Application of Generalized Student’s T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes

• Authors: Jan Purczyńskiz , Kamila Bednarz-Okrzyńska
• Languages of publication: EN

Abstracts

EN

This paper examines the application of the so called generalized Student’s t-distribution in modeling the distribution of empirical return rates on selected Warsaw stock exchange indexes. It deals with distribution parameters by means of the method of logarithmic moments, the maximum likelihood method and the method of moments. Generalized Student’s t-distribution ensures better fitting to empirical data than the classical Student’s t-distribution.

Keywords

EN

Student’s t-distribution; generalized Student’s t-distribution; stimation of distribution parameters; C02; C12; C13; C46; E43

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 13
• Issue: 2
• Pages: 37-48

Dates

received

2013-10-16

accepted

2014-01-17

online

2014-07-08

Contributors

author

Jan Purczyńskiz

• Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

author

Kamila Bednarz-Okrzyńska

• Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

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Identifiers

DOI

10.2478/foli-2013-0022