Normal mixture method for stock daily returns over different sub-periods

DOI10.1080/03610918.2017.1383423OpenAlexW2761916395MaRDI QIDQ5086161FDOQ5086161

Authors: Li Yan Han, Hanhuan Yan, Cheng Li Zheng 

Publication date: 1 July 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1383423

zbMATH Keywords

bull and bear marketsnormal mixture modelstock daily returnsdifferent components

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Brownian motion in the stock market
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Option price and market instability
• The effects of normal mixtures and autocorrelation on the fraction non-conforming

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