Naslov
Asimetrična Weibullova distribucija i njene primjene
(ASYMMETRIC DOUBLE WEIBULL DISTRIBUTION AND ITS APPLICATIONS)

Autori
Jurić, Višnja

Vrsta, podvrsta i kategorija rada
Ocjenski radovi, doktorska disertacija

Fakultet
UNIVERSITY OF LJUBLJANA, SCHOOL OF BUSINESS AND ECONOMICS

Mjesto
Ljubljana

Datum
27.06

Godina
2019

Stranica
130

Mentor
Perman, Mihael

Ključne riječi
Asymmetric Laplace law ; double Weibull distribution ; multivariate asymmetric Weibull distribution ; currency exchange rate modelling
(asymmetric Laplace law ; double Weibull distribution ; multivariate asymmetric Weibull distribution ; currency exchange rate modelling)

Sažetak
The dissertation examines the asymmetric Weibull distributions extended to the higher dimensional setting. Newly developed definitions along with the methods of estimation of the parameters are presented. This provides the basis for applications in modelling financial data including the univariate and the multivariate double Weibull model for currency exchange rates. The dissertation starts with an extensive review of the univariate Weibull distribution followed by its generalization to the multivariate case. This generalization is the core of the dissertation and its main contribution to science. A well known representation of the asymmetric univariate Laplace distribution is used as the starting point. Properties of the new family of distributions are described in detail and parameters are estimated using the method of moments. In the final part of the dissertation an application of the new family of distributions to modelling financial data in the case of bivariate currency exchange rate data set is given. This new family shows the potential for modelling purposes.

Izvorni jezik
Engleski

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