Normality assumption for the log-return of the stock prices

Research output: Contribution to journal › Article › peer-review

Original language	Unknown
Pages (from-to)	47-58
Journal	Discussiones Mathematicae: Probability and Statistics
Volume	32
Issue number	1-2
Publication status	Published - 1 Jan 2012

Cite this

@article{93db626fce1a4bd3a7c0b8beba0d5213,

title = "Normality assumption for the log-return of the stock prices",

keywords = "Geometric Brownian motion, Anderson-Darling, 23 Kolmogorov-Smirnov, Black-Scholes, Log-return, Normality test, Shapiro-Wilks",

author = "Mota, {Pedro Jos{\'e} dos Santos Palhinhas}",

year = "2012",

month = jan,

day = "1",

language = "Unknown",

volume = "32",

pages = "47--58",

journal = "Discussiones Mathematicae: Probability and Statistics",

issn = "1509-9423",

number = "1-2",

}

TY - JOUR

T1 - Normality assumption for the log-return of the stock prices

AU - Mota, Pedro José dos Santos Palhinhas

PY - 2012/1/1

Y1 - 2012/1/1

KW - Geometric Brownian motion

KW - Anderson-Darling

KW - 23 Kolmogorov-Smirnov

KW - Black-Scholes

KW - Log-return

KW - Normality test

KW - Shapiro-Wilks

M3 - Article

SN - 1509-9423

VL - 32

SP - 47

EP - 58

JO - Discussiones Mathematicae: Probability and Statistics

JF - Discussiones Mathematicae: Probability and Statistics

IS - 1-2

ER -