An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
The study investigates whether the stable Paretian hypothesis is more adequate to explain the returns of US agency mortgage pass-through securities than the traditional normal distribution assumption. The daily returns of six representative index generics of Lehman Brothers are investigated in the framework of three different probabilistic models: independent, identically distributed model, the EWMA model, and the ARMA-GARCH model. It is found that the stable Paretian hypothesis better explains not only the tails but the central part of the distribution as well.
Volume (Year): 16 (2006)
Issue (Month): 15 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1085-1094. See general 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.