Flexible Models for Stock Returns Based on Student's T Distribution

被引：3

作者：

Afuecheta, Emmanuel ^{[1
]}

Chan, Stephen ^{[2
]}

Nadarajah, Saralees ^{[1
]}

机构：

[1] Univ Manchester, Sch Math, Manchester, Lancs, England

[2] Amer Univ Sharjah, Dept Math & Stat, Sharjah, U Arab Emirates

来源：

MANCHESTER SCHOOL | 2019年 / 87卷 / 03期

关键词：

SCALE MIXTURES; VARIANCE; SELECTION; ORDER;

D O I：

10.1111/manc.12234

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.

引用

页码：403 / 427

页数：25

共 36 条

[31] ESTIMATING DIMENSION OF A MODEL [J].