Normal mixture method for stock daily returns over different sub-periods
Author:
Affiliation:
1. School of Economics and Management, Beihang University, Beijing, China
2. School of Economics, Central China Normal University, Wuhan, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2017.1383423
Reference23 articles.
1. COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON
2. Option price and market instability
3. A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
4. A General Distribution for Describing Security Price Returns
5. Portfolio optimization when asset returns have the Gaussian mixture distribution
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1. Mixtures of generalized normal distributions and EGARCH models to analyse returns and volatility of ESG and traditional investments;AStA Advances in Statistical Analysis;2023-11-18
2. Empirical distributions of stock returns: Mixed normal or kernel density?;Physica A: Statistical Mechanics and its Applications;2019-01
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