Models for stock returns

被引:3
|
作者
Nadarajah, Saralees [1 ]
机构
[1] Univ Manchester, Manchester M13 9PL, Lancs, England
关键词
Beta function; Gamma function; Generalized hypergeometric function; Incomplete gamma function; Kummer function; Modified Bessel function; Normal distribution; Stock market returns; HEAVY-TAILED DISTRIBUTIONS; STOCHASTIC VOLATILITY; LEVY PROCESSES; ASSET RETURNS; OPTIONS; MARKET; BURR;
D O I
10.1080/14697680902855384
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Historically, the normal variance model has been used to describe stock return distributions. This model is based on taking the conditional stock return distribution to be normal with its variance itself being a random variable. The form of the actual stock return distribution will depend on the distribution for the variance. In practice, the distributions chosen for the variance appear to be very limited. In this note, we derive a comprehensive collection of formulas for the actual stock return distribution, covering some sixteen flexible families. The corresponding estimation procedures are derived by the method of moments and the method of maximum likelihood. We feel that this work could serve as a useful reference and lead to improved modelling with respect to stock market returns.
引用
收藏
页码:411 / 424
页数:14
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