On the probability distribution of stock indices

zbMATH Open1272.62069MaRDI QIDQ2850802FDOQ2850802

Authors: N. N. Trush, A. L. Chernookij 

Publication date: 30 September 2013

Published in: Vestnik Belorusskogo Gosudarstvennogo Universiteta. Seria 1. Fizika, Matematika, Informatika (Search for Journal in Brave)

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Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cited In (8)

• Classification rules for stable distributions
• The likelihood of various stock market return distributions. I: Principles of inference
• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
• On the probability distribution of stock returns in the Mike-Farmer model
• On the increment distributions of stock prices
• Empirical study of relation measures of stable distributed stock returns
• Modeling chinese stock returns with stable distribution
• Coupling index and stocks

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