Work

Flexible Models for Stock Returns Based on Student'sTDistribution

Year: 2018

Type: article

Abstract: Models based on the Student'stdistribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student'stdistributions and the popular generalized hyperbolic distribution.

Source: Manchester School

DOI: 10.1111/manc.12234

Authors: Emmanuel Afuecheta, Stephen Chan, Saralees Nadarajah

Institutions: University of Manchester, American University of Sharjah

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2895604142

FWCI: 0.66

Cites: 38

Cited by: 5

Related to: 10