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Copernican Journal of Finance & Accounting

HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS
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HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS

Autori

  • David Eden Bank of Canada
  • Paul Huffman University of Manitoba
  • John Holman Illinois State University

DOI:

https://doi.org/10.12775/CJFA.2017.007

Parole chiave

Value at Risk, GSPTSE, Skewed t distribution

Abstract

Many of financial engineering theories are based on so-called “complete markets” and on the use of the Black-Scholes formula. The formula relies on the assumption that asset prices follow a log-normal distribution, or in other words, the daily fluctuations in prices viewed as percentage changes follow a Gaussian distribution. On the contrary, studies of actual asset prices show that they do not follow a log-normal distribution. In this paper, we investigate several widely-used heavy-tailed distributions. Our results indicate that the Skewed t distribution has the best empirical performance in fitting the Canadian stock market returns. We claim the results are valuable for market participants and the financial industry.

Riferimenti bibliografici

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Copernican Journal of Finance & Accounting

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Pubblicato

2017-12-08

Come citare

1.
EDEN, David, HUFFMAN, Paul e HOLMAN, John. HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS. Copernican Journal of Finance & Accounting. Online. 8 dicembre 2017. Vol. 6, no. 2, pp. 9-21. [Accessed 6 luglio 2025]. DOI 10.12775/CJFA.2017.007.
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V. 6 N. 2 (2017)

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