Analysis of the Distribution of Rates of Return on Stocks Making Use of Tukey’s G and H Distribution

This paper presents some properties and limitations of the Tukey's g and h family of distributions. It develops the density function when the parameters g and h are not constant, which is a major breakthrough considering the recurrence of this in the applications of the behaviour of distributions of financial assets. These theoretical developments allow a more detailed analysis in the stock sector when one wants to know and describe the behaviour of the distribution of rates of return