Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities
In this study, we model the returns of a stock index using various parametric distribution models. There are four indices used in this study: HSCEI, KOSPI 200, S&P 500, and EURO STOXX 50. We applied 12 distributions to the data of these stock indices—Cauchy, Laplace, normal, Student’s t, skew no...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2020-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2020/9763065 |