## Abstract The Laplace mixture distribution for stock share returns is derived from conditional __N__(0,β Ο^2^) distribution. The conditioning variable, Ο^2^, is assumed to be an exponentially distributed random variable. This offers a natural stochastic interpretation of the risk involved with the
β¦ LIBER β¦
EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS
β Scribed by J. Brian Gray; Dan W. French
- Book ID
- 111105432
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 382 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0306-686X
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