ACADSTAFF UGM
| Title | : | Estimation of Parameters on the BS-BHM Updated Model |
| Author | : |
MUTIJAH (1) Prof. Drs. Suryo Guritno, M.Stats., Ph.D. (2) Dr. Drs. Gunardi, M.Si. (3) |
| Date | : | 1 2013 |
| Keyword | : | BS-BHM Updated Model, Lognormal Distribution, Monte Carlo Estimation, The method of moments BS-BHM Updated Model, Lognormal Distribution, Monte Carlo Estimation, The method of moments |
| Abstract | : | This paper will introduce BS-BHM Updated model and show the lognormal distribution for BS-BHM Updated Model. Estimation of two parameters on the BS-BHM Updated model has been done in this paper. It used Monte Carlo estimation method and the method of moments to estimate two parameters on the BS-BHM Updated model. The Empirical results of the two method of estimation obtained similar results for the volatility parameter. While the results of parameter estimation for the parameter of information flow rate obtained almost the same results. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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| 1 |
196511281991031004-232-Publikasi.pdf
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| 2 |
196511281991031004-232-Publikasi.pdf
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| 3 |
196511281991031004-232-Publikasi.pdf
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| 4 |
Applied Mathematical Sciences-SJR.pdf
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| 5 |
196511281991031004-232-Publikasi.pdf
Document Type : [PAK] Daftar Isi
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| 6 |
Estimation of Parameters on the BS-BHM Updated Model.pdf
Document Type : [PAK] Cek Similarity
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