𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A model for stock return distribution

✍ Scribed by Mikael Linden

Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
115 KB
Volume
6
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

The Laplace mixture distribution for stock share returns is derived from conditional N(0,β€…Οƒ^2^) distribution. The conditioning variable, Οƒ^2^, is assumed to be an exponentially distributed random variable. This offers a natural stochastic interpretation of the risk involved with the stock share. Maximum likelihood (ML) estimates for returns of the 20 most traded shares and the aggregate index of the Helsinki stock market in late 1980s do not reject the Laplace distribution model. The results extend to returns over longer periods than 1 day. Copyright Β© 2001 John Wiley & Sons, Ltd.

πŸ“œ SIMILAR VOLUMES

Continuous-time models, realized volatil
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
✍ Torben G. Andersen; Tim Bollerslev; Per Frederiksen; Morten Ørregaard Nielsen πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 239 KB

## Abstract We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation m

Microscopic spin model for the dynamics
Microscopic spin model for the dynamics of the return distribution of the Korean stock market index
✍ Jae-Suk Yang; Seungbyung Chae; Woo-Sung Jung; Hie-Tae Moon πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 401 KB

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s w

Forecasting Performance of Nonlinear Mod
Forecasting Performance of Nonlinear Models for Intraday Stock Returns
✍ JosΓ© M. MatΓ­as; Juan C. Reboredo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 401 KB πŸ‘ 1 views

## ABSTRACT We studied the predictability of intraday stock market returns using both linear and nonlinear time series models. For the S&P 500 index we compared simple autoregressive and random walk linear models with a range of nonlinear models, including smooth transition, Markov switching, artif