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...
| Publicado en: | Manchester School (1463-6786) Vol. 87; no. 3; pp. 403 - 428 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Jun2019
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=135821646&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 135821646 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14636786 MSE jtl: Manchester School (1463-6786) issn: 14636786 maglogo: Y pubinfo: dt: Jun2019 vid: 87 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 135821646 10.1111/manc.12234 ppf: 403 ppct: 25 formats: tig: atl: Flexible Models for Stock Returns Based on Student's T Distribution. aug: au: Afuecheta, Emmanuel Chan, Stephen Nadarajah, Saralees affil: School of Mathematics, University of Manchester Department of Mathematics and Statistics, American University of Sharjah, UAE su: Mathematical models Probability theory Algorithms Nanoparticles Crystal structure sug: subj: Mathematical models Probability theory Algorithms Nanoparticles Crystal structure ab: 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. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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