Subordinated Market Index Models: A Comparison
AbstractThe paper compares various processes subordinated to the Wiener process to model the leptokurtic characteristics of index returns. Empirical analysis is performed on the Dow Jones and Nikkei 225 indexes. A good model to capture the typical tail behaviour of these indexes turns out to be a long Student t distributed one. Copyright Kluwer Academic Publishers 1997
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 4 (1997)
Issue (Month): 2 (May)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Asset price model; subordination; leptokurtic; Student t distribution; symmetric generalised hyperbolic distribution;
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