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 |
| Published: |
Chapman & Hall
2006
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/18690 |
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