The mixture of left-right truncated normal distributions

Joan del Castillo, Jalila Daoudi

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)


This paper introduces the mixture of left-right truncated normal distributions, from the spreads between bid and ask prices, as a statistical model for handle non-normality of asset price returns. It has been proved that there is only one maximum for the likelihood function of the new model. © 2009 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)3543-3551
JournalJournal of Statistical Planning and Inference
Publication statusPublished - 1 Oct 2009


  • Coefficient of variation
  • Heavy tailed distributions
  • Normal inverse Gaussian distribution
  • Return distributions


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