Document Server@UHasselt >
Research publications >
Please use this identifier to cite or link to this item:
|Title: ||Analysing financial returns using regression based on non-symmetric stable distributions|
|Authors: ||LAMBERT, Philippe|
|Issue Date: ||1999|
|Publisher: ||BLACKWELL PUBLISHING|
|Citation: ||Journal of the Royal Statistical Society: series C: applied statistics, 48(3). p. 409-424|
|Abstract: ||The daily evolution of the price of Abbey National shares over a 10-week period is analysed by using regression models based on possibly non-symmetric stable distributions. These distributions, which are only known through their characteristic function, can be used in practice for interactive modelling of heavy-tailed processes. A regression model for the location parameter is proposed and shown to induce a similar model for the mode. Finally, regression models for the other three parameters of the stable distribution are introduced. The model found to fit best allows the skewness of the distribution, rather than the location or scale parameters, to vary over time. The most likely share return is thus changing over time although the region where most returns are observed is stationary.|
|ISI #: ||000080769400009|
|Type: ||Journal Contribution|
|Appears in Collections: ||Research publications|
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.