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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/6081

Title: Analysing financial returns using regression based on non-symmetric stable distributions
Authors: LAMBERT, Philippe
Issue Date: 1999
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.
URI: http://hdl.handle.net/1942/6081
DOI: 10.1111/1467-9876.00161
ISI #: 000080769400009
ISSN: 0035-9254
Type: Journal Contribution
Appears in Collections: Research publications

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