Work

Simulation and Estimation of the Meixner Distribution

Year: 2008

Type: article

Abstract: The Meixner distribution is a special case of the generalized z-distributions. Its properties make it potentially very useful in modeling short-term financial returns. This article proposes an algorithm to simulate the Meixner distribution, and shows how to obtain maximum likelihood estimators of its parameters. A GARCH-type model is then assessed, assuming that the innovation distribution is a standardized Meixner. Goodness-of-fit properties are investigated for some real financial time series, using bootstrap tests based on the empirical process of the residuals.

Source: Communications in Statistics - Simulation and Computation

DOI: 10.1080/03610910802395679

Authors: Matteo Grigoletto, Corrado Provasi

Institution: University of Padua

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1992257622

FWCI: 2.333

Cites: 48

Cited by: 19

Related to: 10