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

Fergusson, KJ; Platen, E

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

Fergusson, KJ Platen, E

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Publisher:: Routledge
Publication Type:: Journal Article
Citation:: Applied Mathematical Finance, 2006, 13 (1), pp. 19 - 38
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Fergusson, KJ	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Applied Mathematical Finance, 2006, 13 (1), pp. 19 - 38	en_US
dc.identifier.issn	1350-486X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3479
dc.description.abstract	In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighbourhood of those of the Student t distribution. This is confirmed at a high significance level under the likelihood ratio test. Finally, the paper derives the minimal market model, which explains the empirical findings as a consequence of the optimal market dynamics	en_US
dc.publisher	Routledge	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0559879
dc.relation.ispartof	Applied Mathematical Finance	en_US
dc.relation.isbasedon	10.1080/13504860500394052	en_US
dc.subject.classification	Finance	en_US
dc.title	On the distributional characterization of daily log-returns of a world stock index	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	13	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
pubs.organisational-group	/University of Technology Sydney/Students
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	13	en_US

Abstract:

In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighbourhood of those of the Student t distribution. This is confirmed at a high significance level under the likelihood ratio test. Finally, the paper derives the minimal market model, which explains the empirical findings as a consequence of the optimal market dynamics

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http://hdl.handle.net/10453/3479