On the Distributional Characterization of Log-returns of a World Stock Index

In this paper we identify distributions which suitably fit log-returns of the world stock index (WSI) 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 neighborhood of those of the Student t distribution. This is confirmed on a high significance level under the likelihood ratio test.

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Year of publication:	2005-03-01
Authors:	Fergusson, Kevin ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	world stock index \| benchmarked log-return \| Student t distribution \| symmetric generalized hyperbolic distribution

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 153 2 pages long
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984584