Stock returns and hyperbolic distributions
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Publication:699418
DOI10.1016/S0895-7177(99)00088-6zbMath0999.62085MaRDI QIDQ699418
A. Streller, K. Neumann, Uwe Küchler, Michael Sørensen
Publication date: 6 October 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (8)
Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Stock returns and hyperbolic distributions ⋮ Non-linear properties of conditional returns under scale mixtures ⋮ Empirical evidence on Student-\(t\) log-returns of diversified world stock indices ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
Cites Work
- The Pricing of Options and Corporate Liabilities
- Stock returns and hyperbolic distributions
- A hyperbolic diffusion model for stock prices
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Modeling asset returns with alternative stable distributions*
- A Note on Electrical Networks and the Inverse Gaussian Distribution
- Portfolio Analysis in a Stable Paretian Market
- Brownian Motion in the Stock Market
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