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

In: Perspectives On Promotion And Database Marketing The Collected Works of Robert C Blattberg

Author

Listed:
  • Robert C. Blattberg
  • Nicholas J. Gonedes

    (Graduate School of Business, University of Chicago, United States)

Abstract

The 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

Suggested Citation

  • Robert C. Blattberg & Nicholas J. Gonedes, 2010. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," World Scientific Book Chapters, in: Greg M Allenby (ed.), Perspectives On Promotion And Database Marketing The Collected Works of Robert C Blattberg, chapter 3, pages 25-61, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814287067_0003
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    Cited by:

    1. Jalshayin Bhachech & Arnab Chakrabarti & Taisei Kaizoji & Anindya S. Chakrabarti, 2022. "Instability of networks: effects of sampling frequency and extreme fluctuations in financial data," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 95(4), pages 1-14, April.

    More about this item

    Keywords

    Quantitative Marketing; Tracker Model; Customer Level Data; Marketing-Mix Modeling;
    All these keywords.

    JEL classification:

    • M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing

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