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dc.contributor.authorFergusson, Kevin
dc.contributor.authorPlaten, E.
dc.identifier.citationFergusson, K. and Platen, E. 2006. On the distributional characterization of daily log-returns of a world stock index. Applied Mathematical Finance. 13 (1): pp. 19-38.

In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighbourhood of those of the Student t distribution. This is confirmed at a high significance level under the likelihood ratio test. Finally, the paper derives the minimal market model, which explains the empirical findings as a consequence of the optimal market dynamics

dc.publisherChapman & Hall
dc.subjectWORDS: World stock index
dc.subjectsymmetric generalized hyperbolic distribution
dc.subjectlog-return distribution
dc.subjectStudent t distribution
dc.titleOn the distributional characterization of daily log-returns of a world stock index
dc.typeJournal Article
dcterms.source.titleApplied Mathematical Finance
curtin.accessStatusFulltext not available

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