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The mixture of left–right truncated normal distributions |
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| Authors: | Joan del Castillo Jalila Daoudi |
| Institution: | 1. Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193 Barcelona, Spain;2. Departament de Matemàtiques, Universitat Autònoma de Barcelona, Spain |
| Abstract: | This paper introduces the mixture of left–right truncated normal distributions, from the spreads between bid and ask prices, as a statistical model for handle non-normality of asset price returns. It has been proved that there is only one maximum for the likelihood function of the new model. |
| Keywords: | Coefficient of variation Heavy tailed distributions Return distributions Normal inverse Gaussian distribution |
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