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Application of Generalized Student’s T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes Cover

Application of Generalized Student’s T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes

Open Access
|Jul 2014

Abstract

This paper examines the application of the so called generalized Student’s t-distribution in modeling the distribution of empirical return rates on selected Warsaw stock exchange indexes. It deals with distribution parameters by means of the method of logarithmic moments, the maximum likelihood method and the method of moments. Generalized Student’s t-distribution ensures better fitting to empirical data than the classical Student’s t-distribution.

DOI: https://doi.org/10.2478/foli-2013-0022 | Journal eISSN: 1898-0198 | Journal ISSN: 1730-4237
Language: English
Page range: 37 - 48
Submitted on: Oct 16, 2013
Accepted on: Jan 17, 2014
Published on: Jul 8, 2014
Published by: University of Szczecin
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2014 Jan Purczyńskiz, Kamila Bednarz-Okrzyńska, published by University of Szczecin
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.