On the Log-Return Distribution of Index Benchmarked Share Prices
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- David Heath & Simon Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
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Keywordslog-return distribution; Student t distribution; generalised hyperbolic distribution; minimal market model;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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