Since 2014
Copernican Journal of Finance & Accounting
View Archive Info| Field | Value | |
| Title |
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HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS |
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| Creator |
Eden, David; Bank of Canada
Huffman, Paul; University of Manitoba Holman, John; Illinois State University |
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| Subject |
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— Value at Risk; GSPTSE; Skewed t distribution C46; C58; G10 |
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| Description |
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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. |
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| Publisher |
Uniwersytet Mikołaja Kopernika w Toruniu
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| Contributor |
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| Date |
2017-12-08
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/CJFA.2017.007
10.12775/CJFA.2017.007 |
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| Source |
Copernican Journal of Finance & Accounting; Vol 6, No 2 (2017); 9-21
Copernican Journal of Finance & Accounting; Vol 6, No 2 (2017); 9-21 2300-3065 2300-1240 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/CJFA.2017.007/13533
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| Coverage |
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| Rights |
Copyright (c) 2017 Copernican Journal of Finance & Accounting
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