Fukushima, Akihiro - In: Journal of Risk Finance 12 (2011) August, pp. 315-328
hybrid contaminated normal distribution (CND) model accurately reflects the non-normal features of monthly S&P 500 index … enables financial institutions to evaluate long-term investment risks in the S&P 500 index more accurately than current models … simulation. A taller peak and fatter tails (kurtosis), which the probability distribution of monthly S&P 500 index returns …