Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models
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Volume (Year): 5 (2009)
Issue (Month): 1 (January)
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- Adrian A. Dragulescu & Victor M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Papers cond-mat/0203046, arXiv.org, revised Nov 2002.
- Bauer, Christian, 2000. "Value at risk using hyperbolic distributions," Journal of Economics and Business, Elsevier, vol. 52(5), pages 455-467.
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- Vicente, Renato & de Toledo, Charles M. & Leite, Vitor B.P. & Caticha, Nestor, 2006. "Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 361(1), pages 272-288.
- Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
- A. Dragulescu & V. M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002 127, Society for Computational Economics.
- Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
- A. Christian Silva & Richard E. Prange & Victor M. Yakovenko, 2004. "Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact," Papers cond-mat/0401225, arXiv.org, revised Jul 2004.
- Silva, A. Christian & Prange, Richard E. & Yakovenko, Victor M., 2004. "Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 227-235.
- Block, Henry W. & Li, Yulin & Savits, Thomas H., 2005. "Mixtures of normal distributions: Modality and failure rate," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 253-264, October.
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