Application of Nonparametric Kernel Density Estimation in Hongkong Stock Market

Abstract:

Article Preview

A new method, non-parametric kernel density, is used to research the distribution function of HangSeng index returns. The new method can not only depict the character of peak and fat tails of stock returns, but also capture the market risk better than normal distribution. Further more, more accurate conclusions are concluded.

Info:

Periodical:

Edited by:

Qi Luo

Pages:

209-214

DOI:

10.4028/www.scientific.net/AMM.55-57.209

Citation:

Y. L. Wang and J. Wang, "Application of Nonparametric Kernel Density Estimation in Hongkong Stock Market", Applied Mechanics and Materials, Vols. 55-57, pp. 209-214, 2011

Online since:

May 2011

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Price:

$35.00

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