scholarly journals The Skew Generalized Secant Hyperbolic Family

2016 ◽  
Vol 35 (4) ◽  
Author(s):  
Matthias Fischer
Keyword(s):  
Exchange Rate ◽  
Moment Generating Function ◽  
Foreign Exchange Rate ◽  
Parametric Models ◽  
Rate Data ◽  
Exponential Tilting ◽  
Moment Ratio ◽  
Distribution Family ◽  
The Moment ◽  
New Distribution

We introduce a skewness parameter into Vaughan’s (2002) generalized secant hyperbolic (GSH) distribution by means of exponential tilting and develop some properties of the new distribution family. In particular, the moment-generating function is derived which ensures the existence of all moments. Finally, the flexibility of our distribution is compared to similar parametric models by means of moment-ratio plots and application to foreign exchange rate data.

scholarly journals Tornumonkpe Distribution: Statistical Properties and Goodness of Fit

2021 ◽  
pp. 12-22
Author(s):  
Barinaadaa John Nwikpe
Keyword(s):  
Goodness Of Fit ◽  
Real Life ◽  
Mathematical Expression ◽  
Information Criterion ◽  
Moment Generating Function ◽  
Data Sets ◽  
The Moment ◽  
The One ◽  
Coefficient Of Skewness ◽  
New Distribution

A new sole parameter probability distribution named the Tornumonkpe distribution has been derived in this paper. The new model is a blend of gamma (2,  and gamma(3  distributions. The shape of its density for different values of the parameter has been shown.  The mathematical expression for the moment generating function, the first three raw moments, the second and third moments about the mean, the distribution of order statistics, coefficient of variation and coefficient of skewness has been given. The parameter of the new distribution was estimated using the method of maximum likelihood. The goodness of fit of the Tornumonkpe distribution was established by fitting the distribution to three real life data sets. Using -2lnL, Bayesian Information Criterion (BIC), and Akaike Information Criterion(AIC) as criterial for selecting the best fitting model, it was revealed that the new distribution outperforms the one parameter exponential, Shanker and Amarendra distributions for the data sets used.

Probabilistic representations of matrix variate skew normal models

2015 ◽  
Vol 23 (1) ◽  
Author(s):  
Wei Ning
Keyword(s):  
Normal Distribution ◽  
Random Variable ◽  
Moment Generating Function ◽  
Normal Random Variable ◽  
Skew Normal Distribution ◽  
Probabilistic Representation ◽  
The Matrix ◽  
Distribution Family ◽  
The Moment ◽  
Skew Normal

AbstractAzzalini [Scand. J. Stat. 12 (1985), 171–178] first introduced the skew normal distribution family with a shape parameter λ, and then extended this family by adding an additional shape parameters ξ. Basic properties of these two families were studied. Henze [Scand. J. Stat. 13 (1986), 271–275] gave the probabilistic representations for these two families by interpreting it as the linear combination of a normal random variable with another normal random variable truncated at the origin and several properties were illustrated. Chen and Gupta [Statistics 39 (2005), no. 3, 247–253] extended the skew normal distribution family to the matrix variate and proposed the moment generating function and the quadratic form of the matrix variate skew normal models. Motivated by these results, we first study the probabilistic representation for the matrix variate skew normal models and several properties. Then we define the extended skew normal model of the matrix variate, and give the probabilistic representation for this family and its extension.

scholarly journals Nwikpe Probability Distribution: Statistical Properties and Goodness of Fit

2021 ◽  
pp. 52-61
Author(s):  
Barinaadaa John Nwikpe ◽  
Isaac, Didi Essi ◽  
Amos Emeka
Keyword(s):  
Probability Distribution ◽  
Goodness Of Fit ◽  
Real Life ◽  
Moment Generating Function ◽  
Statistical Properties ◽  
Likelihood Method ◽  
Data Sets ◽  
The Moment ◽  
The One ◽  
New Distribution

In this paper, we introduce a new continuous probability distribution developed from two classical distributions namely, gamma and exponential distributions. The new distribution is called the Nwikpe distribution. Some statistical properties of the new distribution were derived. The shapes of its probability density function have been established for different values of the parameters.  The moment generating function, the first four raw moments, the second moment about the mean, Renyi’s entropy and the distribution of order statistics were derived. The parameter of the new distribution was estimated using maximum likelihood method. The shape of the hazard function of the new distribution is increasing. The flexibility of the distribution was shown using some real life data sets, the goodness of fit shows that the new distribution gives a better fit to the data sets used in this study than the one parameter exponential, Shanker, Lindley, Akash, Sujatha and Amarendra distributions.

scholarly journals The Alpha-Beta Skew Generalized t Distribution: Properties and Applications

2019 ◽  
pp. 605-616
Author(s):  
Fazlollah Lak ◽  
Morad Alizadeh ◽  
Mohammad Esmaeil Dehghan Monfared ◽  
Hamid Esmaeili
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Maximum Likelihood ◽  
Asymptotic Properties ◽  
Likelihood Estimation ◽  
Moment Generating Function ◽  
Alpha Beta ◽  
The Moment ◽  
T Distribution ◽  
New Distribution

n this paper, we propose a new distribution, namely alpha-beta-skew generalized tdistribution. The proposed distribution is really flxible and includes as special models some important distributions like Normal, t-student, Cauchy and etc as its marginal component distributions. It features a probability density function with up to three modes. The moment generating function as well as the main moments are provided. Inference is based on a usual maximum-likelihood estimation approach and a small Monte Carlo simulation is conducted for studying the asymptotic properties of the maximum-likelihood estimate. The usefulness of the new model is illustrated in a real data

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

Interest Rate, Foreign Exchange Rate, and Stock Market Development in Nigeria

2018 ◽  
Vol 9 (3) ◽  
pp. 247-253 ◽  
Author(s):  
Edward Adedoyin Adebowale ◽  
Akindele Iyiola Akosile
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
The United States ◽  
Ordinary Least Squares ◽  
Foreign Exchange Rate ◽  
Market Development ◽  
National Bureau ◽  
Stock Market Development

This research investigated the effect of interest rate and foreign exchange rate on stock market development in Nigeria. This research was centered on two research problems. First, it was whether interest rate had a significant effect on stock market development in Nigeria. Second, it was whether foreign exchange rate had a significant impact on stock market development in Nigeria. The scope of the research covered the period from 1981 to 2017. Data for this period were chosen because it covered pre and post-liberalization periods of Nigerian financial system. This research made use of ex post facto research design. Secondary data were sourced from Nigerian Stock Exchange reports, Central Bank of Nigeria statistical bulletins, and National Bureau of Statistics publications. Data were collected on Stock Market Capitalization (SMC), Prime Lending Rate (PLR) and Real Exchange Rate (RER) (Nigerian Naira in relation to American Dollars of the United States). Data analysis was carried out with Ordinary Least Squares (OLS) and Cochrane-Orcutt Iterative techniques. The findings reveal that interest rate has a significant negative effect, and foreign exchange rate has a significant positive effect on Nigerian stock market development during the period covered. It is suggested that monetary authorities should strive to formulate policies that will make interest and foreign exchange rates stable, competitive, and at a level that will stimulate the investment of funds in the stock market.

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