A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

Robert C. Blattberg and Nicholas J. Gonedes
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Nicholas J. Gonedes: Graduate School of Business, University of Chicago, United States

Chapter 3 in Perspectives on Promotion and Database Marketing:The Collected Works of Robert C Blattberg, 2010, pp 25-61 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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 SIMULATIONS

Keywords: Quantitative Marketing; Tracker Model; Customer Level Data; Marketing-Mix Modeling (search for similar items in EconPapers)
JEL-codes: M31 (search for similar items in EconPapers)
Date: 2010
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