<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></abstract>

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.

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

Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

This paper examines the application of the so called generalized Student’s t-distribution in modeling the distribution of empirical return rates on selected...

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

Pubblicato online: 08 lug 2014

Pagine: 37 - 48

Ricevuto: 16 ott 2013

Accettato: 17 gen 2014

DOI: https://doi.org/10.2478/foli-2013-0022

Parole chiave
Student’s t-distribution, generalized Student’s t-distribution, stimation of distribution parameters

© 2013 University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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

Pubblicato online: 08 lug 2014

Pagine: 37 - 48

Ricevuto: 16 ott 2013

Accettato: 17 gen 2014

DOI: https://doi.org/10.2478/foli-2013-0022

Parole chiaveStudent’s t-distribution, generalized Student’s t-distribution, stimation of distribution parameters

© 2013 University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Parole chiave
Student’s t-distribution, generalized Student’s t-distribution, stimation of distribution parameters