Tailoring the Logistic Distribution to Fit the Empirical Distribution of Financial Asset Returns

Author:

Potì Valerio,Zoia Maria Grazia

Publisher

Elsevier BV

Reference8 articles.

1. the associated ? and ? estimates and, in the last three columns, the parameters (with standard errors in square brackets) of the Student-t and Skew-t distributions (where d.f. denotes degrees of freedom) that best fit the data and estimated by Maximum Likelihood. The sample period is 1985-2012. The securities are: the S&P500 and Nasdaq Composite stock market indices;The table reports descriptive statistics on the returns on the securities in our sample (denoted by the code associated to the security in the FRED database

2. Tailoring Density Functions via Orthogonal Polynomials;M Faliva;Theory and Methods,2012

3. Seminonparametric estimation of conditionally constrained heterogeneous processes: asset pricing applications;A R Gallant;Econometrica,1989

4. A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation;A R Gallant;New Directions in Time Series Analysis, Part II,1992

5. Relative Distribution Methods;M S Handcock;Sociological Methodology,1998

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