Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1604
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dc.contributor.authorÇorlu, Canan G.-
dc.contributor.authorMeterelliyoz Kuyzu, Melike-
dc.contributor.authorTiniç, Murat-
dc.date.accessioned2019-07-03T14:45:15Z
dc.date.available2019-07-03T14:45:15Z
dc.date.issued2016
dc.identifier.citationCorlu, C. G., Meterelliyoz, M., & Tiniç, M. (2016). Empirical distributions of daily equity index returns: A comparison. Expert systems with applications, 54, 170-192.en_US
dc.identifier.issn0957-4174
dc.identifier.urihttps://doi.org/10.1016/j.eswa.2015.12.048-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/1604-
dc.description.abstractThe 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.en_US
dc.language.isoenen_US
dc.publisherPergamon-Elsevier Science Ltden_US
dc.relation.ispartofExpert Systems With Applicationsen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectIndex returnsen_US
dc.subjectGeneralized lambdaen_US
dc.subjectJohnson translation systemen_US
dc.subjectSkewed-ten_US
dc.subjectNormal inverse Gaussianen_US
dc.subjectg-and-hen_US
dc.titleEmpirical Distributions of Daily Equity Index Returns: a Comparisonen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümütr_TR
dc.identifier.volume54
dc.identifier.startpage170
dc.identifier.endpage192
dc.authorid0000-0002-1718-055X-
dc.identifier.wosWOS:000374610600015en_US
dc.identifier.scopus2-s2.0-84958740552en_US
dc.institutionauthorMeterelliyoz, Melike-
dc.identifier.doi10.1016/j.eswa.2015.12.048-
dc.authorscopusid36561872700-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ1-
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept04.03. Department of Management-
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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