Estimation of geometric Brownian motion model with a t-distribution–based particle filter
Orientation: Geometric Brownian motion (GBM) model basically suggests whether the distribution of asset returns is normal or lognormal. However, many empirical studies have revealed that return distributions are usually not normal. These studies, time and again, discover evidence of non-normality, s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2019-02-01
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| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/159 |