Internal truncated distributions: applications to Wiener process range distribution when deleting a minimum stochastic volatility interval from its domain
Open Access
- 11 December 2018
- journal article
- research article
- Published by Taylor & Francis Ltd in Journal of Taibah University for Science
- Vol. 13 (1), 201-215
- https://doi.org/10.1080/16583655.2018.1555020
Abstract
In this paper, we apply a new definition of truncated distribution “Internal Truncated Distribution” on the Wiener process range distribution to delete a few stochastic volatility intervals from its domain. A comprehensive treatment of the statistical properties of this distribution is presented. The usefulness of the proposed distribution is illustrated with the help of a real data set.Keywords
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