Stable Paretian versus student's \(t\) stock market hypothesis

DOI10.1080/15598608.2012.756321zbMath1425.62046OpenAlexW2013670408MaRDI QIDQ2320821

Anthony Tessitore, Nilufer Usmen, Artun Alparslan

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.756321

zbMATH Keywords

Bayesian estimationBayesian decisionPearson familystable Paretian familystudent's \(t\)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Parametric hypothesis testing (62F03) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating the dimension of a model
• The likelihood of various stock market return distributions. I: Principles of inference
• The likelihood of various stock market return distributions. II: Empirical results
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Accurate Approximations for Posterior Moments and Marginal Densities
• Simple consistent estimators of stable distribution parameters
• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

This page was built for publication: Stable Paretian versus student's \(t\) stock market hypothesis