Revisiting the finite mixture of Gaussian distributions with application to futures markets

Journal of Futures Markets

Volumn 21, Issue 4, 2001, Pages 347-376

  Ané, Thierry ^a,b   Labidi, Chiraz ^c  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035580617     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200104)21:4<347::AID-FUT3>3.0.CO;2-T     Document Type: Article

References (19)

1. Anderson, T. W., & Darling, D. A. (1954). A test of goodness of fit. Journal of the American Statistical Association, 49, 765-769.
2. Aïtkin, M., & Wilson, G. T. (1980). Mixture models, outliers and the EM algorithm. Technometrics, 22, 325-331.
3. Bahra, B. (1996, August). Probability distribution of future asset prices implied by option prices. Bank of England Quarterly Bulletin, 36(3), 299-311.
4. Booth, G., Broussard, J. P., Martikainen, T., & Puttonen, V. (1997). Prudent margin levels in the Finnish stock index futures market. Management Science, 43, 1177-1187.
5. Dempster, A. P., Laird, N. M., Rubin, D. B. (1977). Maximum likelihood from incomplete data via EM algorithm. Journal of the Royal Statistical Society, 39, 1-38.
6. Fama, E. (1965). The behavior of stock-market prices. Journal of Business, 38, 34-105.
7. Figlewski, S. (1984). Margins and market integrity: Margin setting for stock index futures and options. Journal of Futures Markets, 4, 385-416.
8. Goldfeld, S. M., & Quandt, R. E. (1972). Nonlinear methods in econometrics. Amsterdam: North-Holland.
9. Hull, J., & White, A. (1998). Value-at-risk when daily market variables are not normally distributed. Journal of Derivatives, 5(3), 9-19.
10. Kofman, P. (1993). Optimizing futures margins with distribution tails. Advances in Futures and Options Research, 6, 263-278.
11. Kon, S. J. (1984). Models of stock returns - A comparison. Journal of Finance, 39, 147-165.
12. Lekkos, I. (1999). Distributional properties of spot and forward interest rates: USD, DEM, GBP and JPY. Journal of Fixed Income, (March) 35-54.
13. McLachlan, G. J.; Basford, K. E. (1988). Mixture models: Inference and applications to clustering. New York: Marcel Dekker.
14. Robertson, C. A., & Fryer, J. G. (1969). Some descriptive properties of normal mixtures. Skandinavian Aktuarietidskrift, 52, 137-146.
15. Silverman, B. W. (1986). Density estimation for statistics and data analysis. London: Chapman & Hall.
16. Söderlind, P. (2000). Market expectations in the UK before and after the ERM crisis. Economica, 67, 1-18.
17. Titterington, D. M., Smith, A. F. M., & Makov, U. E. (1985). Statistical analysis of finite mixture distributions. New York: Wiley.
18. Vlassis, N., & Likas, A. (1999). A kurtosis-based dynamic approach to Gaussian mixture modeling. IEEE Transactions on Systems, Man and Cybernetics, 29, 393-399.
19. Warshawsky, M. J. (1989). The adequacy and consistency of margin requirements: The cash, futures and options segments of the equity markets. Review of Futures Markets, 8, 420-437.