Subordinated Market Index Models: A Comparison
The 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
Volume (Year): 4 (1997)
Issue (Month): 2 (May)
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- Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393-393.
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