Flexible Models for Stock Returns Based on Student's T Distribution

Emmanuel Afuecheta; Stephen Chan; Saralees Nadarajah

doi:10.1111/manc.12234

Flexible Models for Stock Returns Based on Student's T Distribution

Emmanuel Afuecheta
, Stephen Chan
, Saralees Nadarajah

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.

Original language	English
Pages (from-to)	403-427
Number of pages	25
Journal	Manchester School
Volume	87
Issue number	3
DOIs	https://doi.org/10.1111/manc.12234
State	Published - Jun 2019
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2018 The University of Manchester and John Wiley & Sons Ltd

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/manc.12234

Cite this

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abstract = "Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.",

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AU - Chan, Stephen

AU - Nadarajah, Saralees

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N2 - Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.

AB - Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.

UR - https://www.scopus.com/pages/publications/85054336192

U2 - 10.1111/manc.12234

DO - 10.1111/manc.12234

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SP - 403

EP - 427

JO - Manchester School

JF - Manchester School

IS - 3

ER -

Flexible Models for Stock Returns Based on Student's T Distribution

Abstract

Bibliographical note

ASJC Scopus subject areas

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Cite this