𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stable distributions for asset returns

✍ Scribed by Stefan Mittnik; Svetlozar T. Rachev


Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
281 KB
Volume
2
Category
Article
ISSN
0893-9659

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Dynamic density forecasts for multivaria
✍ Arnold Polanski; Evarist Stoja πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 414 KB

We propose a simple and fl exible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully sel

Conditionally exponential dependence mod
✍ S.T. Rachev; A. Weron; K. Weron πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 279 KB

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.

Consumption asset pricing with stable sh
✍ Prasad V. Bidarkota; J.Huston McCulloch πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 161 KB

We study the consumption based asset pricing model due to Lucas (Econometrica 46 (1978(Econometrica 46 ( ) 1429)). The exogenous endowment sequence is modeled as a linear stochastic process driven by stable shocks in an otherwise standard framework. The Gaussian process emerges as a special case. We

Testing for a unit root in the volatilit
✍ Jonathan H. Wright πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 168 KB πŸ‘ 2 views

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un