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- Publisher
- Taylor & Francis
- Copyright
- Copyright Taylor & Francis Group, LLC
- ISSN
- 1466-4313
- eISSN
- 1350-486X
- DOI
- 10.1080/13504860500394052
- Publisher site
- See Article on Publisher Site
Abstract
In this paper distributions are identified which suitably fit log‐returns of the world stock index when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighbourhood of those of the Student t distribution. This is confirmed at a high significance level under the likelihood ratio test. Finally, the paper derives the minimal market model, which explains the empirical findings as a consequence of the optimal market dynamics.
Journal
Applied Mathematical Finance – Taylor & Francis
Published: Mar 1, 2006
Keywords: World stock index; log‐return distribution; Student t distribution; symmetric generalized hyperbolic distribution