Stock returns and hyperbolic distributions

被引：24

作者：

Küchler, U

Neumann, K

Sorensen, M

Streller, A

机构：

[1] Humboldt Univ, Math Inst, D-10099 Berlin, Germany

[2] Univ Copenhagen, Dept Theoret Stat, DK-2100 Copenhagen O, Denmark

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1999年 / 29卷 / 10-12期

关键词：

diffusion processes; distributional shape; German stock market; hyperbolic distributions; stock returns;

D O I：

10.1016/S0895-7177(99)00088-6

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The four parameter family of hyperbolic distributions fits very well the daily returns of the German stocks that have been included in the DAX during the period 1974 and 1992. Estimators and confidence regions for the hyperbolic parameters are calculated from the empirical data. In particular, skewness and kurtosis can be modelled much better by hyperbolic distributions than by normal distributions. Dates of outliers are identified with economical or political events in the world. It is indicated how the hyperbolic parameters can be used to compare different stocks. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：1 / 15

页数：15

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