An asset return model capturing stylized facts

DOI10.1007/S11579-011-0050-5zbMath1282.91395OpenAlexW2065436676MaRDI QIDQ1935727

Liang Zhang, L. C. G. Rogers

Publication date: 19 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-011-0050-5

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80) Statistical methods; economic indices and measures (91B82)

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