MUTUAL FUNDS FOR DISTRIBUTION AND CALCULATION RETURNS

被引：0
|
作者：
Ionescu, Eduard [1 ]
Covaci, Brindusa [1 ]
Covaci, Mihai [1 ]
机构：
[1] Spiru Haret Univ, Finance & Banks Dept, Bucharest, Romania
来源：
MICBE '09: PROCEEDINGS OF THE 10TH WSEAS INTERNATIONAL CONFERENCE ON MATHEMATICS AND COMPUTERS IN BUSINESS AND ECONOMICS | 2009年
关键词：
return distribution; symmetrical distribution; mutual fund performance; visualising non-normality; heteroskedasticity; COVARIANCE-MATRIX ESTIMATION; HETEROSKEDASTICITY; MARKET; TESTS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Distribution and calculation returns are applied in the financial literature for determining fund performance or testing market competency. In this paper we propose a new return calculation and distribution method. This method has not been used in academic studies for asset pricing purpose. Daily recalculated monthly returns induce the best fitting property of the market model and the time series remain sufficiently long to derive asymptotic tests even when we work on a long time period series.
引用
收藏
页码：117 / 122
页数：6
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