Title of article
The mixture of left–right truncated normal distributions
Author/Authors
del Castillo، نويسنده , , Joan and Daoudi، نويسنده , , Jalila، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
9
From page
3543
To page
3551
Abstract
This paper introduces the mixture of left–right truncated normal distributions, from the spreads between bid and ask prices, as a statistical model for handle non-normality of asset price returns. It has been proved that there is only one maximum for the likelihood function of the new model.
Keywords
Return distributions , Normal inverse Gaussian distribution , Coefficient of variation , Heavy tailed distributions
Journal title
Journal of Statistical Planning and Inference
Serial Year
2009
Journal title
Journal of Statistical Planning and Inference
Record number
2220281
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