So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 96-108
There is substantial evidence that many financial time series exhibit leptokurtosis and volatility clustering. We compare the two most commonly used statistical distributions in empirical analysis to capture these features: the t distribution and the generalized error distribution (GED). A...