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The daily returns of the Portuguese stock index : a distributional characterization

2013-10Working paper Open access
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dc.contributor.authorRege, Sameer
dc.contributor.authorTeixeira, João
dc.contributor.authorMenezes, António Gomes de
dc.date.accessioned2019-04-30T18:23:56Z
dc.date.available2019-04-30T18:23:56Z
dc.date.issued2013-10
dc.description.abstractThis paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions to the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013. We find that the distribution of the actual returns of the PSI-20 exhibits much higher kurtosis and extreme values as compared to the normal distribution. Overall, the best fit is provided by the Student t and the generalized hyperbolic distributions. This pattern also applies to the tail behavior, as the density of the Student t distribution exhibits fatter tails then the density of the other distributions, followed by the density of the generalized hyperbolic distribution. Finally, we find that the normal inverse Gaussian and the normal distributions have the lowest fitting quality to the actual daily returns of the Portuguese stock index.en
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationRege, Sameer R.; Teixeira, João C. A.; Menezes, António G. (2013). The daily returns of the Portuguese stock index: a distributional characterization, “Working Paper Series”, nº 1/13, 26 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.pt_PT
dc.identifier.doi10.2139/ssrn.2346491pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.3/5077
dc.language.isoengpt_PT
dc.publisherUniversidade dos Açorespt_PT
dc.subjectGeneralized Hyperbolic Distributionen
dc.subjectNormal Distributionen
dc.subjectPortuguese Stock Index Returnsen
dc.subjectStudent t Distributionen
dc.titleThe daily returns of the Portuguese stock index : a distributional characterizationen
dc.typeworking paper
dspace.entity.typePublication
oaire.citation.conferencePlacePonta Delgada, Açorespt_PT
oaire.citation.endPage26pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleCEEAplA-A - Working Paper Seriespt_PT
person.familyNameTeixeira
person.familyNameGomes de Menezes
person.givenNameJoão
person.givenNameAntónio
person.identifier.ciencia-id0217-54D9-5CBF
person.identifier.orcid0000-0003-4774-0236
person.identifier.orcid0000-0002-2001-1589
person.identifier.ridA-4954-2010
person.identifier.ridAAU-5257-2021
person.identifier.scopus-author-id22956440000
person.identifier.scopus-author-id23667117800
rcaap.rightsopenAccesspt_PT
rcaap.typeworkingPaperpt_PT
relation.isAuthorOfPublication91b279dc-585a-4ec9-b7f0-dabf663ac9ae
relation.isAuthorOfPublication89f398e2-f2ad-4c44-841a-93de1c5dcf67
relation.isAuthorOfPublication.latestForDiscovery89f398e2-f2ad-4c44-841a-93de1c5dcf67

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