Two parametric models for income and financial return distributions are presented. There are the four-parameter normal Laplace (NL) and the five-parameter generalized normal Laplace (GNL) distributions. Their properties are discussed; furthermore, estimation of the parameters by the method of moments and maximum likelihood is presented. The performances of fitting the two models to nine empiric...

This article presents Navier type closed-form solutions for static bending, elastic buckling and free vibration analysis of symmetric functionally graded (FG) sandwich beams using a hyperbolic shear deformation theory. The beam has FG skins and isotropic core. Material properties of FG skins are varied through the thickness according to the power law distribution. The present theory accounts fo...

Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log-returns. The generalized hyperbolic distribution is shown to give the best fit. Predictions are given for future va...

This paper proposes a numerical method to the two-dimensional hyperbolic equations with nonlocal integral conditions. The nonlocal integral equation is of major challenge in the frame work of the numerical solutions of PDEs. The method benefits from collocation radial basis function method, the generalized thin plate splines radial basis functions are used.Therefore, it does not require any str...

This paper shows that a large class of chaotic systems, introduced in Celikovsky and Chen [7], as the hyperbolic-type generalized Lorenz system, can be systematically used to generate synchronized chaotic oscillations. While the generalized Lorenz system unifies the famous Lorenz system and Chen's system [10], the hyperbolic-type generalized Lorenz system is in some way complementary to it. Syn...

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence b...

We prove limit theorems for the greatest common divisor and least multiple of random integers. While case integers uniformly distributed on a hypercube with growing size is classical, we look at uniform distribution sublevel sets multivariate symmetric polynomials, which call hyperbolic regions. Along way deriving our main results, obtain some asymptotic estimates number integer points in these...

This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...

The purpose of this article is to find the settings of the factors which simultaneously optimize several mean responses in a multivariate generalized linear model (GLM) environment. The generalized distance approach, initially developed for the simultaneous optimization of several linear response surfacemodels, is adapted to this multivariate GLM situation. An application of the proposed method...