Skewness in return rate distribution modelling

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SKEWNESS_IN_RETURN_RATE_DISTRIBUTION_MODELLING.pdf (3.06 MB)
Authors
Czyżycki, Rafał
Date
2016
Journal Title
Journal ISSN
Volume Title
Publisher
University of Maribor,Faculty ofLogistics, Celje, Slovenia
License
Creative Commons License
Creative Commons Attribution-ShareAlike 3.0 Poland License
Abstract
The main objective of the study is to assess the extent to which inclusion of the possibility of skewness in the density functionaffects thequality ofreturn rate distribution modelling. Three basie distribution types shallbe used to this end,i.e.normal distribution, Student's t-distribution and GED distribution. Additionally, the significance of skewness for modelling normal and logarithmic return rate shall be determined, as well as differences inreturn rate distribution skewness on both maturę and developing capital markets.For this purpose,return rates onthe S&P500 and WIGindices shall be subjectedto modelling.
Description
Keywords
skewness    modelling ofreturn rate distribution    normal symmetrical distribution    normal skew distribution    skew Student's t-distribution    Student's t-distribution    GEDdensity function    skew GED density function
Citation
Czyżycki, R., (2016), Skewness in return rate distribution modelling, [in:] MODERN CONDITIONS OF DEVELOPMENT-Economics and Management, Celje, pp. 55-69
URI
https://depot.ceon.pl/handle/123456789/14361
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