Application of Generalized Student's T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes

• Autorzy: Jan Purczyński , Kamila Bednarz-Okrzyńska
• Języki publikacji: EN

Abstrakty

EN

This paper examines the application of the so called generalized Student's t-distribution in modeling the distribution of empirical return rates on selected Warsaw stock exchange indexes. It deals with distribution parameters by means of the method of logarithmic moments, the maximum likelihood method and the method of moments. Generalized Student's t-distribution ensures better fitting to empirical data than the classical Student's t-distribution.(original abstract)

Słowa kluczowe

PL

Rozkład t-Studenta; Estymacja; Indeks giełdowy

EN

Student's t-distribution; Estimation; Stock market indexes

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2013
• Tom: 13
• Numer: nr 2
• Strony: 37-48

Twórcy

autor

Jan Purczyński

• University of Szczecin, Poland

autor

Kamila Bednarz-Okrzyńska

• University of Szczecin, Poland

Bibliografia

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Identyfikatory

DOI

10.2478/foli-2013-0022