Two – Dimensional Modelling of Financial Data

Autor(i)

  • Višnja Jurić Effectus University of Applied Sciences, Zagreb

DOI:

https://doi.org/10.54820/entrenova-2024-0008

Ključne riječi:

method of moments, bivariate asymmetric Weibull distribution, currency exchange rates, application

Sažetak

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.

Biografija autora

Višnja Jurić, Effectus University of Applied Sciences, Zagreb

Višnja Jurić received her PhD in 2019 from the University of Ljubljana, School of Economics and Business, Interdisciplinary doctoral program in Statistics. She is mathematics and statistics senior lecturer at Effectus University of Applied Sciences Zagreb, Croatia. She received a MSc in applied mathematics from the University of Nevada, and then subsequently taught College Algebra at Art Institute of California in San Francisco. In 2004, she was enrolled at PhD program in Statistics at the University of California but returned to Croatia in 2006 to continue the study at the University of Ljubljana. The author can be contacted at vjuric@effectus.com.hr

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Objavljeno

2024-11-13

Kako citirati

Jurić, V. (2024). Two – Dimensional Modelling of Financial Data. ENTRENOVA - ENTerprise REsearch InNOVAtion, 10(1), 73–83. https://doi.org/10.54820/entrenova-2024-0008

Broj časopisa

Svezak 10 Br. 1 (2024)

Rubrika

Financial Economics

Autorska prava

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Creative Commons License

Ovaj rad licenciran je pod Creative Commons Attribution-NonCommercial 4.0 International License.