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.

引用

页码：3543 / 3551

页数：9

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