Estimation of Parameters and Verification of Statistical Hypotheses for Gaussian Models of Stock Price
Articles
Dmytro Marushkevych
Université du Maine, France
Yevheniia Munchak
Taras Shevchenko National University of Kyiv, Ukraine
Published 2016-12-20
https://doi.org/10.15388/LJS.2016.13871
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Keywords

Ukrainian stock market
Ukrainian Stock Exchange
fractional Brownian motion
estimation of Hurst coefficient

How to Cite

Marushkevych, D. and Munchak, Y. (2016) “Estimation of Parameters and Verification of Statistical Hypotheses for Gaussian Models of Stock Price”, Lithuanian Journal of Statistics, 55(1), pp. 91–101. doi:10.15388/LJS.2016.13871.

Abstract

We construct models of asset prices on the Ukrainian stock market and analyse their applicability by checkingappropriate statistical hypotheses using actual observed data. We also analyse the presence of jumps in the dynamics ofdifferent assets and estimate the Hurst coefficient for the logarithm of the price of the asset by two different methods.

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