Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
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More about this item
Keywordsdiversified world stock index; growth optimal portfolio; log-return distribution; Student-t distribution; generalized hyperbolic distribution; likelihood ratio test;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-19 (All new papers)
- NEP-EDU-2007-05-19 (Education)
- NEP-RMG-2007-05-19 (Risk Management)
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