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https://hdl.handle.net/20.500.11851/1604
Title: | Empirical Distributions of Daily Equity Index Returns: a Comparison | Authors: | Çorlu, Canan G. Meterelliyoz Kuyzu, Melike Tiniç, Murat |
Keywords: | Index returns Generalized lambda Johnson translation system Skewed-t Normal inverse Gaussian g-and-h |
Publisher: | Pergamon-Elsevier Science Ltd | Source: | Corlu, C. G., Meterelliyoz, M., & Tiniç, M. (2016). Empirical distributions of daily equity index returns: A comparison. Expert systems with applications, 54, 170-192. | Abstract: | The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative distributions to represent the behavior of daily equity index returns over the period 1979-2014: the skewed Student-t distribution, the generalized lambda distribution, the Johnson system of distributions, the normal inverse Gaussian distribution, and the g-and-h distribution. We find that the generalized lambda distribution is a prominent alternative for modeling the behavior of daily equity index returns. (C) 2016 Elsevier Ltd. All rights reserved. | URI: | https://doi.org/10.1016/j.eswa.2015.12.048 https://hdl.handle.net/20.500.11851/1604 |
ISSN: | 0957-4174 |
Appears in Collections: | İşletme Bölümü / Department of Management Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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