On the Distributional Characterization of Log-returns of a World Stock Index

Kevin Fergusson and Eckhard Platen ()

No 153, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: In this paper we identify distributions which suitably fit log-returns of the world stock index (WSI) when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighborhood of those of the Student t distribution. This is confirmed on a high significance level under the likelihood ratio test.

Keywords: world stock index; benchmarked log-return; Student t distribution; symmetric generalized hyperbolic distribution (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2005-03-01
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published as: Fergusson, K. and Platen, E., 2006, "On the Distributional Characterization of Log-returns of a World Stock Index", Applied Mathematical Finance, 13(1), 19-38.

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https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp153.pdf (application/pdf)

Related works:
Journal Article: On the Distributional Characterization of Daily Log-Returns of a World Stock Index (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:153

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