Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 5 (2009)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=112370
Stock returns; Non-normality; Gaussian mixtures; Generalised hyperbolic distribution; Generalised logF distribution; G12; C16;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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