On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
DOI10.1080/13504860500394052zbMATH Open1157.91422OpenAlexW2126252086MaRDI QIDQ5489325FDOQ5489325
Authors: 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
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distributionsymmetric generalized hyperbolic distributionworld stock indexlog-return distributionstudent
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
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Cited In (28)
- Stable Paretian versus student's \(t\) stock market hypothesis
- Characterizations of Student's \(t\)-distribution via regressions of order statistics
- Unimodal density estimation using Bernstein polynomials
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- Regression revisited
- Universality in PSI20 fluctuations
- Universality in the stock exchange market
- Selecting from among 12 alternative distributions of financial data
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Problems of mathematical finance by stochastic control methods
- Quantile mechanics
- Financial power laws: empirical evidence, models, and mechanisms
- A conditional distribution model for limited stock index returns
- A new variability order based on tail-heaviness
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
- Local volatility function models under a benchmark approach
- Modeling the distribution of day-ahead electricity returns: a comparison
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student's \(t\)-distribution
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Financial Data Analysis with Two Symmetric Distributions
- The Distribution of Stock Returns When the Market Is Up
- A practical implementation of weighted kernel density estimation for handling shape constraints
- Dynamic asset allocation for target date funds under the benchmark approach
- Testing variability orderings by using Gini's mean differences
- Quantile mechanics II: Changes of variables in Monte Carlo methods and GPU-optimised normal quantiles
- Review of asset return distribution and its application
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