Two – Dimensional Modelling of Financial Data

Višnja Jurić

A chapter in Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Hybrid Conference, Dubrovnik, Croatia, 5-7 September, 2024, 2025, pp 73-83 from IRENET - Society for Advancing Innovation and Research in Economy, Zagreb

Abstract: The article deals with modelling of two-dimensional financial data set using Weibull distribution extended to two-dimensional setting. The generalization in two dimensions is not direct, it goes through representation of one-dimensional asymmetric Laplace distribution. The characteristics of the new distribution are described, and parameters are estimated using the method of moments. Statistical package R is used to perform numerical search. At the end, the application of this new two- dimensional family of distributions is discussed.

Keywords: method of moments; bivariate asymmetric Weibull distribution; currency exchange rates; application (search for similar items in EconPapers)
JEL-codes: G30 G32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:entr24:317951

DOI: 10.54820/entrenova-2024-0008

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