What is the best Lévy model for stock indices? A comparative study with a view to time consistency
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DOI: 10.1007/s11408-019-00335-2
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- A. Alexandre Trindade & Abootaleb Shirvani & Xiaohan Ma, 2020. "A Socioeconomic Well-Being Index," Papers 2001.01036, arXiv.org.
- Juraj Pekár & Mário Pčolár, 2022. "Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 699-731, June.
- Massing, Till & Ramos, Arturo, 2021.
"Student’s t mixture models for stock indices. A comparative study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Till Massing & Arturo Ramos, 2023. "Student't mixture models for stock indices. A comparative study," Papers 2308.10023, arXiv.org.
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More about this item
Keywords
Stock index returns; Generalized hyperbolic distribution; Time consistency; Goodness of fit;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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