Heavy-tailed Distributions and the Canadian Stock Market Returns

• Autorzy: David Eden , Paul Huffman , John Holman
• Języki publikacji: EN

Abstrakty

EN

Many of financial engineering theories are based on so-called "complete markets" and on the use of the Black-Scholes formula. The formula relies on the assumption that asset prices follow a log-normal distribution, or in other words, the daily fluctuations in prices viewed as percentage changes follow a Gaussian distribution. On the contrary, studies of actual asset prices show that they do not follow a log-normal distribution. In this paper, we investigate several widely-used heavy-tailed distributions. Our results indicate that the Skewed t distribution has the best empirical performance in fitting the Canadian stock market returns. We claim the results are valuable for market participants and the financial industry. (original abstract)

Słowa kluczowe

EN

Value at Risk Analysis; Student's t-distribution; Heavy-tailed distribution

PL

Analiza wartości zagrożonej; Rozkład t-Studenta; Rozkład gruboogonowy

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2017
• Tom: 6
• Numer: nr 2
• Strony: 9--21

Twórcy

autor

David Eden

• Bank of Canada, Canada

autor

Paul Huffman

• University of Manitoba, Canada

autor

John Holman

• Illinois State University, United States

Bibliografia

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Identyfikatory

DOI

10.12775/15266