2014: Recent submissions

Now showing items 21-22 of 22

Dynamic Feedback E ect And Skewness In Non-Stationary Stochastic Volatility Model With Leverage

Mukhoti, Sujay K (Indian Institute of Management Kozhikode, 2014)

In this paper I present a new single factor model for assets return observed in discrete time and its latent volatility with a common \market factor". This model attempts to unify the concept of feedback e ect and skewness ...
On a Two-Parameter Discrete Distribution and its Applications

Chowdhury, Shovan; Mukherjee, Amitava; Nanda, Asok K (Indian Institute of Management Kozhikode, 2014)

Here we introduce two-parameter compounded geometric distributions with monotone failure rates. These distributions are derived by compounding geometric distribution and zero-truncated Poisson distribution. Some statistical ...

Now showing items 21-22 of 22

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