Empirical evidence on Student-\(t\) log-returns of diversified world stock indices

DOI10.1080/15598608.2008.10411873zbMath1427.62122OpenAlexW3021949738MaRDI QIDQ2324080

Eckhard Platen, Renata Rendek

Publication date: 13 September 2019

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

Full work available at URL: https://doi.org/10.1080/15598608.2008.10411873

zbMATH Keywords

likelihood ratio testStudent-\(t\) distributiondiversified world stock indexgrowth optimal portfoliogeneralized hyperbolic distributionlog-return distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Portfolio theory (91G10)

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• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Linear Statistical Inference and its Applications

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