Abstract

http://ssrn.com/abstract=2032762
 


 



On a Poisson Subordinated Distribution for Precise Statistical Measurement of Leptokurtic Financial Data


Stephen H.T. Lihn


affiliation not provided to SSRN

April 16, 2012


Abstract:     
A new Poisson subordinated distribution is proposed to capture major leptokurtic features in log-return time series of financial data. This distribution is intuitive, easy to calculate, and converge quickly. Analytic formula exists for all moments for the entire parameter space. It fits well to the historical daily log-return distributions of currencies, commodities, Treasury yields, VIX, and, most difficult of all, DJIA. It serves as a viable alternative to the Student’s t-distribution and the more sophisticated truncated stable distribution.

Number of Pages in PDF File: 39

Keywords: Subordination, Poisson distribution, financial data, fat tail, leptokurtotic, Student's t-distribution, Stable distribution, daily log-return, finite moment

JEL Classification: C61, C63

working papers series


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Date posted: April 3, 2012 ; Last revised: April 17, 2012

Suggested Citation

Lihn, Stephen H.T., On a Poisson Subordinated Distribution for Precise Statistical Measurement of Leptokurtic Financial Data (April 16, 2012). Available at SSRN: http://ssrn.com/abstract=2032762 or http://dx.doi.org/10.2139/ssrn.2032762

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Stephen H.T. Lihn (Contact Author)
affiliation not provided to SSRN ( email )
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