Assessing the relative performance of heavy-tailed distributions: Empirical evidence from the Johannesburg stock exchange
It has been well documented that the empirical distribution of daily logarithmic returns from financial market variables is characterized by excess kurtosis and skewness. In order to capture such properties in financial data, heavy-tailed and asymmetric distributions are required to overcome shortfa...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/68211 |