کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727747 | 1480208 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimating the distribution of volatility of realized stock returns and exchange rate changes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Realized stock return volatility is modelled with a distribution based on the Laplace distribution. The moment properties of suggested volatility distribution, η(Ï|λ), are derived. The properties of distribution correspond to the empirical regularities found in the finance literature. ML-estimator for λ is also provided. The advantage of Laplace approach lies in estimating λ from returns distribution f(x|λ) directly instead of volatility distribution based on bias sensitive standard deviation estimates. The goodness-to-fit tests with 5 day standard deviations of daily HEX closing price returns in period 3.1.1983-4.3.2003, daily S&P500 closing stock index returns in period 1.3.1950-27.3.2003 and daily USD/Euro exchange rate changes in period 28.12.1978-28.2.2003 support the suggested volatility distribution model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 352, Issues 2â4, 15 July 2005, Pages 573-583
Journal: Physica A: Statistical Mechanics and its Applications - Volume 352, Issues 2â4, 15 July 2005, Pages 573-583
نویسندگان
Mikael Linden,