On the distributional characterization of daily log-returns of a world stock index

Applied Mathematical Finance

Volumn 13, Issue 1, 2006, Pages 19-38

  Fergusson, Kevin ^a   Platen, Eckhard ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Log return distribution; Student t distribution; Symmetric generalized hyperbolic distribution; World stock index

Indexed keywords

EID: 33645694249     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504860500394052     Document Type: Article

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