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Two – Dimensional Modelling of Financial Data

In: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Hybrid Conference, Dubrovnik, Croatia, 5-7 September, 2024

Author

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  • Jurić, Višnja

Abstract

The article deals with modelling of two-dimensional financial data set using Weibull distribution extended to two-dimensional setting. The generalization in two dimensions is not direct, it goes through representation of one-dimensional asymmetric Laplace distribution. The characteristics of the new distribution are described, and parameters are estimated using the method of moments. Statistical package R is used to perform numerical search. At the end, the application of this new two- dimensional family of distributions is discussed.

Suggested Citation

  • Jurić, Višnja, 2025. "Two – Dimensional Modelling of Financial Data," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2024), Hybrid Conference, Dubrovnik, Croatia, in: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Hybrid Conference, Dubrovnik, Croatia, 5-7 September, 2024, pages 73-83, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb.
    • Handle: RePEc:zbw:entr24:317951
    DOI: 10.54820/entrenova-2024-0008
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    References listed on IDEAS

    as
    1. Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
    2. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    3. Charles K. Amponsah & Tomasz J. Kozubowski & Anna K. Panorska, 2021. "A general stochastic model for bivariate episodes driven by a gamma sequence," Journal of Statistical Distributions and Applications, Springer, vol. 8(1), pages 1-31, December.
    4. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.
    5. Tomasz J. Kozubowski & Krzysztof Podgórski, 2000. "A Multivariate and Asymmetric Generalization of Laplace Distribution," Computational Statistics, Springer, vol. 15(4), pages 531-540, December.
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    More about this item

    Keywords

    method of moments; bivariate asymmetric Weibull distribution; currency exchange rates; application;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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