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| Content Provider | Springer Nature Link |
|---|---|
| Author | Rathgeber, Andreas W. Stadler, Johannes Stöckl, Stefan |
| Copyright Year | 2015 |
| Abstract | Due to the fact that there has been only little research on some essential issues of the Variance Gamma (VG) process, we have recognized a gap in literature as to the performance of the various estimation methods for modeling empirical share returns. While some papers present only few estimated parameters for a very small, selected empirical database, Finaly and Seneta (Int Stat Rev 76:167–186, 2008) compare most of the possible estimation methods using simulated data. In contrast to Finaly and Seneta (2008) we utilize a broad, daily, and empirical data set consisting of the stocks of each company listed on the DOW JONES over the period from 1991 to 2011. We also apply a regime switching model in order to identify normal and turbulent times within our data set and fit the VG process to the data in the respective period. We find out that the VG process parameters vary over time, and in accordance with the regime switching model, we recognize significantly increasing fitting rates which are due to the chosen periods. |
| Starting Page | 653 |
| Ending Page | 682 |
| Page Count | 30 |
| File Format | |
| ISSN | 10550925 |
| Journal | Journal of Economics and Finance |
| Volume Number | 40 |
| Issue Number | 4 |
| e-ISSN | 19389744 |
| Language | English |
| Publisher | Springer US |
| Publisher Date | 2015-02-20 |
| Publisher Place | New York |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Variance Gamma model Parameter estimation methods Regime switching model Empirical data Economics Macroeconomics/Monetary Economics//Financial Economics Finance |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Economics and Econometrics |
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