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Conditionally exponential dependence model for asset returns

✍ Scribed by S.T. Rachev; A. Weron; K. Weron

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
279 KB
Volume
10
Category
Article
ISSN
0893-9659

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✦ Synopsis

A new model for asset returns is introduced to accommodate markets with some arbitrage opportunities. It concerns capital market systems in which the conditionally exponential dependence (CED) property can be attached to each investor. Universal characteristics of global returns are derived.

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