Do financial returns have finite or infinite variance? A paradox and an explanation

DOI10.1080/14697680903540381zbMath1202.91333OpenAlexW2113195484MaRDI QIDQ3063854

Michael Grabchak, Gennady Samorodnitsky

Publication date: 15 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903540381

zbMATH Keywords

heavy tailsinfinite variancefinancial returnsfinite varianceBachelier-Samuelson modelMandelbrot model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

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• Local prelimit theorems and their applications to finance
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Pre-limit theorems and their applications
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stochastic Volatility for Lévy Processes
• Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?

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