Models of Stock Returns--A Comparison Export

@article{citeulike:4214848, abstract = {In this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes. Stationarity tests on the parameter estimates of this discrete mixture of normal distributions model revealed significant differences in the mean estimates that can explain the observed skewness and significant differences in the variance estimates that can explain the observed kurtosis. An alternative explanation for the observed fat tails is the symmetric student model. The result of a comparison between the models is that the discrete mixture of normal distributions model has substantially more descriptive validity than the student model.}, author = {Kon, Stanley J.}, citeulike-article-id = {4214848}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2327673}, citeulike-linkout-1 = {http://www.jstor.org/stable/2327673}, doi = {10.2307/2327673}, issn = {00221082}, journal = {The Journal of Finance}, keywords = {kurtosis}, number = {1}, pages = {147--165}, posted-at = {2009-03-24 16:46:08}, priority = {2}, publisher = {Blackwell Publishing for the American Finance Association}, title = {Models of Stock Returns--A Comparison}, url = {http://dx.doi.org/10.2307/2327673}, volume = {39}, year = {1984} }

TY - JOUR ID - citeulike:4214848 L3 - citeulike-article-id:4214848 N2 - In this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes. Stationarity tests on the parameter estimates of this discrete mixture of normal distributions model revealed significant differences in the mean estimates that can explain the observed skewness and significant differences in the variance estimates that can explain the observed kurtosis. An alternative explanation for the observed fat tails is the symmetric student model. The result of a comparison between the models is that the discrete mixture of normal distributions model has substantially more descriptive validity than the student model. IS - 1 JF - The Journal of Finance SN - 00221082 EP - 165 TI - Models of Stock Returns--A Comparison PB - Blackwell Publishing for the American Finance Association VL - 39 SP - 147 KW - kurtosis AU - Kon, Stanley PY - 1984/// UR - http://dx.doi.org/10.2307/2327673 ER -