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- W2890149869 abstract "In this chapter, we consider modeling leptokurtic daily log-return distributions of three commodities: gold, silver, and crude oil. Three modeling approaches are tried out namely (a) a two-component mixture of normal distributions model, (b) Variance Gamma (VG) distribution model, and (c) Generalized Secant Hyperbolic (GSH) distribution model. The two-component mixture of normal distributions model is found to be a reasonable model for log-returns on gold and crude oil. The VG distribution model and the GSH distribution model are not found to be suitable for modeling log-returns for any of the three commodities considered in this chapter." @default.
- W2890149869 created "2018-09-27" @default.
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- W2890149869 date "2018-09-08" @default.
- W2890149869 modified "2023-09-23" @default.
- W2890149869 title "Modeling Commodity Market Returns: The Challenge of Leptokurtic Distributions" @default.
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- W2890149869 doi "https://doi.org/10.1007/978-981-13-1208-3_17" @default.
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