Modelling share returns

Stefan Stöckl, Andreas Rathgeber and Johannes Stadler
Additional contact information
Stefan Stöckl: ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Andreas Rathgeber: UNIA - Universität Augsburg [Deutschland] = University of Augsburg [Germany] = Université d'Augsburg [Allemagne]
Johannes Stadler: UNIA - Universität Augsburg [Deutschland] = University of Augsburg [Germany] = Université d'Augsburg [Allemagne]

Post-Print from HAL

Abstract: Due to the fact that there has been only little research on some essential issues of the Variance Gamma (VG) process, we have recognized a gap in literature as to the performance of the various estimation methods for modeling empirical share returns. While some papers present only few estimated parameters for a very small, selected empirical database, Finlay and Seneta (2008) compare most of the possible estimation methods using simulated data. In contrast to Finlay and Seneta (2008) we utilize a broad, daily, and empirical data set consisting of the stocks of each company listed on the DOW JONES over the period from 1991 to 2011. We also apply a regime switching model in order to identify normal and turbulent times within our data set and fit the VG process to the data in the respective period. We find out that the VG process parameters vary over time, and in accordance with the regime switching model, we recognize significantly increasing fitting rates which are due to the chosen periods

Keywords: Variance Gamma Model; Parameter Estimation Methods; Regime Switching Model (search for similar items in EconPapers)
Date: 2014-06-02
References: Add references at CitEc
Citations:

Published in 8th World Congress of the Bachelier Finance Society, Jun 2014, Brussels, Belgium

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01513963

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().