HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS

HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS

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Many of financial engineering theories are based on so-called “complete markets” and on the use of the Black-Scholes formula. The formula relies on the assumption that asset prices follow a log-normal distribution, or in other words, the daily fluctuations in prices viewed as percentage changes foll...

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Bibliographic Details
Main Authors:	David Eden, Paul Huffman, John Holman
Format:	Article
Language:	English
Published:	Nicolaus Copernicus University in Toruń 2017-12-01
Series:	Copernican Journal of Finance & Accounting
Subjects:	Value at Risk GSPTSE Skewed t distribution
Online Access:	https://apcz.umk.pl/CJFA/article/view/15266

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