{"id":"https://openalex.org/W2895604142","doi":"https://doi.org/10.1111/manc.12234","title":"Flexible Models for Stock Returns Based on Student'sTDistribution","display_name":"Flexible Models for Stock Returns Based on Student'sTDistribution","publication_year":2018,"publication_date":"2018-10-03","ids":{"openalex":"https://openalex.org/W2895604142","doi":"https://doi.org/10.1111/manc.12234","mag":"2895604142"},"language":"en","primary_location":{"id":"doi:10.1111/manc.12234","doi":"https://doi.org/10.1111/manc.12234","is_oa":true,"landing_page_url":"https://doi.org/10.1111/manc.12234","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/manc.12234","source":{"id":"https://openalex.org/S200838492","display_name":"Manchester School","issn_l":"0025-2034","issn":["0025-2034","1463-6786","1467-9957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Manchester School","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/manc.12234","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040039304","display_name":"Emmanuel Afuecheta","orcid":"https://orcid.org/0000-0002-9223-0799","observed_orcids":["https://orcid.org/0000-0002-9223-0799"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Emmanuel Afuecheta","raw_affiliation_strings":["School of Mathematics, University of Manchester"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, University of Manchester","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5066521546","display_name":"Stephen Chan","orcid":"https://orcid.org/0000-0002-2312-2137","observed_orcids":["https://orcid.org/0000-0002-2312-2137"]},"institutions":[{"id":"https://openalex.org/I199440890","display_name":"American University of Sharjah","ror":"https://ror.org/001g2fj96","country_code":"AE","type":"education","lineage":["https://openalex.org/I199440890"]}],"countries":["AE"],"is_corresponding":false,"raw_author_name":"Stephen Chan","raw_affiliation_strings":["Department of Mathematics and Statistics, American University of Sharjah, UAE"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, American University of Sharjah, UAE","institution_ids":["https://openalex.org/I199440890"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012321564","display_name":"Saralees Nadarajah","orcid":"https://orcid.org/0000-0002-0481-0372","observed_orcids":["https://orcid.org/0000-0002-0481-0372","https://orcid.org/0000-0002-7505-7066","https://orcid.org/0000-0001-7763-5862"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Saralees Nadarajah","raw_affiliation_strings":["School of Mathematics, University of Manchester","The authors would like to thank the Editor and the referee for careful reading and comments which greatly improved the paper"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, University of Manchester","institution_ids":["https://openalex.org/I28407311"]},{"raw_affiliation_string":"The authors would like to thank the Editor and the referee for careful reading and comments which greatly improved the paper","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3350,"currency":"USD","value_usd":3350},"apc_paid":null,"fwci":0.6599,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.75791753,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"87","issue":"3","first_page":"403","last_page":"427"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5297999978065491,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5297999978065491,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.2223999947309494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.12630000710487366,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/student-s-t-distribution","display_name":"t-distribution","score":0.9279999732971191},{"id":"https://openalex.org/keywords/flexible-distributions","display_name":"flexible distributions","score":0.5090000033378601},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.7319999933242798},{"id":"https://openalex.org/keywords/daily-log-returns","display_name":"daily log returns","score":0.8479999899864197},{"id":"https://openalex.org/keywords/financial-indices","display_name":"financial indices","score":0.9330000281333923},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"probability density function","score":0.7329999804496765},{"id":"https://openalex.org/keywords/cumulative-distribution-function","display_name":"cumulative distribution function","score":0.8230000138282776},{"id":"https://openalex.org/keywords/moments","display_name":"moments","score":0.9819999933242798},{"id":"https://openalex.org/keywords/characteristic-function","display_name":"characteristic function","score":0.9190000295639038},{"id":"https://openalex.org/keywords/mixture-distributions","display_name":"mixture distributions","score":0.6769999861717224},{"id":"https://openalex.org/keywords/generalized-hyperbolic-distribution","display_name":"generalized hyperbolic distribution","score":0.953000009059906},{"id":"https://openalex.org/keywords/distribution-fitting","display_name":"distribution fitting","score":0.5600000023841858}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6121199131011963},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6034743785858154},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.5224499106407166},{"id":"https://openalex.org/C49232408","wikidata":"https://www.wikidata.org/wiki/Q576072","display_name":"Student's t-distribution","level":4,"score":0.4904188811779022},{"id":"https://openalex.org/C103784038","wikidata":"https://www.wikidata.org/wiki/Q386228","display_name":"Cumulative distribution function","level":3,"score":0.46467193961143494},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.45624297857284546},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.44681644439697266},{"id":"https://openalex.org/C91716921","wikidata":"https://www.wikidata.org/wiki/Q1289366","display_name":"Scale parameter","level":2,"score":0.4309025704860687},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.42721399664878845},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.38971278071403503},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.31073951721191406},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.12759870290756226},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.12568050622940063},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.08965262770652771},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1111/manc.12234","doi":"https://doi.org/10.1111/manc.12234","is_oa":true,"landing_page_url":"https://doi.org/10.1111/manc.12234","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/manc.12234","source":{"id":"https://openalex.org/S200838492","display_name":"Manchester School","issn_l":"0025-2034","issn":["0025-2034","1463-6786","1467-9957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Manchester School","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:openaire_cris_publications/d7d1bec3-de59-4276-8319-1d8c0a900e08","doi":null,"is_oa":false,"landing_page_url":"https://research.manchester.ac.uk/en/publications/d7d1bec3-de59-4276-8319-1d8c0a900e08","pdf_url":null,"source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Afuecheta, E, Chan, S & Nadarajah, S 2018, 'Flexible Models for Stock Returns Based on Student's T Distribution', The Manchester School. https://doi.org/10.1111/manc.12234","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1111/manc.12234","doi":"https://doi.org/10.1111/manc.12234","is_oa":true,"landing_page_url":"https://doi.org/10.1111/manc.12234","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/manc.12234","source":{"id":"https://openalex.org/S200838492","display_name":"Manchester School","issn_l":"0025-2034","issn":["0025-2034","1463-6786","1467-9957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Manchester School","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2895604142.pdf","grobid_xml":"https://content.openalex.org/works/W2895604142.grobid-xml"},"referenced_works_count":38,"referenced_works":["https://openalex.org/W45374770","https://openalex.org/W1500470240","https://openalex.org/W1559535630","https://openalex.org/W1579925870","https://openalex.org/W1906687337","https://openalex.org/W1968371014","https://openalex.org/W1980519218","https://openalex.org/W1981903823","https://openalex.org/W1998966727","https://openalex.org/W2027632322","https://openalex.org/W2032696453","https://openalex.org/W2059229600","https://openalex.org/W2061894647","https://openalex.org/W2074466695","https://openalex.org/W2076453374","https://openalex.org/W2090028393","https://openalex.org/W2092265100","https://openalex.org/W2096018560","https://openalex.org/W2100190417","https://openalex.org/W2100406142","https://openalex.org/W2109542379","https://openalex.org/W2117019869","https://openalex.org/W2125052257","https://openalex.org/W2142635246","https://openalex.org/W2146855196","https://openalex.org/W2158196600","https://openalex.org/W2188061941","https://openalex.org/W2266991146","https://openalex.org/W2314640094","https://openalex.org/W2582743722","https://openalex.org/W2764917663","https://openalex.org/W2892723343","https://openalex.org/W3121187889","https://openalex.org/W3121663048","https://openalex.org/W3122012037","https://openalex.org/W3122331448","https://openalex.org/W3125246470","https://openalex.org/W4244561449"],"related_works":["https://openalex.org/W3173048611","https://openalex.org/W1995008125","https://openalex.org/W2126252086","https://openalex.org/W2070919875","https://openalex.org/W3122456641","https://openalex.org/W2109542379","https://openalex.org/W4281919274","https://openalex.org/W4299529847","https://openalex.org/W3091656575","https://openalex.org/W2189512320"],"abstract_inverted_index":{"Models":[0],"based":[1],"on":[2],"the":[3,15,34,58],"Student'stdistribution":[4],"are":[5,30,36],"proposed":[6],"with":[7],"its":[8],"scale":[9],"parameter":[10],"randomized.":[11],"Mathematical":[12],"properties":[13],"of":[14,33,42,55],"models":[16,35],"such":[17],"as":[18],"their":[19],"probability":[20],"density":[21],"functions,":[22,25],"cumulative":[23],"distribution":[24],"moments":[26],"and":[27,57],"characteristic":[28],"functions":[29],"derived.":[31],"Three":[32],"fitted":[37],"to":[38,49],"daily":[39],"log":[40],"returns":[41],"six":[43],"financial":[44],"indices.":[45],"They":[46],"were":[47],"shown":[48],"provide":[50],"better":[51],"fits":[52],"than":[53],"mixtures":[54],"Student'stdistributions":[56],"popular":[59],"generalized":[60],"hyperbolic":[61],"distribution.":[62]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2018-10-12T00:00:00"}
