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Estimation of Parametric and Nonparametric Models for Univariate Loss Distributions in Finance—an approach using R

This paper presents an analysis of daily percentage stock returns from two companies listed on the Australian stock exchange. We estimate the probability density function of these returns using parametric and nonparametric methods. The methods are implemented using R. Parametric analysis includes... Full description

1st Person: Pitt, David
Additional Persons: Guillen, Montserrat verfasserin; Bolancé, Catalina verfasserin
Source: in Journal of financial education Vol. 42, No. 1-2 (2016), p. 154-175
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Type of Publication: Article
Language: English
Published: 2016
Keywords: research-article
loss modeling
Online: Volltext
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