Review of asset return distribution and its application

MaRDI QIDQ5741921zbMATH OpenFDO

Authors Sandya Nilmini Kumari, Abby Tan

Publication date 16 May 2019

zbMATH Keywords

distribution of returngold indexStudent's \(t\) distributionstylized facts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Empirical evidence on Student-t log-returns of diversified world stock indices
• Modeling asset returns with alternative stable distributions^*
• The modified Weibull distribution for asset returns
• scientific article; zbMATH DE number 2173980

Cited in

(5)

• Comment on ``Pricing of financial derivatives based on the Tsallis statistical theory by Zhao, Pan, Yue and Zhang
• Empirical evidence on Student-t log-returns of diversified world stock indices
• The modified Weibull distribution for asset returns
• ON THE SHAPE OF ASSET RETURN DISTRIBUTION
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

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