On the Log-Return Distribution of Index Benchmarked Share Prices
AbstractThis paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed log-return distribution is also described.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 22.
Date of creation: 01 Dec 1999
Date of revision:
Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.business.uts.edu.au/qfrc/index.html
More information through EDIRC
log-return distribution; Student t distribution; generalised hyperbolic distribution; minimal market model;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).
If references are entirely missing, you can add them using this form.