Empirical distributions of daily equity index returns: A comparison

作者：

Highlights：

• We answer the question of which model to use to represent equity index returns.

• We compare performances of different distributions using KS and AD statistics.

• We also test the power of the models using Value-at-Risk failure rates.

• The generalized lambda distribution outperforms other models.

摘要

•We answer the question of which model to use to represent equity index returns.•We compare performances of different distributions using KS and AD statistics.•We also test the power of the models using Value-at-Risk failure rates.•The generalized lambda distribution outperforms other models.

论文关键词：Index returns,Generalized lambda,Johnson translation system,Skewed-t,Normal inverse Gaussian,g-and-h

论文评审过程：Received 6 July 2015, Revised 31 December 2015, Accepted 31 December 2015, Available online 2 February 2016, Version of Record 18 February 2016.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.12.048