Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time
Description:
In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density …
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Date:
August 1988
Creator:
Bunger, R. C. (Robert Charles)
Partner:
UNT Libraries