Conditionally exponential dependence model for asset returns

DOI10.1016/S0893-9659(96)00102-4zbMath0894.90024OpenAlexW1996427819MaRDI QIDQ1370448

Aleksander Weron, Karina Weron, Svetlozar T. Rachev

Publication date: 26 October 1997

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0893-9659(96)00102-4

zbMATH Keywords

capital marketWeibull distributionsarbitrage opportunitiesasset returnsstochastic CED systems

Mathematics Subject Classification ID

Related Items (2)

Fractal market hypothesis and two power-laws ⋮ CED model for asset returns and fractal market hypothesis

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Stable GARCH models for financial time series
• Modeling asset returns with alternative stable distributions^*
• Asymptotic behaviour of stochastic systems with conditionally exponential decay property

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