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On the Infinitely Divisible of Meixner Distribution
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The log-returns of most financial data show a significant leptokurtosis. For the better fit we showed a special levy process which is called the Meixner process. The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data. The perfect fit of underlying Meixner distribution performing by using goodness of fit test.
Title: On the Infinitely Divisible of Meixner Distribution
Description:
The log-returns of most financial data show a significant leptokurtosis.
For the better fit we showed a special levy process which is called the Meixner process.
The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data.
The perfect fit of underlying Meixner distribution performing by using goodness of fit test.
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