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Article Dans Une Revue Communications in Statistics - Simulation and Computation Année : 2008

Simulation and Estimation of the Meixner Distribution

Résumé

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.

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Dates et versions

hal-00514334 , version 1 (02-09-2010)

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Matteo Grigoletto, Corrado Provasi. Simulation and Estimation of the Meixner Distribution. Communications in Statistics - Simulation and Computation, 2008, 38 (01), pp.58-77. ⟨10.1080/03610910802395679⟩. ⟨hal-00514334⟩

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