The mixture of left-right truncated normal distributions

被引：1
|
作者：
del Castillo, Joan [1 ]
Daoudi, Jalila [1 ]
机构：
[1] Univ Autonoma Barcelona, Dept Matemat, E-08193 Barcelona, Spain
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2009年 / 139卷 / 10期
关键词：
Coefficient of variation; Heavy tailed distributions; Return distributions; Normal inverse Gaussian distribution;
D O I：
10.1016/j.jspi.2009.04.010
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper introduces the mixture of left-right truncated normal distributions, from the spreads between bid and ask prices, as a statistical model for handle non-normality of asset price returns. It has been proved that there is only one maximum for the likelihood function of the new model. (C) 2009 Elsevier B.V. All rights reserved.
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页码：3543 / 3551
页数：9
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