On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

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Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007, methodology): “Student-t Density. A Student-t density has been identifled to model the logreturns of flnancial securities, as can be seen, for instance, in Praetz (1972), Blattberg & Gonedes (1974) and Fergusson & Platen (2006) .”
Stochastic behavioral asset pricing models and the stylized facts (2008, result): “The most interesting aspect of these results is that (56) de nes a region z ∈ [0, z] in which the dynamics reverts to the continuum after disturbances, while for z beyond the threshold value z, the dynamics becomes unstable.”
Sampling Student’s T distribution – use of the inverse cumulative distribution function (2006, background): “Recent work by Fergusson and Platen (2006) suggests, for example, that the “T ” (with n ∼ 4) is an accurate representation of index returns in a global setting, and propose models to underpin this idea.”