On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

DOI10.1080/13504860500394052zbMath1157.91422OpenAlexW2126252086MaRDI QIDQ5489325

Kevin Fergusson, Eckhard Platen

Publication date: 25 September 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500394052

zbMATH Keywords

distributionsymmetric generalized hyperbolic distributionworld stock indexlog-return distributionstudent

Mathematics Subject Classification ID

Related Items (17)

Unimodal density estimation using Bernstein polynomials ⋮ A new variability order based on tail-heaviness ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Quantile mechanics ⋮ Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions ⋮ Testing variability orderings by using Gini's mean differences ⋮ An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s t-distribution ⋮ Problems of Mathematical Finance by Stochastic Control Methods ⋮ DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Local volatility function models under a benchmark approach ⋮ Stable Paretian versus student's \(t\) stock market hypothesis ⋮ Empirical evidence on Student-\(t\) log-returns of diversified world stock indices ⋮ Characterizations of Student's t-distribution via regressions of order statistics ⋮ Quantile mechanics II: changes of variables in Monte Carlo methods and GPU-optimised normal quantiles

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A structure for general and specific market risk
• Diversified portfolios with jumps in a benchmark framework
• A benchmark approach to filtering in finance
• Financial Data and the Skewed Generalized T Distribution
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Arbitrage in continuous complete markets
• Stochastic Volatility for Lévy Processes
• Linear Statistical Inference and its Applications

This page was built for publication: On the Distributional Characterization of Daily Log‐Returns of a World Stock Index