Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange
Journal Title: The Review of Finance and Banking - Year 2015, Vol 7, Issue 1
Abstract
Onfive of the most liquid and important equities of the Romanian stock market together with the market index is investigated the fit of the generalized hyperbolic distributions. The parameters of the hyperbolic distribution, Variance- Gamma, Normal Inverse Gaussian, skewed t Student and generalized hyperbolic are estimated using the maximum likelihood estimation. The goodness-of-fit measures used to assess the fitofeachdistribution are the Kolmogorov- Smirnov distance, Akaike information criteria and the log- likelihood. Plots are also inspected. The Variance- Gamma distribution was ruled out by the Kolmogorov- Smirnov test. After inspecting the plots, a good approximation of the data was given by the Normal Inverse Gaussian distribution and the generalized hyperbolic, but based on the goodness-of-fit measures, the generalized hyperbolic distribution yield to be the best fit.
Authors and Affiliations
Olivia Andreea Baciu
Keywords
Related Articles
- EP ID EP592278
- DOI -
- Views 176
- Downloads 0
Does Free Float Affect Shareholder Wealth? New Evidence from the Stock Exchange of Thailand
This research aims to investigate alternative investment illiquidity stocks in an emerging market, the Stock Exchange of Thailand. The new sample, illiquidity stocks, is evaluated by the ranking of stock trading volume f...
Insider Trading, Market Efficiency, and Regulation - A Literature Review
The paper reviews the existing studies on insider trading, market efficiency, and regulation. We suggest that insider trading information is useful to escalate the price discovery. However, most of studies on insider tra...
Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach
This paper aims to estimate the effects of contagion on the three Romanian commercial banks during financial crisis period, by using the CoVaR methodology. The motivation in choosing this topic is represented by the fact...
Revisiting the Technical Efficiency Gains of Indian Commercial Banks from Bancassurance
The study is an attempt to evaluate the effect of initiating bancassurance on technical efficiency performance of Indian commercial banks. The technique of Data Envelopment Analysis (DEA) has been used to calculate techn...
Investment Cash Flow Sensitivity and Managerial Optimism: A Literature Review via the Classification Scheme Technique
In this paper, we present a literature review and classification scheme for investment cash flow sensitivity under behavioral corporate finance (hereafter, BCF). The former consists of all published articles between 2000...