publication . Article . Preprint . Other literature type . 2011

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

Platen, Eckhard; Rendek, Renata;
Open Access
  • Published: 30 Nov 2011 Journal: Journal of Statistical Theory and Practice, volume 2, pages 233-251 (issn: 1559-8608, eissn: 1559-8616, Copyright policy)
  • Publisher: Springer Nature
Abstract
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 of world stock indices over long observation periods. We expand previous studies by applying the maximum likelihood ratio test to the large class of generalized hyperbolic distributions, and investigate the log-returns of a variety of diversified world stock indices in different currency denominations. This identifies the Student-t distribution with about four degrees of freedom as the typical esti...
Subjects
free text keywords: diversified world stock index; growth optimal portfolio; log-return distribution; Student-t distribution; generalized hyperbolic distribution; likelihood ratio test, Statistics and Probability, Stylized fact, Empirical evidence, Econometrics, Statistics, Rate of return, Student's t-distribution, Mathematics, Likelihood-ratio test, Stock market index, Ratio test, Currency, jel:G10, jel:G13
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publication . Article . Preprint . Other literature type . 2011

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

Platen, Eckhard; Rendek, Renata;