PARAMETER ESTIMATION OF MULTIVARIATE SCALED t DISTRIBUTION: AN APPLICATION TO ALL SHARE PRICE INDEX

A Statistical Analysis of the Colombo Stock Returns

“…This finding is not in line with the common knowledge that financial data are heavy tailed. Chandrasekara, Mammadov, and Tilakaratne (2016) analysed the Colombo stock indices only to illustrate the fit of a multivariate scaled t distribution. Rathnayaka, Seneviratna, Wei, andArumawadu (2016a, 2016b) used k-means clustering, grey mechanism, autoregressive integrated moving average processes and artificial neural network in their analysis.…”