峰度
偏斜
期货合约
正态反高斯分布
计量经济学
方差伽马分布
分布(数学)
数学
商品
正态分布
经济
逆高斯分布
稳定分布
统计
高斯分布
渐近分布
数学分析
高斯过程
金融经济学
高斯随机场
物理
量子力学
估计员
市场经济
标识
DOI:10.1080/00036846.2023.2177598
摘要
Using daily closing price data spreading over 3 April 1990, to 5 May 2020, this study explores the skewness and excess kurtosis behaviour across energy, metals, and agricultural commodity futures. Subsequently, it compares the fitting of an empirical distribution under normal distribution assumption with those under the Generalized Hyperbolic distribution. The generalized hyperbolic distribution includes Hyperbolic distribution, Variance-Gamma distribution, and Normal Inverse Gaussian distribution. The results show that the Normal Inverse Gaussian distribution for natural gas, gold, platinum, copper, sugar, and feeder cattle futures captures skewness as well as excess kurtosis of the daily logarithmic returns. The findings are robust to the sub-sample analysis.
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