Dependence modelling of financial returns using generalised normal mixtures

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dc.contributor.authorMaina, Calvin
dc.date.accessioned2021-05-07T14:11:08Z
dc.date.available2021-05-07T14:11:08Z
dc.date.issued2019
dc.descriptionPaper presented at the 5th Strathmore International Mathematics Conference (SIMC 2019), 12 - 16 August 2019, Strathmore University, Nairobi, Kenyaen_US
dc.description.abstractIt has long been known that financial returns are often not normally distributed, but the technical difficulties of dealing with non-normal distributions have often stood on the way of using them in financial modeling. In particular, in dependence modelling of financial returns, using copulas and Normal Mixtures as marginal, for the practical value of risk management, the choice of marginal distribution is key. In this work, generalized normal mixtures are constructed, their properties studied, parameter estimation is achieved using the EM algorithm and application in Risk Management and portfolio optimization considered.en_US
dc.description.sponsorshipKisii University, Kenya.en_US
dc.identifier.urihttp://hdl.handle.net/11071/10477
dc.language.isoen_USen_US
dc.publisherStrathmore Universityen_US
dc.subjectBessel function of the third kinden_US
dc.subjectNormal Mixturesen_US
dc.subjectEM algorithmen_US
dc.subjectcopulasen_US
dc.titleDependence modelling of financial returns using generalised normal mixturesen_US
dc.typeArticleen_US
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