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|Title:||Empirical distributions of daily equity index returns: A comparison||Authors:||Çorlu, Canan G.
Meterelliyoz Kuyzu, Melike
Johnson translation system
Normal inverse Gaussian
|Issue Date:||2016||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
|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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