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Flexible Models for Stock Returns Based on Student's T Distribution.

Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to dai...

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Publicado en:Manchester School (1463-6786) Vol. 87; no. 3; pp. 403 - 428
Autores principales: Afuecheta, Emmanuel, Chan, Stephen, Nadarajah, Saralees
Formato: Artículo
Publicado: Wiley-Blackwell Jun2019
Materias:
Mathematical models
Probability theory
Algorithms
Nanoparticles
Crystal structure
Acceso en línea:Ver este registro en EBSCOhost
Sumario:Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.