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Normal mixture method for stock daily returns over different sub-periods

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成果类型:
期刊论文
作者:
Han, Liyan;Yan, Hanhuan*;Zheng, Chengli
通讯作者:
Yan, Hanhuan
作者机构:
[Yan, Hanhuan; Han, Liyan] Beihang Univ, Sch Econ & Management, 37 Xueyuan Rd, Beijing, Peoples R China.
[Zheng, Chengli] Cent China Normal Univ, Sch Econ, Wuhan, Hubei, Peoples R China.
通讯机构:
[Yan, Hanhuan] B
Beihang Univ, Sch Econ & Management, 37 Xueyuan Rd, Beijing, Peoples R China.
语种:
英文
关键词:
Bull and bear markets;Different components;Normal mixture model;Stock daily returns
期刊:
Communications in Statistics - Simulation and Computation
ISSN:
0361-0918
年:
2019
卷:
48
期:
2
页码:
447-457
基金类别:
National Natural Science Foundation of China, 71371022. This work is financially supported by the National Natural Science Foundation of China under project No. 71371022. National Natural Science Foundation of China, 71371022.
机构署名:
本校为其他机构
院系归属:
经济与工商管理学院
摘要:
In this paper, the normal mixture model, as an alternative distribution, is utilized to represent the characteristics of stock daily returns over different bull and bear markets. Firstly, we conduct the normality test for the return data and compare the Kolmogorov-Smirnov statistics of normal mixture models with different components. Secondly, we analyze the likely reasons why parameters change over different sub-periods. Our empirical examination proves that majority of the data series reject the normality assumption and mixture models with th...

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