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Modelling stock returns - Slash distribution (Excel)
Автор: NEDL
Загружено: 2021-01-21
Просмотров: 1008
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How to deal with the "no man's land" in distribution fitting? What to do if your distribution tails are quite a bit heavier than Laplace but not as pathologic as Cauchy? Slash distribution might be the answer - it is quite simple conceptually and mathematically and can be of good use in statistical modelling. Today we apply the Slash distribution function to S&P 500 returns in Excel.
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