Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

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Eckhard Platen; Renata Rendek;
  • Subject: diversified world stock index; growth optimal portfolio; log-return distribution; Student-t distribution; generalized hyperbolic distribution; likelihood ratio test
    • jel: jel:G10 | jel:G13

The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies. Motivated by earlier results, we have obtained the estimated distribution of log-returns for a range o... View more
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