CED model for asset returns and fractal market hypothesis

DOI10.1016/S0895-7177(99)00090-4zbMath0992.91040OpenAlexW2081527234MaRDI QIDQ1596866

Aleksander Weron, Svetlozar T. Rachev, Rafał Weron

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00090-4

zbMATH Keywords

Weibull distributionarbitragefinancial modelingasset returnsCED modelconditional exponential dependencefractal market hypothesistwo-parameter Pareto distributions

Mathematics Subject Classification ID

Related Items (1)

Building multi-scale portfolios and efficient market frontiers using fractal regressions

Cites Work

• Unnamed Item
• Unnamed Item
• Extremes and related properties of random sequences and processes
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditionally exponential dependence model for asset returns
• Modeling asset returns with alternative stable distributions^*
• Asymptotic behaviour of stochastic systems with conditionally exponential decay property

This page was built for publication: CED model for asset returns and fractal market hypothesis