- Author
- Purczyński Jan (University of Szczecin, Poland), Bednarz-Okrzyńska Kamila (University of Szczecin, Poland)
- Title
- Application of Generalized Student's T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes
- Source
- Folia Oeconomica Stetinensia, 2013, vol. 13, nr 2, s. 37-48, tab., bibliogr. 11 poz.
- Keyword
- Rozkład t-Studenta, Estymacja, Indeks giełdowy
Student's t-distribution, Estimation, Stock market indexes - Note
- summ.
- 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.(original abstract)
- Accessibility
- The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
- Jackman, S. (2009). Bayesian analysis for the social sciences. New York: Wiley.
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- Purczyński, J. & Guzowska, M. (2002): Application of α-stabilized and GED Distributions in Modeling the Distribution of Return Rates on S&P500 Index, conference materials, Capital Market - Effective Investing" Vol. 1. Szczecin: Wydawnctwo Naukowe Uniwersytetu Szczecińskiego.
- Purczyński, J. (2003). Application of computer simulations to estimation of selected econometric and statistical models. Uniwersytet Szczeciński, Rozprawy i Studia T. (DXXV), 451, Szczecin: Wydawnctwo Naukowe Uniwersytetu Szczecińskiego.
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- Tarczyński, W. & Mojsiewicz, M. (2001). Risk management. Warszawa: PWE.
- Tomasik, E. (2011). Analysis of rates of return distributions of financial instruments on Polish capital market. Doctoral dissertation, Uniwersytet Ekonomiczny w Poznaniu, Poznań.
- Weron, A. & Weron, R. (1998). Financial engineering. Warszawa: WNT.
- Cited by
- ISSN
- 1730-4237
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.2478/foli-2013-0022
