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The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey Author info | Abstract | Publisher info | Download info | Related research | Statistics Dinghai Xu (Department of Economics, University of Waterloo)
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This paper provides a selected review of the recent developments and applications of mixtures of normal (MN) distribution models in empirical finance. Once attractive property of the MN model is that it is flexible enough to accommodate various shapes of continuous distributions, and able to capture leptokurtic, skewed and multimodal characteristics of financial time series data. In addition, the MN-based analysis fits well with the related regime-switching literature. The survey is conducted under two broad themes: (1) minimum-distance estimation methods, and (2) financial modeling and its applications.
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Paper provided by University of Waterloo, Department of Economics in its series Working Papers with number
0904.
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Length: 35 pages
Date of creation: Sep 2009Date of revision:
Sep 2009Handle: RePEc:wat:wpaper:0904Contact details of provider: Postal: Waterloo, Ontario, N2L 3G1 Phone: (519) 888-4567 ext 3695 Fax: (519) 725-0530 Web page: http://economics.uwaterloo.ca/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Jennifer Lehman).
Keywords: Mixtures of Normal ; Maximum Likelihood ; Moment Generating Function ; Characteristic Function ; Switching Regression Model ; (G) ARCH Model ; Stochastic Volatility Model ; Autoregressive Conditional Duration Model ; Stochastic Duration Model ; Value at Risk. ; Other versions of this item:
Find related papers by JEL classification: C01 - Mathematical and Quantitative Methods - - General - - - Econometrics C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
This paper has been announced in the following NEP Reports :
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