Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models
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More about this item
KeywordsStock returns; Non-normality; Gaussian mixtures; Generalised hyperbolic distribution; Generalised logF distribution; G12; C16;
- 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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