Testing Hypotheses of Elliptical Distribution Model of Stock Market Returns

Student: Semenov Dmitriy

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Data Mining (Master)

Year of Graduation: 2017

In the paper, an elliptical model of the distribution of stock market stock returns is checked based on properties that are valid only for such models. The procedures of multiple hypothesis testing were constructed and the hypotheses were tested on real data of the stock markets of several countries.

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