On the Distributional Characterization of Log-returns of a World Stock Index
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- Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
References listed on IDEAS
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Keywordsworld stock index; benchmarked log-return; Student t distribution; symmetric generalized hyperbolic distribution;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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