Open AccessPosted Content
A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
Robert C. Blattberg,Nicholas J. Gonedes +1 more
- pp 25-61
Reads0
Chats0
TLDR
In this article, the student and stable models were used to compare the rates of return of different stock price models, including the Student Distribution and the Stable Distribution, in terms of the Likelihood Ratio and the Fama-Roll.Abstract:
The following sections are included:INTRODUCTIONPROPERTIES OF THE STUDENT AND SYMMETRIC-STABLE DISTRIBUTIONSDefinitions and Properties of the Student and Stable ModelsSome Implications of the Student and Stable Models for Empirical and Theoretical WorkAdditional RemarksMODELS FOR RATES OF RETURNDerivation of the Student and Stable Models: SummaryOther Stock Price ModelsMETHODS FOR MODEL COMPARISONThe Likelihood RatioStabilityESTIMATION OF THE MODEL'S PARAMETERSM.L.E. for the Student DistributionFama-Roll Estimates for the Stable DistributionESTIMATION RESULTSThe Actual DataThe Design of the Monte Carlo StudyDiscussion of the Simulation ResultsResults for Rates of ReturnSUMMARYAPPENDIX A DERIVATIONS OF THE STUDENT AND STABLE MODELSAPPENDIX B PROPERTIES OF THE UNIFORM RANDOM NUMBERS USED IN THE SIMULATIONSread more
Citations
More filters
Journal Article
Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates
TL;DR: In this paper, the authors proposed a new goodness-of-fit hypothesis test with focus on the tails of the distribution, which is based on the conditional value at risk measure and three major exchange rates are used as examples of a practical application of the test proposed.
Journal ArticleDOI
On polynomial extension of t-distribution and its financial applications
Hao Li,Alexander Melnikov +1 more
TL;DR: An extension of the t-dist distribution model is introduced, called polynomial-t-distribution model, in which the product of the TSP density and a Polynomial are used to fit the density function of financial returns.
Journal ArticleDOI
Local influence assessment in a multivariate t-model with rao's simple structure
TL;DR: In this paper, the effects of minor perturbations on the statistical inference of a multivariate t-model with Rao's simple structure (RSS) were investigated. But the authors focused on the local influence analysis and did not consider the effect of a common covariance-weighted perturbation.
Journal ArticleDOI
Value at Risk of Non-Normal Portfolios
TL;DR: In this article, the Edgeworth-Sargan distribution is used to estimate the joint density of portfolio variables, and simultaneously calculate the right critical values of the underlying portfolio density.
Analysis of investment strategies: a new look at investment returns
TL;DR: In this article, the authors propose a novel approach to solve the problem of the "missing link" problem, which they call the "mutation problem" and "missing links".
References
More filters
Journal ArticleDOI
The Distribution of Share Price Changes
TL;DR: In this paper, the authors presented both theoretical and empirical evidence about a probability distribution which describes the behavior of share price changes, which is the only known simple distribution to fit changes in share prices, and provided a far better fit to the data than the stable Paretian, compound process, and normal distributions.
Journal ArticleDOI
Parameter Estimates for Symmetric Stable Distributions
Eugene F. Fama,Richard Roll +1 more
TL;DR: In this paper, estimators for the scale parameter and characteristic exponent of symmetric stable distributions are proposed and Monte Carlo studies of these estimators are reported. And the powers of various goodness-of-fit tests of a Gaussian null hypothesis against non-Gaussian stable alternatives are also investigated.