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~person:"Platen, Eckhard"
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log-return distribution
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Student t distribution
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Student-t distribution
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diversified world stock index
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generalised hyperbolic distribution
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generalized hyperbolic distribution
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growth optimal portfolio
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Platen, Eckhard
Asmussen, Søren
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Rendek, Renata
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Finance Discipline Group, Business School
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Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
Platen, Eckhard
;
Rendek, Renata
-
Finance Discipline Group, Business School
-
2007
-t distribution with about four degrees of freedom as the typical estimated
log-return
distribution
of such indices. Owing to the …
Persistent link: https://www.econbiz.de/10004984480
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2
On the
Log-Return
Distribution
of Index Benchmarked Share Prices
Platen, Eckhard
-
Finance Discipline Group, Business School
-
1999
symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed
log-return
…
distribution
is also described. …
Persistent link: https://www.econbiz.de/10004984611
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