Öller, L-E and Stockhammar, P (2009): Density forecasting of the Dow Jones share index.
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The distribution of differences in logarithms of the Dow Jones share index is compared to the normal (N), normal mixture (NM) and a weighted sum of a normal and an Assymetric Laplace distribution (NAL). It is found that the NAL fits best. We came to this result by studying samples with high, medium and low volatility, thus circumventing strong heteroscedasticity in the entire series. The NAL distribution also fitted economic growth, thus revealing a new analogy between financial data and real growth.
|Item Type:||MPRA Paper|
|Original Title:||Density forecasting of the Dow Jones share index|
|English Title:||Density forecasting of the Dow Jones share index|
|Keywords:||Density forecasting, heteroscedasticity, mixed Normal- Asymmetric Laplace distribution, Method of Moments estimation, connection with economic growth.|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C20 - General|
|Depositing User:||L-E Öller|
|Date Deposited:||12. Nov 2009 16:47|
|Last Modified:||12. Feb 2013 14:47|
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