Empirical evidence on Student-t log-returns of diversified world stock indices

Abstract

The aim of this paper is to document some empirical facts related to log-returns of diversified workld stock indices when these are denominated in different currencies. Motivated by eaarlier results we jave obtained the estimated distribution of log-returns for a range of world sotckindices over long observation periods. We expand previous studies bya pplying the maximum likelihood ration test to the large class of generalised hyperbolic distributions and investigate the log-returns ofa variety of diversified world stock indices in different currency denominations.