On the distributional characterization of daily log-returns of a world stock index
| dc.contributor.author | Fergusson, Kevin | |
| dc.contributor.author | Platen, E. | |
| dc.date.accessioned | 2017-01-30T12:09:25Z | |
| dc.date.available | 2017-01-30T12:09:25Z | |
| dc.date.created | 2015-09-29T01:56:27Z | |
| dc.date.issued | 2006 | |
| dc.identifier.citation | Fergusson, 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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/18690 | |
| dc.description.abstract |
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.publisher | Chapman & Hall | |
| dc.subject | WORDS: World stock index | |
| dc.subject | symmetric generalized hyperbolic distribution | |
| dc.subject | log-return distribution | |
| dc.subject | Student t distribution | |
| dc.title | On the distributional characterization of daily log-returns of a world stock index | |
| dc.type | Journal Article | |
| dcterms.source.volume | 13 | |
| dcterms.source.number | 1 | |
| dcterms.source.startPage | 19 | |
| dcterms.source.endPage | 38 | |
| dcterms.source.issn | 1350-486X | |
| dcterms.source.title | Applied Mathematical Finance | |
| curtin.accessStatus | Fulltext not available |