these two theories. Can someone give me a brief, but still ...
0
votes
0answers
37 views

Skewed Generalized Error Distribution in GARCH modelling

I am trying to estimate GARCH models with the use of Theodossiou's (2000) Skewed Generalized Error Distribution. I am modifying matlab's ARMAX-GARCH-K toolbox to calculate this model. I am calculating ...