Empirical distributions of daily equity index returns: A comparison

Canan G. Corlu, Melike Meterelliyoz, Murat Tiniç

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

The normality assumption concerning the distribution of equity returns has long been challenged both empirically and theoretically. Alternative distributions have been proposed to better capture the characteristics of equity return data. This paper investigates the ability of five alternative distributions to represent the behavior of daily equity index returns over the period 1979-2014: the skewed Student-t distribution, the generalized lambda distribution, the Johnson system of distributions, the normal inverse Gaussian distribution, and the g-and-h distribution. We find that the generalized lambda distribution is a prominent alternative for modeling the behavior of daily equity index returns.
Original languageEnglish
Pages (from-to)170-192
JournalExpert Systems with Applications
Volume54
DOIs
Publication statusPublished - 15 Jul 2016
Externally publishedYes

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