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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| Format: | Article |
| Language: | English |
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Vilnius University Press
2019-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/15207 |