ALBERT — All Library Books, journals and Electronic Records Telegrafenberg

Hits per page

hit 1 - 1 | 1 hit

Select All Export

Electronic Resource

Subordinated Market Index Models: A Comparison (1997)

HURST, SIMON R. ; PLATEN, ECKHARD ; RACHEV, SVETLOZAR T.

Springer

Asia Pacific financial markets 4 (1997), S. 97-124

add to mindlist on the mindlist

Details

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

	Location	Call Number	Expected	Availability

Others were also interested in ...

Paper (German National Licenses)

Fulltext

hit 1 - 1 | 1 hit