Modeling Baltic market benchmark index: a comparison of models

Modeling Baltic market benchmark index: a comparison of models

In this paper we perform a statistical analysis of the returns of OMX Baltic Benchmark index. We construct symmetric α-stable, non-standardized Student’s t and normal-inverse Gaussian models of daily logarithmic returns of the index, using maximum likelihood method for the estimation of the paramete...

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Bibliographic Details
Main Author: Igoris Belovas
Format: Article
Language:English
Published: Vilnius University Press 2019-12-01
Series:Lietuvos Matematikos Rinkinys
Subjects:
OMX Baltic Benchmark index
logarithmic returns
α-stable model
skewed Student’s t model
normal-inverse Gaussian model
Online Access:https://www.journals.vu.lt/LMR/article/view/15207

Internet

https://www.journals.vu.lt/LMR/article/view/15207

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