| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1148259 | Journal of Statistical Planning and Inference | 2009 | 9 Pages |
Abstract
This paper introduces the mixture of left–right truncated normal distributions, from the spreads between bid and ask prices, as a statistical model for handle non-normality of asset price returns. It has been proved that there is only one maximum for the likelihood function of the new model.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Joan del Castillo, Jalila Daoudi,