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

Purczyńskiz Jan () and Bednarz-Okrzyńska Kamila ()
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Purczyńskiz Jan: Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland
Bednarz-Okrzyńska Kamila: Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

Folia Oeconomica Stetinensia, 2014, vol. 13, issue 2, 37-48

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.

Keywords: Student’s t-distribution; generalized Student’s t-distribution; stimation of distribution parameters (search for similar items in EconPapers)
JEL-codes: C02 C12 C13 C46 E43 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:13:y:2014:i:2:p:12:n:11

DOI: 10.2478/foli-2013-0022

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