Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20
The presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this phenomenon. We fit the Generalized Hyperbolic Distribution and the Normal Inverse Gaussian to the daily returns from the Portuguese Stock...
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| Format: | workingPaper |
| Language: | eng |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/10400.3/5047 |
| Country: | Portugal |
| Oai: | oai:repositorio.uac.pt:10400.3/5047 |