Electronic Resource
Springer
Asia Pacific financial markets
4 (1997), S. 97-124
ISSN:
1573-6946
Keywords:
Asset price model
;
subordination
;
leptokurtic
;
Student t distribution
;
symmetric generalised hyperbolic distribution
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract The paper compares various processes subordinated to the Wiener process tomodel the leptokurtic characteristics of index returns. Empirical analysisis performed on the Dow Jones and Nikkei 225 indexes. A good model to capturethe typical tail behaviour of these indexes turns out to be a long Studentt distributed one.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1009650313980
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