On the distributional characterization of daily log-returns of a world stock index
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...
| Main Authors: | , |
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| Format: | Journal Article |
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Chapman & Hall
2006
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| Online Access: | http://hdl.handle.net/20.500.11937/18690 |
| _version_ | 1848749817276137472 |
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| author | Fergusson, Kevin Platen, E. |
| author_facet | Fergusson, Kevin Platen, E. |
| author_sort | Fergusson, Kevin |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 |
| first_indexed | 2025-11-14T07:26:58Z |
| format | Journal Article |
| id | curtin-20.500.11937-18690 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:26:58Z |
| publishDate | 2006 |
| publisher | Chapman & Hall |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-186902017-02-28T01:35:24Z On the distributional characterization of daily log-returns of a world stock index Fergusson, Kevin Platen, E. WORDS: World stock index symmetric generalized hyperbolic distribution log-return distribution Student t distribution 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 2006 Journal Article http://hdl.handle.net/20.500.11937/18690 Chapman & Hall restricted |
| spellingShingle | WORDS: World stock index symmetric generalized hyperbolic distribution log-return distribution Student t distribution Fergusson, Kevin Platen, E. On the distributional characterization of daily log-returns of a world stock index |
| title | On the distributional characterization of daily log-returns of a world stock index |
| title_full | On the distributional characterization of daily log-returns of a world stock index |
| title_fullStr | On the distributional characterization of daily log-returns of a world stock index |
| title_full_unstemmed | On the distributional characterization of daily log-returns of a world stock index |
| title_short | On the distributional characterization of daily log-returns of a world stock index |
| title_sort | on the distributional characterization of daily log-returns of a world stock index |
| topic | WORDS: World stock index symmetric generalized hyperbolic distribution log-return distribution Student t distribution |
| url | http://hdl.handle.net/20.500.11937/18690 |